Approximation of CVaR minimization for hedging under exponential-Lévy models

DOI10.1016/J.CAM.2017.05.005MaRDI QIDQ2012597zbMATHOpenAlexWikidataFDO

Authors Madalina Deaconu, Antoine Lejay, Khaled Salhi

Publication date 1 August 2017

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://hal.inria.fr/hal-01461215/file/cvar-hedging-exp-levy.pdf

zbMATH Keywords

incomplete marketNeyman-Pearson lemmafast Fourier transformconditional value-at-riskEsscher martingale measureexponential-Lévy models

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20) Statistical methods; risk measures (91G70) Numerical methods for discrete and fast Fourier transforms (65T50)

Recommendations

• Dynamic hedging of conditional value-at-risk
• CVaR hedging in defaultable jump-diffusion markets
• CVaR-minimising hedging by a smoothing method
• CVaR hedging using quantization-based stochastic approximation algorithm
• Minimizing CVaR in global dynamic hedging with transaction costs

Cites work

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• scientific article; zbMATH DE number 1402217 (Why is no real title available?)
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Cited in

(7)

• CVaR hedging in defaultable jump-diffusion markets
• scientific article; zbMATH DE number 5811750 (Why is no real title available?)
• Minimizing CVaR in global dynamic hedging with transaction costs
• CVaR-minimising hedging by a smoothing method
• CVaR hedging using quantization-based stochastic approximation algorithm
• Explicit formulas for the minimal variance hedging strategy in a martingale case
• Trade and currency options hedging model

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