On the risk management of demand deposits: quadratic hedging of interest rate margins
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Publication:2151679
DOI10.1007/s10479-020-03726-1zbMath1492.91391OpenAlexW3080885279MaRDI QIDQ2151679
Alexandre Adam, Jean-Luc Prigent, Jean-Paul Laurent, Hamza Cherrat, Mohamed Houkari
Publication date: 5 July 2022
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10479-020-03726-1
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