Minimizing banking risk in a Lévy process setting

DOI10.1155/2007/32824zbMATH Open1157.91018OpenAlexW1981236679MaRDI QIDQ2472045FDOQ2472045

Authors: F. Gideon, Janine Mukuddem-Petersen, Mark A. Petersen 

Publication date: 20 February 2008

Published in: Journal of Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/55197

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zbMATH Keywords

quadratic hedgingGaltchouck-Kunita-Watanabe decompositionrisk-minimizing strategyLévy process

Mathematics Subject Classification ID

Economic growth models (91B62) Stochastic models in economics (91B70)

Cites Work

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• Bank management via stochastic optimal control
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• Maximizing banking profit on a random time interval
• A computational model of banks' optimal reserve management policy.

Cited In (5)

• Using the Lévy sections to reduce risks in the buying strategies and asset sales that value in time
• Capital adequacy and risk management in banking industry
• Bank liquidity and the global financial crisis
• Optimizing asset and capital adequacy management in banking
• Basel III and asset securitization

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