Minimizing banking risk in a Lévy process setting

DOI10.1155/2007/32824MaRDI QIDQ2472045zbMATH OpenOpenAlexFDO

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)

Copyright license Creative Commons Attribution 4.0 International

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

zbMATH Keywords

quadratic hedgingGaltchouck-Kunita-Watanabe decompositionrisk-minimizing strategyLévy process

Mathematics Subject Classification ID

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

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• A general version of the fundamental theorem of asset pricing
• Bank management via stochastic optimal control
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• Exotic option pricing and advanced Lévy models.
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• Maximizing banking profit on a random time interval
• On Square Integrable Martingales
• Pricing contingent claims on stocks driven by Lévy processes
• Residual risks and hedging strategies in Markovian markets
• The pricing of options and corporate liabilities

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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