scientific article; zbMATH DE number 1642347
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Publication:2741111
zbMATH Open0987.91038MaRDI QIDQ2741111FDOQ2741111
Authors: R. N. Krutchenko, Alexander Melnikov 
Publication date: 1 July 2002
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- On the shortfall risk control: a refinement of the quantile hedging method
- Approximate hedging of options under jump-diffusion processes
- Minimization of shortfall risk in a jump-diffusion model
- Quantile hedging for equity-linked contracts
- Quantile hedging in models with dividends and application to equity-linked life insurance contracts
- Buyer's quantile hedge portfolios in discrete-time trading
- Stochastic control methods: Hedging in a market described by pure jump processes
- Pricing and hedging of quantile options in a flexible jump diffusion model
- A general stochastic target problem with jump diffusion and an application to a hedging problem for large investors
- Partial hedging and cash requirements in discrete time
- Quantile hedging
- Dynamic hedging under jump diffusion with transaction costs
- Minimum variance hedging in a model with jumps at Poisson random times
- Stochastic LQ control framework for the hedging problem as the stock price follows jump-diffusion process
- Efficient hedging currency options in fractional Brownian motion model with jumps
- Quantile hedging pension payoffs: an analysis of investment incentives
- Convergence of the maximum probability of success in the problem of quantile hedging for a model of an asset price process with long-range dependence
- Outperformance portfolio optimization via the equivalence of pure and randomized hypothesis testing
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