scientific article
From MaRDI portal
Publication:2782354
zbMath1009.91013MaRDI QIDQ2782354
Publication date: 28 April 2003
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Related Items
Liquidity risks on power exchanges: a generalized Nash equilibrium model ⋮ Hedging under generalized good-deal bounds and model uncertainty ⋮ Generalized statistical arbitrage concepts and related gain strategies ⋮ Robustness of Delta Hedging in a Jump-Diffusion Model ⋮ Fundamental theorem of asset pricing with acceptable risk in markets with frictions ⋮ Sharpe-ratio pricing and hedging of contingent claims in incomplete markets by convex programming ⋮ Fully-Dynamic Risk-Indifference Pricing and No-Good-Deal Bounds ⋮ Trade-off between robust risk measurement and market principles ⋮ Computing strategies for achieving acceptability: a Monte Carlo approach ⋮ Optimizing bounds on security prices in incomplete markets. Does stochastic volatility specification matter? ⋮ Risk arbitrage and hedging to acceptability under transaction costs ⋮ Convex duality in optimal investment and contingent claim valuation in illiquid markets ⋮ Time consistency conditions for acceptability measures, with an application to tail value at risk ⋮ Good deal hedging and valuation under combined uncertainty about drift and volatility ⋮ Expected gain-loss pricing and hedging of contingent claims in incomplete markets by linear programming