CVaR hedging using quantization-based stochastic approximation algorithm
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Publication:2788694
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Cites work
- scientific article; zbMATH DE number 2133102 (Why is no real title available?)
- scientific article; zbMATH DE number 4085365 (Why is no real title available?)
- A space quantization method for numerical integration
- Asymptotic Almost Sure Efficiency of Averaged Stochastic Algorithms
- Coherent measures of risk
- Computing VaR and CVaR using stochastic approximation and adaptive unconstrained importance sampling
- Convex measures of risk and trading constraints
- Convex risk measures and the dynamics of their penalty functions
- Local martingales and the fundamental asset pricing theorems in the discrete-time case
- Martingale and Duality Methods for Utility Maximization in an Incomplete Market
- Measurable Selection and Dynamic Programming
- On a time consistency concept in risk averse multistage stochastic programming
- Option hedging for semimartingales
- Pricing via utility maximization and entropy.
- Quantile hedging
- The minimal entropy martingale measure and the valuation problem in incomplete markets
- The minimum-entropy algorithm and related methods for calibrating asset-pricing models
- Time consistent dynamic risk measures
- Unconstrained recursive importance sampling
- [GLP & MEMM] Pricing Models and Related Problems
Cited in
(10)- Stochastic approximation schemes for economic capital and risk margin computations
- Multi-level stochastic approximation algorithms
- Stochastic quasi-gradient techniques in VaR-based ALM models
- Random distortion risk measures
- CVaR-minimising hedging by a smoothing method
- Expected shortfall and optimal hedging payoff
- Approximation of CVaR minimization for hedging under exponential-Lévy models
- Quantization dimensions of compactly supported probability measures via Rényi dimensions
- Simulation methods for robust risk assessment and the distorted mix approach
- Risk management in portfolio applications of non-convex stochastic programming
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