A framework for dynamic hedging under convex risk measures

DOI10.1007/978-3-0348-0021-1_24MaRDI QIDQ2904890zbMATH OpenOpenAlexFDO

Authors Antoine Toussaint, Ronnie Sircar

Publication date 24 August 2012

Published in Seminar on Stochastic Analysis, Random Fields and Applications VI (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-0348-0021-1_24

zbMATH Keywords

hedgingconvex risk measuresshortfall risk

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

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Cited in

(25)

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• The dynamics of risk beyond convexity
• TIME‐CONSISTENT AND MARKET‐CONSISTENT EVALUATIONS
• Living on the edge: how risky is it to operate at the limit of the tolerated risk?
• Equal risk pricing and hedging of financial derivatives with convex risk measures
• An optimal multi-step quadratic risk-adjusted hedging strategy
• Capturing parameter risk with convex risk measures
• Optimal static-dynamic hedges for exotic options under convex risk measures
• Dynamic conic hedging for competitiveness
• Appraising the convenience of a call-based dynamical hedging strategy for an oil-company
• Golden options in financial mathematics
• DYNAMIC CONIC FINANCE: PRICING AND HEDGING IN MARKET MODELS WITH TRANSACTION COSTS VIA DYNAMIC COHERENT ACCEPTABILITY INDICES
• Optimal partial hedging using coherent measure of risk
• Pricing, hedging, and designing derivatives with risk measures
• scientific article; zbMATH DE number 2133102 (Why is no real title available?)
• VALUE-AT-RISK ESTIMATION FOR DYNAMIC HEDGING
• The minimal risk of hedging with a convex risk measure
• Functional Itô's calculus and dynamic convex risk measures for derivative securities
• Efficient hedging with coherent risk measure
• Dynamic hedging in incomplete markets using risk measures
• scientific article; zbMATH DE number 1789932 (Why is no real title available?)
• Convex Hedging in Incomplete Markets
• Inf-convolution of risk measures and optimal risk transfer
• Extending pricing rules with general risk functions
• Hedging under multiple risk constraints

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