A framework for dynamic hedging under convex risk measures

DOI10.1007/978-3-0348-0021-1_24zbMATH Open1246.91120OpenAlexW2100167075MaRDI QIDQ2904890FDOQ2904890

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

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zbMATH Keywords

hedgingconvex risk measuresshortfall risk

Mathematics Subject Classification ID

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

Cited In (25)

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• Equal risk pricing and hedging of financial derivatives with convex risk measures
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• 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
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• 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
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• VALUE-AT-RISK ESTIMATION FOR DYNAMIC HEDGING
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• 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
• Title not available (Why is that?)
• 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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