Dynamic conic hedging for competitiveness
From MaRDI portal
Publication:317543
DOI10.1007/s11579-016-0164-xzbMath1404.91141MaRDI QIDQ317543
Wim Schoutens, Martijn R. Pistorius, Dilip B. Madan
Publication date: 30 September 2016
Published in: Mathematics and Financial Economics (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10044/1/31828
91G20: Derivative securities (option pricing, hedging, etc.)
Related Items
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- The Pricing of Options and Corporate Liabilities
- Optimum consumption and portfolio rules in a continuous-time model
- Convergence of BS\(\operatorname{\Delta}\)Es driven by random walks to BSDEs: the case of (in)finite activity jumps with general driver
- Dual theory of choice with multivariate risks
- Bid and ask prices as non-linear continuous time G-expectations based on distortions
- Two price economies in continuous time
- Dynamic monetary risk measures for bounded discrete-time processes
- Properties of multinomial lattices with cumulants for option pricing and hedging
- Dynamic risk measures: Time consistency and risk measures from BMO martingales
- A general theory of finite state backward stochastic difference equations
- Time consistent dynamic risk processes
- Maxmin expected utility with non-unique prior
- On the use of capacities in modeling uncertainty aversion and risk aversion
- Hedging and liquidation under transaction costs in currency markets
- Efficient hedging: cost versus shortfall risk
- A valuation algorithm for indifference prices in incomplete markets
- Martingales and arbitage in securities markets with transaction costs
- Asset pricing theory for two price economies
- On dynamic spectral risk measures, a limit theorem and optimal portfolio allocation
- Inf-convolution of risk measures and optimal risk transfer
- Conditional and dynamic convex risk measures
- A Comparison of Two Quadratic Approaches to Hedging in Incomplete Markets
- Unbounded liabilities, capital reserve requirements and the taxpayer put option
- A New Fusion Procedure for the Brauer Algebra and Evaluation Homomorphisms
- MARKETS AS A COUNTERPARTY: AN INTRODUCTION TO CONIC FINANCE
- CONIC FINANCE AND THE CORPORATE BALANCE SHEET
- SEMI-STATIC HEDGING OF BARRIER OPTIONS UNDER POISSON JUMPS
- Maximum Principles for Optimal Control of Forward-Backward Stochastic Differential Equations with Jumps
- Convex risk measures and the dynamics of their penalty functions
- A MULTINOMIAL APPROXIMATION FOR AMERICAN OPTION PRICES IN LÉVY PROCESS MODELS
- VALUATIONS AND DYNAMIC CONVEX RISK MEASURES
- Hedging Derivative Securities and Incomplete Markets: An ε-Arbitrage Approach
- HEDGE FUND PERFORMANCE: SOURCES AND MEASURES
- Multinomial Approximating Models for Options with k State Variables
- Integral Representation Without Additivity
- HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH12
- The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time
- Minimizing Expected Loss of Hedging in Incomplete and Constrained Markets
- TENOR SPECIFIC PRICING
- Dynamic Minimization of Worst Conditional Expectation of Shortfall
- Option overlay strategies
- The Dual Theory of Choice under Risk
- Fundamental Theorems of Asset Pricing for Good Deal Bounds
- The Variance Gamma Process and Option Pricing
- Semi-Static Hedging for GMWB in Variable Annuities
- Measuring the Effectiveness of Static Hedging Strategies for a Guaranteed Minimum Income Benefit
- A Smooth Model of Decision Making under Ambiguity
- Robustness
- Option pricing: A simplified approach
- BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME
- Stochastic finance. An introduction in discrete time
