Quantile hedging
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(only showing first 100 items - show all)- On a robustness of quantile hedging: Complete market's case
- A Berry-Esseen theorem for sample quantiles under weak dependence
- \(\varDelta \)-VaR and\(\varDelta \)-TVaR for portfolios with mixture of elliptic distributions risk factors and DCC
- Making the best of best-of
- Insuring against the shortfall risk associated with real options
- Limit theorem for Leland's strategy
- Financial options and statistical prediction intervals
- Maximizing the probability of a perfect hedge
- Dynamic portfolio insurance strategies: risk management under Johnson distributions
- A comparison principle for PDEs arising in approximate hedging problems: application to Bermudan options
- Partial super-hedging of derivatives with model risk
- Quantile hedging pension payoffs: an analysis of investment incentives
- Incorporating statistical model error into the calculation of acceptability prices of contingent claims
- Optimal investment under VaR-regulation and minimum insurance
- Quantile hedging in a semi-static market with model uncertainty
- Static hedging of multivariate derivatives by simulation
- Minimizing shortfall risk and applications to finance and insurance problems
- On the Neyman-Pearson problem for law-invariant risk measures and robust utility functionals.
- Conservative delta hedging.
- Optimal partial hedging of an American option: shifting the focus to the expiration date
- Generalized stochastic target problems for pricing and partial hedging under loss constraints -- application in optimal book liquidation
- Subjective risk measures: Bayesian predictive scenarios analysis
- A dynamic autoregressive expectile for time-invariant portfolio protection strategies
- A profitable modification to global quadratic hedging
- Approximation of CVaR minimization for hedging under exponential-Lévy models
- On modifications of the Bachelier model
- Optimal control of diffusion processes with terminal constraint in law
- Efficient hedging currency options in fractional Brownian motion model with jumps
- Quantile hedging in models with dividends and application to equity-linked life insurance contracts
- On dynamic programming principle for stochastic control under expectation constraints
- Quenched mass transport of particles toward a target
- Efficient hedging under ambiguity in continuous time
- Effectiveness of CPPI strategies under discrete-time trading
- Quantile hedging for equity-linked contracts
- Combining statistical intervals and market prices: the worst case state price distribution
- BSDEs with weak terminal condition
- A dynamic programming approach to constrained portfolios
- Hedging of options with the help of conditional expected loss criterion
- Asymptotics of robust utility maximization
- On Bayesian value at risk: from linear to non-linear portfolios
- Dynamic hedging of conditional value-at-risk
- Convex hedging of non-superreplicable claims in discrete-time market models
- Stochastic target games with controlled loss
- Asymptotic pricing in large financial markets
- Quadratic hedging methods for defaultable claims
- The maximum principle for one kind of stochastic optimization problem and application in dynamic measure of risk
- A risk-sensitive control dual approach to a large deviations control problem
- An optimal multi-step quadratic risk-adjusted hedging strategy
- Quantile hedging on equity-linked life insurance contracts with transaction costs
- Optimal hedging when the underlying asset follows a regime-switching Markov process
- Electricity swing option pricing by stochastic bilevel optimization: a survey and new approaches
- On the shortfall risk control: a refinement of the quantile hedging method
- Error estimates for second order Hamilton-Jacobi-Bellman equations. Approximation of probabilistic reachable sets
- Partial hedging of American claims in a discrete market
- Economic neutral position: how to best replicate not fully replicable liabilities?
- CVaR-hedging and its applications to equity-linked life insurance contracts with transaction costs
- Portfolio selection in quantile decision models
- scientific article; zbMATH DE number 1642347 (Why is no real title available?)
- The modified sequential hedging strategy: hedger's loss distribution
- CVaR hedging using quantization-based stochastic approximation algorithm
- A backward dual representation for the quantile hedging of Bermudan options
- Convergence of the maximum probability of success in the problem of quantile hedging for a model of an asset price process with long-range dependence
- On optimal super-hedging and sub-hedging strategies
- Variance optimal hedging for continuous time additive processes and applications
- A stochastic target approach for P\&L matching problems
- Dynamic complex hedging in additive markets
- Portfolio insurance: gap risk under conditional multiples
- Quantile hedging for an insider
- VALUE-AT-RISK ESTIMATION FOR DYNAMIC HEDGING
- Maximizing the probability of a perfect hedge in the case of stochastic interest rate
- Quantile hedging for basket derivatives
- Dynamic conic hedging for competitiveness
- Hedging under an expected loss constraint with small transaction costs
- EVALUATING HEDGING ERRORS: AN ASYMPTOTIC APPROACH
- Testing hypotheses for measures with different masses: Four optimization problems
- Hedging with risk for game options in discrete time
- On financial markets based on telegraph processes
- On the super-replicating approach when trading a derivative is limited
- EFFICIENT HEDGING AND PRICING OF EQUITY-LINKED LIFE INSURANCE CONTRACTS ON SEVERAL RISKY ASSETS
- ON THE PROFIT AND LOSS DISTRIBUTION OF DYNAMIC HEDGING STRATEGIES
- Problems of mathematical finance by stochastic control methods
- Capturing parameter risk with convex risk measures
- Coherent hedging in incomplete markets
- Partial hedging in financial markets with a large agent
- Outperformance portfolio optimization via the equivalence of pure and randomized hypothesis testing
- On Quadratic Cost Criteria for Option Hedging
- Outperforming the market portfolio with a given probability
- A PDE approach to risk measures of derivatives
- Portfolio optimization under a quantile hedging constraint
- Shortfall risk minimization under fixed transaction costs
- Duality Formulas for Robust Pricing and Hedging in Discrete Time
- Hedging European and barrier options using stochastic optimization
- Option pricing and hedging with minimum local expected shortfall
- Quantile hedging for guaranteed minimum death benefits with regime switching
- Dynamic Minimization of Worst Conditional Expectation of Shortfall
- VaR and ES for linear portfolios with mixture of generalized Laplace distributions risk factors
- Cooperative hedging in the complete market under \(g\)-expectation constraint
- scientific article; zbMATH DE number 1865382 (Why is no real title available?)
- Large losses–-probability minimizing approach
- Hedging under arbitrage
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