VALUE-AT-RISK ESTIMATION FOR DYNAMIC HEDGING

DOI10.1142/S0219024902001468MaRDI QIDQ3022047zbMATH OpenFDO

Authors Yuji Yamada, James A. Primbs

Publication date 22 June 2005

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/S0219024902001468

zbMATH Keywords

backward equationconvex probability boundsdynamic hedgingmomentswealth balance distribution

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Recommendations

• Dynamic hedging of conditional value-at-risk
• Estimating residual hedging risk with least-squares Monte Carlo
• A framework for dynamic hedging under convex risk measures
• Dynamic value at risk under optimal and suboptimal portfolio policies.
• Quantile hedging

Cites work

• A Measure of Asymptotic Efficiency for Tests of a Hypothesis Based on the sum of Observations
• A Probability Distribution and Its Uses in Fitting Data
• Mean-variance hedging in continuous time
• On Minimizing Risk in Incomplete Markets Option Pricing Models
• On Quadratic Cost Criteria for Option Hedging
• OPTION PRICING FOR INCOMPLETE MARKETS VIA STOCHASTIC OPTIMIZATION: TRANSACTION COSTS, ADAPTIVE CONTROL AND FORECAST
• SYSTEMS OF FREQUENCY CURVES GENERATED BY METHODS OF TRANSLATION
• The pricing of options and corporate liabilities
• Variance-Optimal Hedging in Discrete Time

Cited in

(9)

• DC programming and DCA for globally solving the value-at-risk
• Distributionally robust expectation inequalities for structured distributions
• Generalized Gauss inequalities via semidefinite programming
• scientific article; zbMATH DE number 1728305 (Why is no real title available?)
• Estimating residual hedging risk with least-squares Monte Carlo
• A decision rule to minimize daily capital charges in forecasting value-at-risk
• A new computational tool for analysing dynamic hedging under transaction costs
• Obtaining distributional information from valuation lattices
• scientific article; zbMATH DE number 7387532 (Why is no real title available?)

This page was built for publication: VALUE-AT-RISK ESTIMATION FOR DYNAMIC HEDGING

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3022047)