Hedging and machine learning driven crude oil data analysis using a refined Barndorff-Nielsen and Shephard model
Humayra Shoshi, Indranil SenGupta
| Year of publication: |
2021
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|---|---|
| Authors: | Shoshi, Humayra ; SenGupta, Indranil |
| Published in: |
International journal of financial engineering. - New Jersey : World Scientific, ISSN 2424-7863, ZDB-ID 2832504-7. - Vol. 8.2021, 4, p. 1-29
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| Subject: | classification problems | drawdown | quadratic hedging | stochastic models | Variance swaps | Hedging | Stochastischer Prozess | Stochastic process | Künstliche Intelligenz | Artificial intelligence | Volatilität | Volatility | Mathematische Optimierung | Mathematical programming | Swap | Optionspreistheorie | Option pricing theory | Klassifikation | Classification |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S2424786321500158 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012815115