Risk Minimization in Stochastic Volatility Models: Model Risk and Empirical Performance
Year of publication: |
2007-09-01
|
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Authors: | Poulsen, Rolf ; Schenk-Hoppé, Klaus Reiner ; Ewald, Christian-Oliver |
Institutions: | Institut für Schweizerisches Bankwesen <Zürich> |
Subject: | Hedging | Risikomanagement | risk management | Volatilität | Risikotheorie |
Extent: | 304128 bytes 21 p. application/pdf |
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Series: | Working Paper ; 362 (2007) |
Type of publication: | Book / Working Paper |
Language: | English |
Classification: | C90 - Design of Experiments. General ; G13 - Contingent Pricing; Futures Pricing ; Employment of capital, capital investment planning and estimate of investment profitability ; Individual Working Papers, Preprints ; No country specification |
Source: | USB Cologne (business full texts) |
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