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~isPartOf:"Applied mathematical finance"
~isPartOf:"Mathematical Finance, 2008, 18(3), 473-492"
~person:"Fung, Man Chung"
~person:"Kallsen, Jan"
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Fung, Man Chung
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Applied mathematical finance
Mathematical Finance, 2008, 18(3), 473-492
Mathematical finance : an international journal of mathematics, statistics and financial theory
3
Alternative investments and strategies : credit, derivatives, CPPI, investments, risk
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1
Mean-Variance
Hedging
and Optimal Investment in Heston's Model with Correlation
Černý, Aleš
-
2020
This paper solves the mean-variance
hedging
problem in Heston's model with a stochastic opportunity set moving … derive formulas for the
hedging
strategy and the
hedging
error …
Persistent link: https://www.econbiz.de/10012705869
Saved in:
2
A hybrid model for pricing and
hedging
of long-dated bonds
Baldeaux, Jan
;
Fung, Man Chung
;
Ignatieva, Ekaterina
; …
- In:
Applied mathematical finance
22
(
2015
)
3/4
,
pp. 366-398
Persistent link: https://www.econbiz.de/10011436216
Saved in:
3
Variance-optimal
hedging
for time-changed Lévy processes
Kallsen, Jan
;
Pauwels, Arnd Philipp
- In:
Applied mathematical finance
18
(
2011
)
1/2
,
pp. 1-28
Persistent link: https://www.econbiz.de/10009154430
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