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  • Search: subject:"Derivative hedging"
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Year of publication
Subject
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derivative hedging 2 Derivat 1 Derivative 1 Financial crisis 1 Finanzkrise 1 Hedging 1 Lebensversicherung 1 Life insurance 1 Risikomanagement 1 Risk management 1 Systemic risk 1 Systemrisiko 1 USA 1 United States 1 constant elasticity of variance model 1 diffusion coefficient function 1 diversification 1 growth optimal portfolio 1 kernel estimation 1 systemic risk 1 variable annuities with guaranteed benefits (VAGB) 1
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Online availability
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Free 2
Type of publication
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Article 1 Book / Working Paper 1
Type of publication (narrower categories)
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Article in journal 1 Aufsatz in Zeitschrift 1
Language
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English 1 Undetermined 1
Author
All
Baldeaux, Jan 1 Baranoff, Etti G. 1 Brockett, Patrick L. 1 Ignatieva, Katja 1 Platen, Eckhard 1 Sager, Thomas W. 1 Shi, Bo 1
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Institution
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Finance Discipline Group, Business School 1
Published in...
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Quantitative finance and economics 1 Research Paper Series / Finance Discipline Group, Business School 1
Source
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ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
Cover Image
Was the U.S. life insurance industry in danger of systemic risk by using derivative hedging prior to the 2008 financial crisis?
Baranoff, Etti G.; Brockett, Patrick L.; Sager, Thomas W.; … - In: Quantitative finance and economics 3 (2019) 1, pp. 145-164
Persistent link: https://www.econbiz.de/10012176449
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Cover Image
A Tractable Model for Indices Approximating the Growth Optimal Portfolio
Baldeaux, Jan; Ignatieva, Katja; Platen, Eckhard - Finance Discipline Group, Business School - 2012
The growth optimal portfolio (GOP) plays an important role in finance, where it serves as the numeraire portfolio, with respect to which contingent claims can be priced under the real world probability measure. This paper models the GOP using a time dependent constant elasticity of variance...
Persistent link: https://www.econbiz.de/10010617687
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