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  • Search: subject:"Local Risk Minimization"
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Year of publication
Subject
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Option pricing theory 17 Optionspreistheorie 17 Hedging 15 Portfolio selection 14 Portfolio-Management 14 Stochastic process 13 Stochastischer Prozess 13 Local risk-minimization 9 Local risk minimization 8 local risk minimization 8 Risikomanagement 7 Risk management 7 Incomplete market 6 Volatility 6 Volatilität 6 Derivat 5 Derivative 5 Risiko 5 Risk 5 Unvollkommener Markt 5 basis risk 5 incomplete markets 5 Föllmer-Schweizer decomposition 4 Martingal 4 Martingale 4 Minimal martingale measure 4 Theorie 4 Theory 4 local risk-minimization 4 mean-variance hedging 4 CAPM 3 Lévy processes 3 Markov chain 3 Markov-Kette 3 option hedging 3 ARCH model 2 ARCH-Modell 2 Barndorff-Nielsen and Shephard models 2 Bivariate diffusion limit 2 Credit risk 2
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Online availability
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Free 14 Undetermined 12
Type of publication
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Article 27 Book / Working Paper 7
Type of publication (narrower categories)
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Article in journal 20 Aufsatz in Zeitschrift 20 Article 2 Thesis 2 Arbeitspapier 1 Conference paper 1 Graue Literatur 1 Konferenzbeitrag 1 Non-commercial literature 1 Working Paper 1
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Language
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English 26 Undetermined 8
Author
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Cretarola, Alessandra 5 Arai, Takuji 4 Hulley, Hardy 4 Suzuki, Ryoichi 4 Badescu, Alexandru 3 Ceci, Claudia 3 Colaneri, Katia 3 McWalter, Thomas A. 3 Ortega, Juan-Pablo 3 Biagini, Francesca 2 Campi, Luciano 2 Elliott, Robert J. 2 Imai, Yuto 2 Langrené, Nicolas 2 MacKay, Anne 2 Okhrati, Ramin 2 Platen, Eckhard 2 Wüthrich, Mario V. 2 Aid, René 1 Aïd, René 1 Castillo, Joan del 1 Christodoulou, Panagiotis 1 Detering, Nils 1 Fontana, Claudio 1 Gnoatto, Alessandro 1 Goutte, Stéphane 1 Grbac, Zorana 1 Handa, Masahiro 1 Hwang, Kyo-Shin 1 Karpathopoulos, Nikolaos 1 Ku, Hyejin 1 Lavagnini, Silvia 1 Ma, Junmei 1 McWalter, T. A. 1 McWalter, Thomas Andrew 1 Menoukeu-Pamen, Olivier 1 Meyer-Brandis, Thilo 1 Momeya, Romuald 1 Pansera, Jérôme 1 Picarelli, Athena 1
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Institution
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Finance Discipline Group, Business School 2 HAL 1 Université Paris-Dauphine (Paris IX) 1
Published in...
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International journal of theoretical and applied finance 5 Insurance / Mathematics & economics 2 Insurance: Mathematics and Economics 2 Journal of Risk and Financial Management 2 Research Paper Series / Finance Discipline Group, Business School 2 Annals of economics and statistics 1 Annals of finance 1 Applied economics letters 1 Applied mathematical finance 1 Economics Papers from University Paris Dauphine 1 European journal of operational research : EJOR 1 Finance and stochastics 1 International journal of financial engineering 1 Journal of Economic Dynamics and Control 1 Journal of economic dynamics & control 1 Journal of mathematical finance 1 Journal of risk and financial management : JRFM 1 Mathematical finance : an international journal of mathematics, statistics and financial economics 1 Mathematics and financial economics 1 Risks 1 Risks : open access journal 1 Statistics & Probability Letters 1 Working Papers / HAL 1 Working paper series 1
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Source
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ECONIS (ZBW) 21 RePEc 9 BASE 2 EconStor 2
Showing 11 - 20 of 34
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Hedging the risk of delayed data in defaultable markets
Okhrati, Ramin - In: Applied mathematical finance 26 (2019) 2, pp. 101-130
Persistent link: https://www.econbiz.de/10012210262
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Pricing and hedging of VIX options for Barndorff-Nielsen and Shephard models
Arai, Takuji - In: International journal of theoretical and applied finance 22 (2019) 8, pp. 1-26
Persistent link: https://www.econbiz.de/10012183209
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Local risk-minimization with multiple assets under illiquidity with applications in energy markets
Christodoulou, Panagiotis; Detering, Nils; … - In: International journal of theoretical and applied finance 21 (2018) 4, pp. 1-44
Persistent link: https://www.econbiz.de/10011891849
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Option valuation with liquidity risk and jumps
Zhang, Hai; Ku, Hyejin - In: Applied economics letters 25 (2018) 6, pp. 381-387
Persistent link: https://www.econbiz.de/10011854549
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Local Risk-Minimization under the Benchmark Approach
Biagini, Francesca; Cretarola, Alessandra; Platen, Eckhard - Finance Discipline Group, Business School - 2012
We study the pricing and hedging of derivatives in incomplete financial markets by considering the local risk-minimization … method in the context of the benchmark approach, which will be called benchmarked local risk-minimization. We show that the … proposed benchmarked local risk-minimization allows to handle under extremely weak assumptions a much richer modeling world …
Persistent link: https://www.econbiz.de/10010617688
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Unit-linked life insurance policies : optimal hedging in partially observable market models
Ceci, Claudia; Colaneri, Katia; Cretarola, Alessandra - In: Insurance / Mathematics & economics 76 (2017), pp. 149-163
Persistent link: https://www.econbiz.de/10011774803
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Local risk-minimization for Barndorff-Nielsen and Shephard models
Arai, Takuji; Imai, Yuto; Suzuki, Ryoichi - In: Finance and stochastics 21 (2017) 2, pp. 551-592
Persistent link: https://www.econbiz.de/10011944406
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Numerical analysis on local risk-minimization for exponential Lévy models
Arai, Takuji; Imai, Yuto; Suzuki, Ryoichi - In: International journal of theoretical and applied finance 19 (2016) 2, pp. 1-27
Persistent link: https://www.econbiz.de/10011454349
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Hedging of time discrete auto-regressive stochastic volatility options
Badescu, Alexandru; Castillo, Joan del; Ortega, Juan-Pablo - In: Annals of economics and statistics 123/124 (2016), pp. 271-306
Persistent link: https://www.econbiz.de/10011592752
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A structural risk-neutral model for pricing and hedging power derivatives
Aid, René; Campi, Luciano; Langrené, Nicolas - HAL - 2010
such a market incomplete. We follow a local risk minimization approach to price and hedge energy derivatives. Despite the …
Persistent link: https://www.econbiz.de/10008793959
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