Search Results - subject:"Local risk"

A new lattice approach for risk-minimization hedging under generalized autoregressive conditional heteroskedasticity models

Ma, Junmei; Wang, Chen; Xu, Wei - In: European journal of operational research : EJOR 321 (2025) 3, pp. 1021-1035

Persistent link: https://www.econbiz.de/10015409961

A Girsanov transformed Clark-Ocone-Haussmann type formula for L1-pure jump additive processes and its application to portfolio optimization

Handa, Masahiro; Sakuma, Noriyoshi; Suzuki, Ryoichi - In: Annals of finance 20 (2024) 3, pp. 329-352

Persistent link: https://www.econbiz.de/10015188744

Term structure modeling with overnight rates beyond stochastic continuity

Fontana, Claudio; Grbac, Zorana; Schmidt, Thorsten - In: Mathematical finance : an international journal of … 34 (2024) 1, pp. 151-189

Persistent link: https://www.econbiz.de/10014471210

A state-dependent international CAPM for partially integrated markets : using local and US risk factors

Hematizadeh, Roksana; Tajaddini, Reza - In: Global finance journal 62 (2024), pp. 1-15

Persistent link: https://www.econbiz.de/10015422031

Higher order risk attitudes : new model insights and heterogeneity of preferences

Georgalos, Konstantinos; Payá, Ivan; Peel, David - In: Experimental economics : a journal of the Economic … 26 (2023) 1, pp. 145-192

Persistent link: https://www.econbiz.de/10014227983

Deep Quadratic Hedging

Gnoatto, Alessandro; Lavagnini, Silvia; Picarelli, Athena - 2022

Persistent link: https://www.econbiz.de/10013535748

American option evaluations using higher moments

Gaillardetz, Patrice; Hachem, Saeb el - In: Studies in economics and finance 41 (2024) 5, pp. 981-997

Persistent link: https://www.econbiz.de/10015199615

Essays on economic sentiment dynamics and asymmetric multifractal models of financial volatility

Sushko, Stepan S. - 2021

Persistent link: https://www.econbiz.de/10012940057

Realized semibetas and international stock return predictability

Amaya, Diego; Herrerias, Renata; Perez, Fernando; … - In: Finance research letters 58 (2023) 3, pp. 1-7

Persistent link: https://www.econbiz.de/10015047322

American option evaluations using higher moments

Gaillardetz, Patrice; Hachem, Saeb - In: Studies in Economics and Finance 41 (2023) 5, pp. 981-997

Purpose By using higher moments, this paper extends the quadratic local risk-minimizing approach in a general discrete … derivatives with American features using local risk-minimizing strategies. The financial structure is in line with Schweizer (1988 …

Persistent link: https://www.econbiz.de/10015356140

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