Search Results - subject:"Local risk minimization"

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

Deep Quadratic Hedging

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

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

Best-estimates in bond markets with reinvestment risk

MacKay, Anne; Wüthrich, Mario V. - In: Risks 3 (2015) 3, pp. 250-276

The concept of best-estimate, prescribed by regulators to value insurance liabilities for accounting and solvency purposes, has recently been discussed extensively in the industry and related academic literature. To differentiate hedgeable and non-hedgeable risks in a general case, recent...

Persistent link: https://www.econbiz.de/10011709526

Quadratic hedging of basis risk

Hulley, Hardy; McWalter, Thomas A. - In: Journal of Risk and Financial Management 8 (2015) 1, pp. 83-102

This paper examines a simple basis risk model based on correlated geometric Brownian motions. We apply quadratic criteria to minimize basis risk and hedge in an optimal manner. Initially, we derive the Föllmer-Schweizer decomposition for a European claim. This allows pricing and hedging under...

Persistent link: https://www.econbiz.de/10011843253

Quadratic Hedging of Basis Risk

Hulley, Hardy; McWalter, Thomas A. - In: Journal of Risk and Financial Management 8 (2015) 1, pp. 83-102

This paper examines a simple basis risk model based on correlated geometric Brownian motions. We apply quadratic criteria to minimize basis risk and hedge in an optimal manner. Initially, we derive the Föllmer–Schweizer decomposition for a European claim. This allows pricing and hedging under...

Persistent link: https://www.econbiz.de/10011152642

Best-estimates in bond markets with reinvestment risk

MacKay, Anne; Wüthrich, Mario V. - In: Risks : open access journal 3 (2015) 3, pp. 250-276

Persistent link: https://www.econbiz.de/10011300314

Quadratic hedging of basis risk

Hulley, Hardy; McWalter, Thomas A. - In: Journal of risk and financial management : JRFM 8 (2015) 1, pp. 83-102

This paper examines a simple basis risk model based on correlated geometric Brownian motions. We apply quadratic criteria to minimize basis risk and hedge in an optimal manner. Initially, we derive the Föllmer–Schweizer decomposition for a European claim. This allows pricing and hedging under...

Persistent link: https://www.econbiz.de/10011552886

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