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Quadratic hedging and numeraire

Gouriéroux, Christian; Laurent, Jean-Paul; Pham, Huyên - 1995

Persistent link: https://www.econbiz.de/10000924110

Mean-variance hedging and numeraire

Gouriéroux, Christian; Laurent, Jean-Paul; Pham, Huyên - 1996

Persistent link: https://www.econbiz.de/10000950071

Estimation of a dynamic hedge

Gouriéroux, Christian; Laurent, Jean-Paul - 1996

Persistent link: https://www.econbiz.de/10000950710

Mean-variance hedging and numéraire

Gouriéroux, Christian - In: Mathematical finance : an international journal of … 8 (1998) 3, pp. 179-200

Persistent link: https://www.econbiz.de/10001245923

Hedging issues for CDOs

Cousin, Areski; Laurent, Jean-Paul - In: The definitive guide to CDOs : market, application, …, (pp. 461-480). 2008

Persistent link: https://www.econbiz.de/10003918855

Hedging CDO tranches in a Markovian environment

Cousin, Areski; Jeanblanc, Monique; Laurent, Jean-Paul - In: Paris Princeton lectures on mathematical finance 4 (2010), pp. 1-61

Persistent link: https://www.econbiz.de/10009356720

On the risk management of demand deposits : quadratic hedging of interest rate margins

Adam, Alexandre; Cherrat, Hamza; Houkari, Mohamed; … - In: Risk management decisions and value under uncertainty, (pp. 1319-1355). 2022

Persistent link: https://www.econbiz.de/10013342119

Dynamic programming and mean-variance hedging

Pham, HuyËn; Laurent, Jean Paul - In: Finance and Stochastics 3 (1999) 1, pp. 83-110

We consider the mean-variance hedging problem when asset prices follow ItÆ processes in an incomplete market framework. The hedging numÊraire and the variance-optimal martingale measure appear to be a key tool for characterizing the optimal hedging strategy (see GouriÊroux et al. 1996;...

Persistent link: https://www.econbiz.de/10005166850

Dynamic programming and mean-variance hedging

Laurent, Jean Paul; Pham, Huyên - In: Finance and stochastics 3 (1999) 1, pp. 83-110

Persistent link: https://www.econbiz.de/10001367656