[PDF] Top 20 Optimal continuous-time hedging with leptokurtic returns
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Optimal continuous-time hedging with leptokurtic returns
... mean-variance hedging is that the optimal hedge is an (affine) function of the endogenous state variable, which introduces path depen- dency absent in the Black–Scholes ...exogenous hedging ... See full document
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Continuous time stochastic analysis of optimal experimentation and of derivative asset pricing
... Many economic or financial activities are characterised by the need to make in tertem poral decisions in the presence of continuing uncertainty. A firm which plans to introduce a new product, for example, is typically ... See full document
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Mean-variance hedging and optimal investment in Heston's model with correlation
... at time T by dynamic trading in the underlying asset S if the hedger wishes to minimize the expected squared hedging ...the optimal hedge is to derive the density process of the so-called ... See full document
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Futures hedging of commodity risk : designing hedging strategies with a focus on the study of the optimal hedge ratio
... The second step is concerned with settling on an objective that is to be achieved by the hedge. The two targets that are considered in this research are reducing the variance of the hedge portfolio to the maximum extent ... See full document
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Optimal risk sharing and borrowing constraints in a continuous time model with limited commitment
... a hedging position large enough to ob- tain a large gamble, which is necessary to make the double-deviation plan ...discontinuous time path for his bank account balance, he cannot violate his borrowing ... See full document
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Properties of Optimal Smooth Functions in Additive Models for Hedging Multivariate Derivatives
... surface. For estimating the pricing formula, Hutchinson et al. (1994) applied a nonparametric approach via learning networks given empirical observation, and since then, a number of researchers have investigated option ... See full document
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Dynamic Programming and Mean-Variance Hedging in Discrete Time
... mean-variance hedging problem in discrete ...discrete time a natural solution exists which does not require the use of either variance-optimal martingale measure or duality ...the continuous ... See full document
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On optimal hedging and redistribution of catastrophe risk in insurance
... Finally, a typical buy-and-hold investor, such as an insurance company, provides still another example. The portfolio of securities is usually designated as held to maturity (rather than trading for hedge funds and ... See full document
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A parallel Matlab package for approximating the solution to a continuous time stochastic optimal control problem
... computing optimal returns for the termi- nal ...computing optimal returns and controls (and possibly Lagrange multipliers) for each non-terminal stage during backward ...the time ... See full document
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Continuous time portfolio optimization
... in continuous-framework model by using the technology of dynamic replication options with the lower limit in the final level of ...best optimal portfolio strategy in the level of participants optimal ... See full document
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The Optimal Hedging Ratio for Contingent Claims Based on Different Risk Aversions
... multi-stage hedging strategy is proposed for different risk-averse ...the optimal hedging ratios for three kinds of utility func- tions are equivalent and do not relate to the risk aversion ... See full document
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On the effects of static and autoregressive conditional higher order moments on dynamic optimal hedging
... correlation (CCC) (Bollerslev, 1990), dynamic conditional correlation (DCC) (Engle, 2002), asymmetric generalised dynamic conditional correlation (AGDCC) (Cappiello, Engle, and Sheppard, 2006), and BEKK (Engle and ... See full document
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On Lipschitz Continuous Optimal Stopping Boundaries
... the optimal boundary of the American put op- tion is perhaps one of the most renowned examples in this field and for an overview of existing results one may refer to [1], [3], [7], [8], [15], [18], [21] [24], and ... See full document
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Continuous Improvement – Development with Time
... of continuous improvement over time through reviewing the literature ...of continuous improvement and its evolution into today’s worlds sophisticated ...of continuous improvement if not ... See full document
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Optimal Taxation in Dynamic Economies with Increasing Returns
... the optimal levels of r ˆ and w ˆ can be expressed as functions of p, λ, μ and ...these optimal levels of ˆ r and w ˆ into (14), (15), (16) and (17), we may obtain a complete dynamic system with respect to ... See full document
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Optimal Foreign Exchange Risk Hedging: A Mean Variance Portfolio Approach
... the optimal foreign exchange risk hedging model following a standard portfolio ...expected hedging return is defined from the expected cost of the foreign currency using a specified hedging ... See full document
6
Good Approximation of Exponential Utility Function for Optimal Futures Hedging
... the optimal production and hedging decision framework, Lien compares the exponential utility function with its second order approximation under the normality distribution ... See full document
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Good Approximation of Exponential Utility Function for Optimal Futures Hedging
... get optimal production and hedging decision with normal random variables, Lien (2008) compares the exponential utility function with its second order ... See full document
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Optimal cross hedging of Insurance derivatives using quadratic BSDEs
... the optimal policies, whilst the characterisation by martingale optimality gives a non-empty set in which the optimal strategies ...the optimal investment ... See full document
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A continuous-in-time financial model
... In order to deepen this probabilistic vision, several references are proposed to the reader. The paper of Hanselmann, Schrempf & Hanebeck [7] describes a numerical method which is based on optimization and estimate ... See full document
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