Advanced Search
MyIDEAS: Login

Citations for "Quantile hedging"

by Hans FÃllmer & Peter Leukert

For a complete description of this item, click here. For a RSS feed for citations of this item, click here.
as in new window
  1. Klusik, Przemyslaw & Palmowski, Zbigniew, 2011. "Quantile hedging for equity-linked contracts," Insurance: Mathematics and Economics, Elsevier, vol. 48(2), pages 280-286, March.
  2. Zhou, Qing & Wu, Weixing & Wang, Zengwu, 2008. "Cooperative hedging with a higher interest rate for borrowing," Insurance: Mathematics and Economics, Elsevier, vol. 42(2), pages 609-616, April.
  3. Klusik Przemyslaw, 2014. "Hedging of equity-linked with maximal success factor," Papers 1405.0732,
  4. Tak Siu & Howell Tong & Hailiang Yang, 2004. "On Bayesian Value at Risk: From Linear to Non-Linear Portfolios," Asia-Pacific Financial Markets, Springer, vol. 11(2), pages 161-184, June.
  5. Li, Zhongfei & Yao, Jing & Li, Duan, 2010. "Behavior patterns of investment strategies under Roy's safety-first principle," The Quarterly Review of Economics and Finance, Elsevier, vol. 50(2), pages 167-179, May.
  6. Tristan Guillaume, 2008. "Making the best of best-of," Review of Derivatives Research, Springer, vol. 11(1), pages 1-39, March.
  7. Gao, Quansheng & He, Ting & Zhang, Chi, 2011. "Quantile hedging for equity-linked life insurance contracts in a stochastic interest rate economy," Economic Modelling, Elsevier, vol. 28(1-2), pages 147-156, January.
  8. Paolo Pellizzari, 2003. "Static Hedging of Multivariate Derivatives by Simulation," Finance 0311013, EconWPA, revised 04 Dec 2003.
  9. Pascal François & Geneviève Gauthier & Frédéric Godin, 2012. "Optimal Hedging when the Underlying Asset Follows a Regime-switching Markov Process," Cahiers de recherche 1234, CIRPEE.
  10. Francesca Biagini & Paolo Guasoni & Maurizio Pratelli, 2000. "Mean-Variance Hedging for Stochastic Volatility Models," Mathematical Finance, Wiley Blackwell, vol. 10(2), pages 109-123.
  11. P. Bertrand & J.L. Prigent, 2000. "Portfolio Insurance : The extreme Value of the CCPI Method," THEMA Working Papers 2000-49, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
  12. Wang, Yumin, 2009. "Quantile hedging for guaranteed minimum death benefits," Insurance: Mathematics and Economics, Elsevier, vol. 45(3), pages 449-458, December.
  13. Nikita Ratanov, 2005. "Quantil Hedging for telegraph markets and its applications to a pricing of equity-linked life insurance contracts," BORRADORES DE INVESTIGACIÓN 003410, UNIVERSIDAD DEL ROSARIO.
  14. St\'ephane Goutte & Nadia Oudjane & Francesco Russo, 2013. "Variance optimal hedging for continuous time additive processes and applications," Papers 1302.1965,
  15. Przemys\law Klusik, 2014. "Market risk modelling in Solvency II regime and hedging options not using underlying," Papers 1405.1212,
  16. Thomas Knispel, 2012. "Asymptotics of robust utility maximization," Papers 1203.1191,
  17. Tim Leung & Qingshuo Song & Jie Yang, 2013. "Outperformance portfolio optimization via the equivalence of pure and randomized hypothesis testing," Finance and Stochastics, Springer, vol. 17(4), pages 839-870, October.
  18. Huu Thai Nguyen & Serguei Pergamenchtchikov, 2012. "Approximate hedging problem with transaction costs in stochastic volatility markets," Working Papers hal-00747689, HAL.
  19. Kraft, Holger & Steffensen, Mogens, 2013. "A dynamic programming approach to constrained portfolios," European Journal of Operational Research, Elsevier, vol. 229(2), pages 453-461.
  20. Kevin Fergusson & Eckhard Platen, 2013. "Real World Pricing of Long Term Cash-Linked Annuities and Equity-Linked Annuities with Cash-Linked Guarantees," Research Paper Series 338, Quantitative Finance Research Centre, University of Technology, Sydney.
  21. Naceur Naguez & Jean-Luc Prigent, 2014. "Dynamic Portfolio Insurance Strategies: Risk Management under Johnson Distributions," Working Papers 2014-329, Department of Research, Ipag Business School.
  22. Melnikov, Alexander & Romaniuk, Yulia, 2006. "Evaluating the performance of Gompertz, Makeham and Lee-Carter mortality models for risk management with unit-linked contracts," Insurance: Mathematics and Economics, Elsevier, vol. 39(3), pages 310-329, December.
  23. Ying Jiao & Olivier Klopfenstein & Peter Tankov, 2013. "Hedging under multiple risk constraints," Papers 1309.5094,
  24. Bruno Bouchard & Ludovic Moreau & Marcel Nutz, 2012. "Stochastic target games with controlled loss," Papers 1206.6325,, revised Apr 2014.
  25. Bruno Bouchard & Ngoc-Minh Dang, 2013. "Generalized stochastic target problems for pricing and partial hedging under loss constraints—application in optimal book liquidation," Finance and Stochastics, Springer, vol. 17(1), pages 31-72, January.
  26. Melnikov, Alexander & Smirnov, Ivan, 2012. "Dynamic hedging of conditional value-at-risk," Insurance: Mathematics and Economics, Elsevier, vol. 51(1), pages 182-190.
  27. Balder, Sven & Brandl, Michael & Mahayni, Antje, 2009. "Effectiveness of CPPI strategies under discrete-time trading," Journal of Economic Dynamics and Control, Elsevier, vol. 33(1), pages 204-220, January.
  28. Peter Lindberg, 2010. "Optimal partial hedging in a discrete-time market as a knapsack problem," Computational Statistics, Springer, vol. 72(3), pages 433-451, December.
  29. J Thijssen, 2005. "Risk, Strategy, and Optimal Timing of M&A Activity," Trinity Economics Papers tep7, Trinity College Dublin, Department of Economics.
  30. Coleman, Thomas F. & Levchenkov, Dmitriy & Li, Yuying, 2007. "Discrete hedging of American-type options using local risk minimization," Journal of Banking & Finance, Elsevier, vol. 31(11), pages 3398-3419, November.
  31. Ben Ameur, H. & Prigent, J.L., 2014. "Portfolio insurance: Gap risk under conditional multiples," European Journal of Operational Research, Elsevier, vol. 236(1), pages 238-253.
  32. Bruno Bouchard & Ludovic Moreau & Mete H. Soner, 2013. "Hedging under an expected loss constraint with small transaction costs," Papers 1309.4916,
  33. Mercurio, Fabio, 2001. "Claim pricing and hedging under market incompleteness and "mean-variance" preferences," European Journal of Operational Research, Elsevier, vol. 133(3), pages 635-652, September.
  34. Peter Lindberg, 2012. "Optimal partial hedging of an American option: shifting the focus to the expiration date," Computational Statistics, Springer, vol. 75(3), pages 221-243, June.
  35. Minina, Vera & Vellekoop, Michel, 2010. "A risk reserve model for hedging in incomplete markets," Journal of Economic Dynamics and Control, Elsevier, vol. 34(7), pages 1233-1247, July.
  36. Branger, Nicole & Mahayni, Antje, 2006. "Tractable hedging: An implementation of robust hedging strategies," Journal of Economic Dynamics and Control, Elsevier, vol. 30(11), pages 1937-1962, November.
  37. Leonel Pérez-Hernández, 2005. "On the Existence of Efficient Hedge for an American Contingent Claim: Discrete Time Market," Department of Economics and Finance Working Papers EC200505, Universidad de Guanajuato, Department of Economics and Finance.
  38. Adrien Nguyen Huu & Nadia Oudjane, 2014. "Hedging Expected Losses on Derivatives in Electricity Futures Markets," Papers 1401.8271,
  39. Kraft, Holger & Steffensen, Mogens, 2012. "A dynamic programming approach to constrained portfolios," CFS Working Paper Series 2012/07, Center for Financial Studies (CFS).
  40. Erhan Bayraktar & Zhou Zhou, 2013. "On model-independent pricing/hedging using shortfall risk and quantiles," Papers 1307.2493,
  41. Tak Kuen Siu & Hailiang Yang, 2000. "A PDE approach to risk measures of derivatives," Applied Mathematical Finance, Taylor & Francis Journals, vol. 7(3), pages 211-228.
  42. Huhtala, Heli, 2008. "Along but beyond mean-variance: Utility maximization in a semimartingale model," Research Discussion Papers 5/2008, Bank of Finland.