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Citations for "Quantile hedging"

by Hans FÃllmer & Peter Leukert

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  1. Peter Lindberg, 2010. "Optimal partial hedging in a discrete-time market as a knapsack problem," Mathematical Methods of Operations Research, Springer, vol. 72(3), pages 433-451, December.
  2. Erhan Bayraktar & Gu Wang, 2014. "Quantile Hedging in a Semi-Static Market with Model Uncertainty," Papers 1408.4848,, revised Jul 2015.
  3. Wayne King Ming Chan, 2015. "RAROC-Based Contingent Claim Valuation," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 21, April.
  4. Ying Jiao & Olivier Klopfenstein & Peter Tankov, 2013. "Hedging under multiple risk constraints," Papers 1309.5094,
  5. 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.
  6. 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.
  7. repec:spr:compst:v:72:y:2010:i:3:p:433-451 is not listed on IDEAS
  8. 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.
  9. Benjamin HAMIDI & Bertrand MAILLET & Jean-Luc PRIGENT, 2013. "A Dynamic AutoRegressive Expectile for Time-Invariant Portfolio Protection Strategies," Working Papers 164, Orleans Economic Laboratorys, University of Orleans.
  10. Erhan Bayraktar & Zhou Zhou, 2013. "On model-independent pricing/hedging using shortfall risk and quantiles," Papers 1307.2493,
  11. Thai Huu Nguyen & Serguei Pergamenshchikov, 2015. "Approximate hedging problem with transaction costs in stochastic volatility markets," Papers 1505.02546,
  12. Klusik, Przemyslaw & Palmowski, Zbigniew, 2011. "Quantile hedging for equity-linked contracts," Insurance: Mathematics and Economics, Elsevier, vol. 48(2), pages 280-286, March.
  13. 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.
  14. 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.
  15. 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.
  16. Wang, Yumin, 2009. "Quantile hedging for guaranteed minimum death benefits," Insurance: Mathematics and Economics, Elsevier, vol. 45(3), pages 449-458, December.
  17. J Thijssen, 2005. "Risk, Strategy, and Optimal Timing of M&A Activity," Trinity Economics Papers 200056, Trinity College Dublin, Department of Economics.
  18. Pellizzari, P., 2005. "Static hedging of multivariate derivatives by simulation," European Journal of Operational Research, Elsevier, vol. 166(2), pages 507-519, October.
  19. Francesca Biagini & Paolo Guasoni & Maurizio Pratelli, 2000. "Mean-Variance Hedging for Stochastic Volatility Models," Mathematical Finance, Wiley Blackwell, vol. 10(2), pages 109-123.
  20. 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.
  21. 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.
  22. Przemys\law Klusik, 2014. "Market risk modelling in Solvency II regime and hedging options not using underlying," Papers 1405.1212,
  23. Huu Thai Nguyen & Serguei Pergamenchtchikov, 2012. "Approximate hedging problem with transaction costs in stochastic volatility markets," Working Papers hal-00747689, HAL.
  24. 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.
  25. Trabs, Mathias, 2015. "Quantile estimation for Lévy measures," Stochastic Processes and their Applications, Elsevier, vol. 125(9), pages 3484-3521.
  26. Klusik Przemyslaw, 2014. "Hedging of equity-linked with maximal success factor," Papers 1405.0732,
  27. Tristan Guillaume, 2008. "Making the best of best-of," Review of Derivatives Research, Springer, vol. 11(1), pages 1-39, March.
  28. 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.
  29. Bruno Bouchard & Jean-François Chassagneux & Géraldine Bouveret, 2014. "A backward dual representation for the quantile hedging of Bermudan options," Working Papers hal-01069270, HAL.
  30. Kraft, Holger & Steffensen, Mogens, 2013. "A dynamic programming approach to constrained portfolios," European Journal of Operational Research, Elsevier, vol. 229(2), pages 453-461.
  31. Tim Leung & Qingshuo Song & Jie Yang, 2011. "Outperformance Portfolio Optimization via the Equivalence of Pure and Randomized Hypothesis Testing," Papers 1109.5316,, revised Mar 2013.
  32. 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.
  33. 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.
  34. repec:spr:compst:v:75:y:2012:i:3:p:221-243 is not listed on IDEAS
  35. Melnikov, Alexander & Tong, Shuo, 2014. "Quantile hedging on equity-linked life insurance contracts with transaction costs," Insurance: Mathematics and Economics, Elsevier, vol. 58(C), pages 77-88.
  36. Jeanblanc, Monique & Dana, Rose-Anne, 2003. "Financial Markets in Continuous Time," Economics Papers from University Paris Dauphine 123456789/13604, Paris Dauphine University.
  37. 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.
  38. Pascal François & Geneviève Gauthier & Frédéric Godin, 2012. "Optimal Hedging when the Underlying Asset Follows a Regime-switching Markov Process," Cahiers de recherche 1234, CIRPEE.
  39. Thomas Knispel, 2012. "Asymptotics of robust utility maximization," Papers 1203.1191,
  40. 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.
  41. Adrien Nguyen Huu & Nadia Oudjane, 2014. "Hedging Expected Losses on Derivatives in Electricity Futures Markets," Papers 1401.8271,
  42. 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.
  43. Bruno Bouchard & Ludovic Moreau & Marcel Nutz, 2012. "Stochastic target games with controlled loss," Papers 1206.6325,, revised Apr 2014.
  44. 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.
  45. Kraft, Holger & Steffensen, Mogens, 2012. "A dynamic programming approach to constrained portfolios," CFS Working Paper Series 2012/07, Center for Financial Studies (CFS).
  46. Peter Lindberg, 2012. "Optimal partial hedging of an American option: shifting the focus to the expiration date," Mathematical Methods of Operations Research, Springer, vol. 75(3), pages 221-243, June.
  47. St\'ephane Goutte & Nadia Oudjane & Francesco Russo, 2013. "Variance optimal hedging for continuous time additive processes and applications," Papers 1302.1965,
  48. Melnikov, Alexander & Smirnov, Ivan, 2012. "Dynamic hedging of conditional value-at-risk," Insurance: Mathematics and Economics, Elsevier, vol. 51(1), pages 182-190.
  49. 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.
  50. Huhtala, Heli, 2008. "Along but beyond mean-variance: Utility maximization in a semimartingale model," Research Discussion Papers 5/2008, Bank of Finland.
  51. Tomasz Tkalinski, 2014. "Convex hedging of non-superreplicable claims in discrete-time market models," Mathematical Methods of Operations Research, Springer, vol. 79(2), pages 239-252, April.
  52. Bruno Bouchard & Ludovic Moreau & Mete H. Soner, 2013. "Hedging under an expected loss constraint with small transaction costs," Papers 1309.4916,, revised Sep 2014.
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.