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在“Elsevier电子期刊”中，命中：10条，耗时：0.0179892 秒

在所有数据库中总计命中：115条

1.Model risk and discretisation of locally risk-minimising strategies

作者：Xianming Sun^a ; ^b ; ^{Xianming.Sun@hotmail.com" class="auth_mail" title="E-mail the corresponding author} ; Thorsten Schulz^c ; ^{t.schulz@tum.de" class="auth_mail" title="E-mail the corresponding author} ; Asma Khedher^d ; ^{A.Khedher@uva.nl" class="auth_mail" title="E-mail the corresponding author} ; Michè ; le Vanmaele^b ; ^{Michele.Vanmaele@ugent.be" class="auth_mail" title="E-mail the corresponding author}

关键词：Quadratic hedging strategies ; Backward stochastic differential equations ; Jump&ndash ; diffusions

刊名：Journal of Computational and Applied Mathematics

出版年：2017

2.Robustness of quadratic hedging strategies in finance via Fourier transforms

作者：Catherine Daveloose^a ; ^{Catherine.Daveloose@UGent.be" class="auth_mail" title="E-mail the corresponding author} ; Asma Khedher^b ; ^{A.Khedher@UvA.nl" class="auth_mail" title="E-mail the corresponding author} ; Michè ; le Vanmaele^a ; ^{Michele.Vanmaele@UGent.be" class="auth_mail" title="E-mail the corresponding author}

关键词：Lé ; vy processes ; Options ; Quadratic hedging ; Fourier transforms ; Robustness

刊名：Journal of Computational and Applied Mathematics

出版年：2016

3.Quadratic hedging strategies for volatility swaps

作者：Xingchun Wang^a ; Jianping Fu^b ; Guanying Wang ; ^c ; ^{wangguanyingnk@163.com" class="auth_mail" title="E-mail the corresponding author} ; Yongjin Wang^d

关键词：Variance-optimal hedging ; Volatility swaps ; Lé ; vy processes ; Fö ; llmer&ndash ; Schweizer decomposition

刊名：Finance Research Letters

出版年：2015

4.Quadratic hedging schemes for non-Gaussian GARCH models

作者：Alexandru Badescu^a ; Robert J. Elliott^b ; ^a ; ^{relliott@ucalgary.ca" class="auth_mail} ; Juan-Pablo Ortega^c

关键词：C02 ; C58 ; G13 ; G17

刊名：Journal of Economic Dynamics and Control

出版年：May 2014

5.An optimal multi-step quadratic risk-adjusted hedging strategy

作者：Shih-Feng Huang^a ; ^{huangsf@nuk.edu.tw} ; Meihui Guo^b ; ^{guomh@math.nsysu.edu.tw}

关键词：62J05 ; 62P05 ; 91B28

刊名：Journal of the Korean Statistical Society

出版年：2013

6.A utility based approach to energy hedging

作者：John Cotter^a ; ^{john.cotter@ucd.ie} ; Jim Hanly^b ; ¹ ; ^{james.hanly@dit.ie}

关键词：G10 ; G12 ; G15

刊名：Energy Economics

出版年：2012

7.On stochastic calculus related to financial assets without semimartingales

作者：Rosanna Coviello^a ; Cristina di Girolami^b ; ; ^{cdigirolami@luiss.it} ; Francesco Russo^c ; ; ^d ; ; ^{francesco.russo@ensta-paristech.fr}

关键词：

刊名：Bulletin des Sciences Mathematiques

出版年：2011

8.A class of quadratic options for exchange rate stabilization

作者：Sangwon Suh ; Fern ; o Zapatero

关键词：Central Bank intervention ; Options ; Hedging strategies

刊名：Journal of Economic Dynamics and Control

出版年：2008

9.Discrete hedging of American-type options using local risk minimization

作者：Thomas F. Coleman ; Dmitriy Levchenkov ; Yuying Li

关键词：American option ; Discrete hedging ; Local risk minimization ; Piecewise linear risk ; VaR ; Binomial tree ; Black– ; Scholes model

刊名：Journal of Banking and Finance

出版年：2007

10.Mean–variance optimization problems for an accumulation phase in a defined benefit plan

作者：Ł ; ukasz Delong ; Russell Gerrard ; Steven Haberman

关键词：Lé ; vy diffusion financial market ; Stochastic mortality intensity process ; Hamilton– ; Jacobi– ; Bellman equation ; Feynman– ; Kac representation

刊名：Insurance: Mathematics and Economics

出版年：2008

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