Two studies in risk management: portfolio insurance under risk measure constraint and quadratic hedge for jump processes.

Carmine De Franco · HAL (Le Centre pour la Communication Scientifique Directe) · 2012

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Type: preprint
Published: 2012-06-29
Cited by: 2
References: 76
Access: Open access
OpenAlex: https://openalex.org/W119802381
Semantic Scholar: https://api.semanticscholar.org/CorpusID:150404919

Keywords

Portfolio optimization, Replicating portfolio, Portfolio, Risk measure, Actuarial science

References

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Lévy processes and infinitely divisible distributions健一佐藤 — 2013
Variance-Optimal Hedging for Processes with Stationary Independent IncrementsFriedrich Hubalek, Jan Kallsen, Leszek Krawczyk — 2006
Energy Derivatives: Pricing and Risk ManagementLes Clewlow, Chris Strickland — 2000
Optimization of conditional value-at riskR. T. Rockafellar, Stan Uryasev — 2000
On Square Integrable MartingalesHiroshi Kunita, Shinzo Watanabe — 1967
Vector-valued coherent risk measuresElyès Jouini, Moncef Meddeb, Nizar Touzi — 2004
Backward stochastic differential equations and integral-partial differential equationsGuy Barles, Rainer Buckdahn, Étienne Pardoux — 1997
On solutions of backward stochastic differential equations with jumps and applicationsSitu Rong — 1997
On convex risk measures on Lp-spacesM. Kaina, Ludger Rüschendorf — 2009
Time consistent dynamic risk processesJocelyne Bion–Nadal — 2009
Optimal control of diffusion processes and hamilton–jacobi–bellman equations part 2 : viscosity solutions and uniquenessPierre‐Louis Lions — 1983
Dynamic risk measures: Time consistency and risk measures from BMO martingalesJocelyne Bion–Nadal — 2008
Stochastic integration and differential equationsPhilip Protter — 1990

Cited by

Approximate Option Pricing in the Lévy Libor ModelZorana Grbac, David Krief, Peter Tankov — 2015
Asymptotic methods for option pricing in financeDavid Krief — 2018

Two studies in risk management: portfolio insurance under risk measure constraint and quadratic hedge for jump processes.

Keywords

References

Cited by

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