Minimal variance hedging in multicurve interest rate modeling-Reference-Cited by-同舟云学术

Minimal variance hedging in multicurve interest rate modeling

Published:2019-07 Issue:3 Volume:59 Page:338-356
ISSN:0363-1672
Container-title:Lithuanian Mathematical Journal
language:en
Short-container-title:Lith Math J

Author:

Hess Markus

Publisher

Springer Science and Business Media LLC

Subject

General Mathematics

Link

http://link.springer.com/content/pdf/10.1007/s10986-019-09443-y.pdf

Reference27 articles.

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3. F. Benth, J. Šaltyt˙e Benth, and S. Koekebakker, Stochastic Modeling of Electricity and RelatedMarkets, 1st ed., Adv. Ser. Stat. Sci. Appl. Probab., Vol. 11, World Scientific, Singapore, 2008.

4. F. Biagini and B. Øksendal, Minimal variance hedging for insider trading, Int. J. Theor. Appl. Finance, 9(8):1351–1375, 2006.

5. R. Cont and P. Tankov, Financial Modeling with Jump Processes, 1st ed., Chapman & Hall/CRC, Boca Raton, FL, 2004.

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