Robustness of quadratic hedging strategies in finance via Fourier transforms-Reference-Cited by-同舟云学术

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Robustness of quadratic hedging strategies in finance via Fourier transforms

Published:2016-04 Issue: Volume:296 Page:56-88
ISSN:0377-0427
Container-title:Journal of Computational and Applied Mathematics
language:en
Short-container-title:Journal of Computational and Applied Mathematics

Author:

Daveloose Catherine,Khedher Asma,Vanmaele Michèle

Funder

Agency for Innovation by Science and Technology in Flanders (IWT

KPMG the Center of Excellence in Risk Management

Publisher

Elsevier BV

Subject

Applied Mathematics,Computational Mathematics

Reference31 articles.

1. Stochastic Modelling of Electricity and Related Markets;Benth,2008

2. Financial Modelling with Jump Processes;Cont,2004

3. A guided tour through quadratic hedging approaches;Schweizer,2001

4. Hedging of options in a general semimartingale model;Schweizer,1988

5. Option hedging for semimartingales;Schweizer;Stochastic Process. Appl.,1991

Cited by 1 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Quantification of Model Risk in Quadratic Hedging in Finance;Stochastics of Environmental and Financial Economics;2015-10-24

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