Keyword: hedging

Found 11 papers in total
Mortality Risk and Its Effect on Shortfall and Risk Management in Life Insurance
Mortality Risk and Its Effect on Shortfall and Risk Management in Life Insurance
2014,
Mortality risk is a key risk factor for life insurance companies and can have a...
Independence of the hedging points in PHP control policy
Independence of the hedging points in PHP control policy
2014,
For the control of single machine and multiple part‐types manufacturing...
Benders Decomposition for multi‐stage stochastic mixed complementarity problems – Applied to a global natural gas market model
Benders Decomposition for multi‐stage stochastic mixed complementarity problems – Applied to a global natural gas market model
2013,
This paper presents and implements a Benders Decomposition type of algorithm for...
Optimizing bounds on security prices in incomplete markets. Does stochastic volatility specification matter?
Optimizing bounds on security prices in incomplete markets. Does stochastic volatility specification matter?
2013,
We extend and generalize some results on bounding security prices under two stochastic...
Mixed‐integer second‐order cone programming for lower hedging of American contingent claims in incomplete markets
Mixed‐integer second‐order cone programming for lower hedging of American contingent claims in incomplete markets
2013,
We describe a challenging class of large mixed‐integer second‐order cone...
Pricing and hedging of Asian options: quasi‐explicit solutions via Malliavin calculus
Pricing and hedging of Asian options: quasi‐explicit solutions via Malliavin calculus
2011,
We use Malliavin calculus and the Clark–Ocone formula to derive the hedging...
Sudden changes in variance and time varying hedge ratios
Sudden changes in variance and time varying hedge ratios
2011,
This paper analyzes the influence of sudden changes in the unconditional volatility on...
Optimal static hedging of volumetric risk in a competitive wholesale electricity market
Optimal static hedging of volumetric risk in a competitive wholesale electricity market
2010,
In competitive wholesale electricity markets, regulated load-serving entities (LSEs)...
Hedging mean-reverting commodities
Hedging mean-reverting commodities
2010,
This paper uses the expected utility framework to examine the optimal hedging decision...
On the integration of production and financial hedging decisions in global markets
On the integration of production and financial hedging decisions in global markets
2007,
We study the integrated operational and financial hedging decisions faced by a global...
Variance-optimal hedging in discrete-time
Variance-optimal hedging in discrete-time
1995,
We solve the problem of approximating in L 2 a given random variable H by stochastic...
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