SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Convex Hedging in Incomplete Markets
12 references·3 citing·35 second hop
Convex Hedging in Incomplete Markets (2007)Convex Hedging in Incomplete MarketsThe Mathematics of Arbitrage (2006)The Mathematics of ArbitrageOptimization of Convex Risk Functions (2006)Optimization of Convex Risk F…The Mathematics of Arbitrage (2005)The Mathematics of ArbitrageStochastic Finance (2004)Stochastic FinanceEfficient hedging with coherent risk measure (2004)Efficient hedging with cohere…Convex measures of risk and trading constraints (2002)Convex measures of risk and t…Coherent Risk Measures on General Probability Spaces (2002)Coherent Risk Measures on Gen…Efficient hedging: Cost versus shortfall risk (2000)Efficient hedging: Cost versu…Quantile hedging (1999)Quantile hedgingInfinite Dimensional Analysis (1999)Infinite Dimensional AnalysisCoherent Measures of Risk (1999)Coherent Measures of RiskMethods of Mathematical Finance (1998)Methods of Mathematical Finan…On the construction of optimal payoffs (2019)On the construction of optima…Approaches to Conditional Risk (2012)Approaches to Conditional RiskOptimal static-dynamic hedges for exotic options under convex risk measures (2009)Optimal static-dynamic hedges…Cores of convex games (1971)Modelling Extremal Events (1997)On law invariant coherent risk measures (2001)Putting order in risk measures (2002)Generalized deviations in risk analysis (2005)Mean-Risk Analysis with Risk Associated with Below-Target Returns (1975)Actuarial versus Financial Pricing of Insurance (2000)Minimax and minimal distance martingale measures and their relationship to portfolio optimization (2001)Variance-optimal hedging for processes with stationary independent increments (2006)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)Methods of Measuring the Concentration of Wealth (1905)Optimization of conditional value-at-risk (2000)Analysis of stochastic dual dynamic programming method (2010)A unified framework for stochastic optimization (2018)Climate Risk and Financial Stability in the Network of Banks and Investment Funds (2019)Conditional value-at-risk for general loss distributions (2002)Modeling and Forecasting Realized Volatility (2003)Theory and Applications of Robust Optimization (2010)Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices (2001)A Jump-Diffusion Model for Option Pricing (2002)Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics (2004)Distributionally Robust Optimization and Its Tractable Approximations (2010)Distributionally Robust Convex Optimization (2014)Sovereign default and debt renegotiation (2009)Homo Moralis--Preference Evolution Under Incomplete Information and Assortative Matching (2013)Quantifying Distributional Model Risk via Optimal Transport (2019)ASSET PRICE BUBBLES IN INCOMPLETE MARKETS (2010)A DYSFUNCTIONAL ROLE OF HIGH FREQUENCY TRADING IN ELECTRONIC MARKETS (2012)Arbitrage and duality in nondominated discrete-time models (2015)Coherent multiperiod risk adjusted values and Bellman’s principle (2006)AN OLD‐NEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT (2007)Robustness and sensitivity analysis of risk measurement procedures (2010)Portfolio Optimization With Markov-Modulated Stock Prices and Interest Rates (2004)Satisficing Measures for Analysis of Risky Positions (2008)PORTFOLIO CHOICE VIA QUANTILES (2010)
this work references cited by second hop

References

  • 1999Coherent Measures of Risk8,849 cited
  • 1998Methods of Mathematical Finance1,939 cited
  • 2002Convex measures of risk and trading constraints1,452 cited
  • 1999Infinite Dimensional Analysis1,120 cited
  • 2002Coherent Risk Measures on General Probability Spaces753 cited
  • 2004Stochastic Finance701 cited
  • 2006Optimization of Convex Risk Functions474 cited
  • 2005The Mathematics of Arbitrage344 cited
  • 2000Efficient hedging: Cost versus shortfall risk308 cited
  • 1999Quantile hedging294 cited
  • 2006The Mathematics of Arbitrage187 cited
  • 2004Efficient hedging with coherent risk measure65 cited

Cited by

  • 2012Approaches to Conditional Risk59 cited
  • 2009Optimal static-dynamic hedges for exotic options under convex risk measures27 cited
  • 2019On the construction of optimal payoffs26 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work