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Performance of utility-based strategies for hedging basis risk
16 references·8 citing·41 second hop
Performance of utility-based strategies for hedging basis risk (2004)Performance of utility-based strategies f…A Guided Tour through Quadratic Hedging Approaches (2010)A Guided Tour through Quadrat…Optimal Hedging with Basis Risk (2006)Optimal Hedging with Basis Ri…ON UTILITY‐BASED PRICING OF CONTINGENT CLAIMS IN INCOMPLETE MARKETS (2005)ON UTILITY‐BASED PRICING OF C…Optimal investment with random endowments in incomplete markets (2004)Optimal investment with rando…VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION (2002)VALUATION OF CLAIMS ON NONTRA…Real options with constant relative risk aversion (2002)Real options with constant re…Optimal investment in incomplete markets when wealth may become negative (2001)Optimal investment in incompl…A solution approach to valuation with unhedgeable risks (2001)A solution approach to valuat…Efficient hedging: Cost versus shortfall risk (2000)Efficient hedging: Cost versu…Coherent Measures of Risk (1999)Coherent Measures of RiskAn Asymptotic Analysis of an Optimal Hedging Model for Option Pricing with Transaction Costs (1997)An Asymptotic Analysis of an …Hedging of contingent claims under incomplete information (1990)Hedging of contingent claims …Martingales and stochastic integrals in the theory of continuous trading (1981)Martingales and stochastic in…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Optimum consumption and portfolio rules in a continuous-time model (1971)Optimum consumption and portf…Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Lifetime Portfolio Selection …Crypto quanto and inverse options (2023)Crypto quanto and inverse opt…Option Hedging Using LSTM-RNN: An Empirical Analysis (2019)Option Hedging Using LSTM-RNN…PRICING AND HEDGING OF DERIVATIVES BASED ON NONTRADABLE UNDERLYINGS (2010)PRICING AND HEDGING OF DERIVA…Minimal Martingale Measure (2010)Minimal Martingale MeasureExponential utility maximization under partial information (2009)Exponential utility maximizat…Optimal hedging and parameter uncertainty (2007)Optimal hedging and parameter…Asymptotic analysis of utility-based hedging strategies for small number of contingent claims (2007)Asymptotic analysis of utilit…Characterisation of optimal dual measures via distortion (2006)Characterisation of optimal d…Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis (2001)Theory of rational option pricing (2005)Valuation and hedging of life insurance liabilities with systematic mortality risk (2006)Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives (2011)Stochastic Differential Equations (2003)Controlled Markov Processes and Viscosity Solutions (2005)Indifference Pricing (2008)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)Aspects of the Theory of Risk-Bearing. (1966)An Intertemporal Capital Asset Pricing Model (1973)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)Risk Aversion in the Small and in the Large (1976)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)Theory of Rational Option Pricing (1973)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Modeling Term Structures of Defaultable Bonds (1999)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Martingales and arbitrage in multiperiod securities markets (1979)Option pricing and Esscher transform under regime switching (2005)Numerical Solution of Stochastic Differential Equations with Jumps in Finance (2010)Investment under Uncertainty (1994)Investment Under Uncertainty. (1994)Rational hedging and valuation of integrated risks under constant absolute risk aversion (2003)Brownian Motion and Stochastic Calculus (2007)A critical review of Real Options thinking for valuing investment flexibility in Smart Grids and low carbon energy systems (2015)Mean field and n‐agent games for optimal investment under relative performance criteria (2019)Conditional value-at-risk for general loss distributions (2002)Modeling and Forecasting Realized Volatility (2003)Theory and Applications of Robust Optimization (2010)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1999Coherent Measures of Risk8,849 cited
  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case5,199 cited
  • 1981Martingales and stochastic integrals in the theory of continuous trading2,837 cited
  • 1990Hedging of contingent claims under incomplete information736 cited
  • 2010A Guided Tour through Quadratic Hedging Approaches490 cited
  • 2001A solution approach to valuation with unhedgeable risks330 cited
  • 2000Efficient hedging: Cost versus shortfall risk308 cited
  • 2002VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION257 cited
  • 2001Optimal investment in incomplete markets when wealth may become negative246 cited
  • 1997An Asymptotic Analysis of an Optimal Hedging Model for Option Pricing with Transaction Costs223 cited
  • 2002Real options with constant relative risk aversion151 cited
  • 2004Optimal investment with random endowments in incomplete markets132 cited
  • 2005ON UTILITY‐BASED PRICING OF CONTINGENT CLAIMS IN INCOMPLETE MARKETS112 cited

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  • 2006Optimal Hedging with Basis Risk103 cited
  • Cited by

    • 2007Asymptotic analysis of utility-based hedging strategies for small number of contingent claims51 cited
    • 2010PRICING AND HEDGING OF DERIVATIVES BASED ON NONTRADABLE UNDERLYINGS45 cited
    • 2009Exponential utility maximization under partial information43 cited
    • 2007Optimal hedging and parameter uncertainty38 cited
    • 2019Option Hedging Using LSTM-RNN: An Empirical Analysis30 cited
    • 2023Crypto quanto and inverse options26 cited
    • 2006Characterisation of optimal dual measures via distortion26 cited
    • 2010Minimal Martingale Measure26 cited