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Risk measure pricing and hedging in incomplete markets

Citations

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Cited by:

  1. Michail Anthropelos & Gordan Žitković, 2010. "Partial equilibria with convex capital requirements: existence, uniqueness and stability," Annals of Finance, Springer, vol. 6(1), pages 107-135, January.
  2. Horikawa, Hiroaki & Nakagawa, Kei, 2024. "Relationship between deep hedging and delta hedging: Leveraging a statistical arbitrage strategy," Finance Research Letters, Elsevier, vol. 62(PA).
  3. Hirbod Assa & Nikolay Gospodinov, 2018. "Market consistent valuations with financial imperfection," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 41(1), pages 65-90, May.
  4. Maslyuk-Escobedo, Svetlana & Rotaru, Kristian & Dokumentov, Alexander, 2017. "News sentiment and jumps in energy spot and futures markets," Pacific-Basin Finance Journal, Elsevier, vol. 45(C), pages 186-210.
  5. Josselin Garnier & Knut Solna, 2018. "Optimal hedging under fast-varying stochastic volatility," Papers 1810.08337, arXiv.org, revised Mar 2020.
  6. Wayne King Ming Chan, 2015. "RAROC-Based Contingent Claim Valuation," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 3-2015, January-A.
  7. Michail Anthropelos, 2012. "The Effect of Market Power on Risk-Sharing," Papers 1206.0384, arXiv.org, revised May 2016.
  8. Ivan Peñaloza & Pablo Padilla, 2022. "A Pricing Method in a Constrained Market with Differential Informational Frameworks," Computational Economics, Springer;Society for Computational Economics, vol. 60(3), pages 1055-1100, October.
  9. François, Pascal & Gauthier, Geneviève & Godin, Frédéric, 2014. "Optimal hedging when the underlying asset follows a regime-switching Markov process," European Journal of Operational Research, Elsevier, vol. 237(1), pages 312-322.
  10. Wayne King Ming Chan, 2015. "RAROC-Based Contingent Claim Valuation," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 21, July-Dece.
  11. Ke Wan & Alain Kornhauser, 2023. "Market Making and Pricing of Financial Derivatives based on Road Travel Times," Papers 2305.02523, arXiv.org, revised May 2023.
  12. Takuji Arai, 2015. "Good deal bounds with convex constraints," Papers 1506.00396, arXiv.org.
  13. Jonas Blessing & Michael Kupper & Alessandro Sgarabottolo, 2024. "Discrete approximation of risk-based prices under volatility uncertainty," Papers 2411.00713, arXiv.org.
  14. Blanka Horvath & Josef Teichmann & Žan Žurič, 2021. "Deep Hedging under Rough Volatility," Risks, MDPI, vol. 9(7), pages 1-20, July.
  15. Pascal François & Geneviève Gauthier & Frédéric Godin, 2012. "Optimal Hedging when the Underlying Asset Follows a Regime-switching Markov Process," Cahiers de recherche 1234, CIRPEE.
  16. Alexander Chigodaev, 2016. "Recursive Method for Guaranteed Valuation of Options in Deterministic Game Theoretic Approach," HSE Working papers WP BRP 53/FE/2016, National Research University Higher School of Economics.
  17. Alexandre Carbonneau & Frédéric Godin, 2023. "Deep Equal Risk Pricing of Financial Derivatives with Non-Translation Invariant Risk Measures," Risks, MDPI, vol. 11(8), pages 1-27, August.
  18. Marcelo Righi, 2024. "Optimal hedging with variational preferences under convex risk measures," Papers 2407.03431, arXiv.org, revised Oct 2024.
  19. Takuji Arai, 2016. "Good deal bounds with convex constraints: --- examples and proofs ---," Keio-IES Discussion Paper Series 2016-017, Institute for Economics Studies, Keio University.
  20. Blanka Horvath & Josef Teichmann & Zan Zuric, 2021. "Deep Hedging under Rough Volatility," Papers 2102.01962, arXiv.org.
  21. Mustafa Pınar, 2011. "Gain–loss based convex risk limits in discrete-time trading," Computational Management Science, Springer, vol. 8(3), pages 299-321, August.
  22. Michail Anthropelos & Gordan Zitkovic, 2009. "Partial Equilibria with Convex Capital Requirements: Existence, Uniqueness and Stability," Papers 0901.3318, arXiv.org.
  23. Alexandre Carbonneau & Fr'ed'eric Godin, 2021. "Deep equal risk pricing of financial derivatives with non-translation invariant risk measures," Papers 2107.11340, arXiv.org.
  24. Guo, Ivan & Zhu, Song-Ping, 2017. "Equal risk pricing under convex trading constraints," Journal of Economic Dynamics and Control, Elsevier, vol. 76(C), pages 136-151.
  25. Hans Buhler & Lukas Gonon & Josef Teichmann & Ben Wood, 2018. "Deep Hedging," Papers 1802.03042, arXiv.org.
  26. Ravi Kashyap, 2022. "Options as Silver Bullets: Valuation of Term Loans, Inventory Management, Emissions Trading and Insurance Risk Mitigation using Option Theory," Annals of Operations Research, Springer, vol. 315(2), pages 1175-1215, August.
  27. Takuji Arai & Masaaki Fukasawa, 2011. "Convex risk measures for good deal bounds," Papers 1108.1273, arXiv.org.
  28. Michail Anthropelos & Nikolaos E. Frangos & Stylianos Z. Xanthopoulos & Athanasios N. Yannacopoulos, 2008. "On contingent claims pricing in incomplete markets: A risk sharing approach," Papers 0809.4781, arXiv.org, revised Feb 2012.
  29. Wurth, A.M., 2009. "Pricing and hedging in incomplete financial markets," Other publications TiSEM 45e60d16-cf9e-4740-bb05-0, Tilburg University, School of Economics and Management.
  30. Ravi Kashyap, 2016. "Options as Silver Bullets: Valuation of Term Loans, Inventory Management, Emissions Trading and Insurance Risk Mitigation using Option Theory," Papers 1609.01274, arXiv.org, revised Mar 2022.
  31. Claußen, Arndt & Rösch, Daniel & Schmelzle, Martin, 2019. "Hedging parameter risk," Journal of Banking & Finance, Elsevier, vol. 100(C), pages 111-121.
  32. Yannick Limmer & Blanka Horvath, 2023. "Robust Hedging GANs," Papers 2307.02310, arXiv.org.
  33. Yumi Oum & Shmuel S. Oren, 2010. "Optimal Static Hedging of Volumetric Risk in a Competitive Wholesale Electricity Market," Decision Analysis, INFORMS, vol. 7(1), pages 107-122, March.
  34. Karl F. Bann�r & Matthias Scherer, 2014. "On the calibration of distortion risk measures to bid-ask prices," Quantitative Finance, Taylor & Francis Journals, vol. 14(7), pages 1217-1228, July.
  35. Rohini Kumar & Frederick Forrest Miller & Hussein Nasralah & Stephan Sturm, 2024. "Risk-indifference Pricing of American-style Contingent Claims," Papers 2409.00095, arXiv.org.
  36. Takuji Arai, 2017. "Good Deal Bounds With Convex Constraints," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(02), pages 1-15, March.
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