CVaR hedging under stochastic interest rate
نویسندگان
چکیده
منابع مشابه
CVaR hedging under stochastic interest rate
In this paper we assess the partial hedging problems by formulating hedging strategies that minimize conditional value-at-risk (CVaR) of the portfolio loss under stochastic interest rate environment. The combination of stochastic interest and CVaR hedging method makes the valuing approach more complex than the existing model with constant interest rate. We take up two issues in searching the op...
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ژورنال
عنوان ژورنال: Frontiers in Applied Mathematics and Statistics
سال: 2015
ISSN: 2297-4687
DOI: 10.3389/fams.2015.00002