Maximizing the Probability of a Perfect Hedge in the Case of Stochastic Interest Rate (Q3104339)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Maximizing the Probability of a Perfect Hedge in the Case of Stochastic Interest Rate |
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Maximizing the Probability of a Perfect Hedge in the Case of Stochastic Interest Rate (English)
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19 December 2011
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quantile hedging
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geometric Brownian motion
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stochastic interest rate
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duality approach
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Vasicek model
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Cameron-Martin formula
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time-changing for martingales
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inverse Laplace transform
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