Mean-variance hedging with basis risk (Q6574589)
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scientific article; zbMATH DE number 7883120
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Mean-variance hedging with basis risk |
scientific article; zbMATH DE number 7883120 |
Statements
Mean-variance hedging with basis risk (English)
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18 July 2024
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basis risk
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BSDE
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Malliavin derivative
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mean-variance analysis
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optimal hedging
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stochastic LQ control
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