On the risk management of demand deposits: quadratic hedging of interest rate margins

DOI10.1007/s10479-020-03726-1zbMath1492.91391OpenAlexW3080885279MaRDI QIDQ2151679

Alexandre Adam, Jean-Luc Prigent, Jean-Paul Laurent, Hamza Cherrat, Mohamed Houkari

Publication date: 5 July 2022

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-020-03726-1

zbMATH Keywords

risk managementdemand depositsquadratic hedginginterest rate margins

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cites Work

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