Minimizing banking risk in a Lévy process setting

DOI10.1155/2007/32824zbMath1157.91018OpenAlexW1981236679MaRDI QIDQ2472045

Frednard Gideon, Mark Adam Petersen, Janine Mukuddem-Petersen

Publication date: 20 February 2008

Published in: Journal of Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/55197

zbMATH Keywords

Lévy processquadratic hedgingGaltchouck-Kunita-Watanabe decompositionrisk-minimizing strategy

Mathematics Subject Classification ID

Related Items (4)

Bank liquidity and the global financial crisis ⋮ Optimizing asset and capital adequacy management in banking ⋮ Capital adequacy and risk management in banking industry ⋮ Basel III and asset securitization

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• Continuous-time stochastic modelling of capital adequacy ratios for banks
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• On Square Integrable Martingales

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