A Framework for Dynamic Hedging under Convex Risk Measures

DOI10.1007/978-3-0348-0021-1_24zbMath1246.91120OpenAlexW2100167075MaRDI QIDQ2904890

Ronnie Sircar, Antoine Toussaint

Publication date: 24 August 2012

Published in: Seminar on Stochastic Analysis, Random Fields and Applications VI (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-0348-0021-1_24

zbMATH Keywords

hedgingconvex risk measuresshortfall risk

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

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