Combined Custom Hedging: Optimal Design, Noninsurable Exposure, and Operational Risk Management

DOI10.1287/opre.2021.2133zbMath1484.91476OpenAlexW3193281468MaRDI QIDQ5030999

Andrea Roncoroni, Paolo Guiotto

Publication date: 18 February 2022

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

Full work available at URL: https://doi.org/10.1287/opre.2021.2133

zbMATH Keywords

financial engineeringCOVID-19 pandemicintegrated risk managementfinancial product designnoninsurable risk

Mathematics Subject Classification ID

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

Cites Work

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• Optimal Control and Hedging of Operations in the Presence of Financial Markets
• Optimal Timing to Purchase Options

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