A STOCHASTIC OIL PRICE MODEL FOR OPTIMAL HEDGING AND RISK MANAGEMENT

DOI10.1142/S0219024922500091zbMath1484.91498OpenAlexW4221028144MaRDI QIDQ5066304

Teemu Pennanen, Luciane Sbaraini Bonatto

Publication date: 29 March 2022

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024922500091

zbMATH Keywords

stochastic modelingmarket riskrisk managementoptimal hedgingoil pricesilliquid marketsmarket incompleteness

Mathematics Subject Classification ID

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

Uses Software

• Mosek

Cites Work

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• Lectures on convex optimization
• Numerical Methods of Statistics

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