HEDGING WITH ENERGY

DOI10.1111/j.1467-9965.2006.00280.xzbMath1133.91414OpenAlexW2071153330MaRDI QIDQ5455260

Francesco Corielli

Publication date: 3 April 2008

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2006.00280.x

Mathematics Subject Classification ID

Related Items (1)

Applying hedging strategies to estimate model risk and provision calculation

Cites Work

• Estimating equations based on eigenfunctions for a discretely observed diffusion process
• Residual risks and hedging strategies in Markovian markets
• LOGNORMAL-MIXTURE DYNAMICS AND CALIBRATION TO MARKET VOLATILITY SMILES
• Robustness of the Black and Scholes Formula
• Estimation of Continuous-Time Markov Processes Sampled at Random Time Intervals
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