Approximation of CVaR minimization for hedging under exponential-Lévy models
type: Item
instance of: scholarly article
title: Approximation of CVaR minimization for hedging under exponential-Lévy models
zbMATH Open document ID: 1367.91201
author: Madalina Deaconu
author: Antoine Lejay
author: Khaled Salhi
published in: Journal of Computational and Applied Mathematics
publication date: 2017-08-01T00:00:00Z
full work available at URL: cvar-hedging-exp-levy.pdf
Mathematics Subject Classification ID: 91G70
Mathematics Subject Classification ID: 60G51
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 65T50
zbMATH DE Number: 6755387
zbMATH Keywords: conditional value-at-risk
zbMATH Keywords: exponential-Lévy models
zbMATH Keywords: incomplete market
zbMATH Keywords: Neyman-Pearson lemma
zbMATH Keywords: Esscher martingale measure
zbMATH Keywords: fast Fourier transform
Wikidata QID: Q115581077
MaRDI profile type: Publication
OpenAlex ID: W2587652230
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DOI: 10.1016/J.CAM.2017.05.005
description: scientific article; zbMATH DE number 6755387