N N Taleb 1. Dynamic Hedging Summary: This chapter introduces the theoretical framework for the analysis of the execution of dynamic hedging..
Dynamic Hedging 2025 pdf epub mobi 用户评价 评分☆☆☆ 还是蛮trading view的一本书。记住了最重要的一句话:a dangerous trade is better left unhedged than mishedged。可惜作者是做FXO出身的没写IRO。 评分☆☆☆ 很intuitional的啊,很好的 评分☆☆☆ 不喜欢一个人的书果然很能指望喜欢他其他的书。...
Pricing hedging and trading EXOTIC DERIVATIVES:定价,套期保值交易的衍生工具 热度: 1 Dynamic Hedging - Nassim N Taleb Home & Professional Page1动态套期保值-纳西姆Taleb家&;专业的网页 热度: Hedging, speculation and shareholder value:套期保值,投机和股东价值 热度: 相关推荐 Dynamic Hedging of ...
Chiang Hsu, Yaw-Huei Wang and Chih-Ping Tseng * ABSTRACT It has been demonstrated in a number of the prior studies that the traditional regression-based static approach is inappropriate for hedging with futures, with the result that a variety of alternative dynamic hedging strategies have emerged...
(2009), "Optimal Dynamic Hedging via Copula-threshold-GARCH Models", Mathematics and Computers in Simulation, 79, 2609-2624.YiHao Lai,Cathy W.S. Chen,Richard Gerlach.Optimal dynamic hedging via copula-threshold-GARCH models[J]. Mathematics and Computers in Simulation .2008(8)...
These investments may be used for investment purposes in pursuit of the Fund’s (non ESG) investment objective, for the purposes of liquidity management and/or hedging. No other holdings are considered against minimum environmental or social safeguards. ...
These investments may be used for investment purposes in pursuit of the Fund’s (non ESG) investment objective, for the purposes of liquidity management and/or hedging. No other holdings are considered against minimum environmental or social safeguards. ...
This paper investigates the dynamic hedging performance of the high frequency data based realized minimum-variance hedge ratio (RMVHR) approach. We comprehensively examine a number of popular time-series models to forecast the RMVHR for the CSI 300 index futures, and evaluate the out-of-sample dy...
The authors propose a heuristic solution method based on the progressive hedging algorithm, delivering high-quality solutions within reasonable running times for problems with a large number of scenarios. In contrast to our work, the authors contemplate uncertainty in the supply of a single supplier ...
Bielecki, T.R., Rutkowski, M.: Credit risk: modelling, valuation and hedging. Springer Finance. Springer-Verlag, Berlin (2002) Google Scholar Campi, L., Çetin, U., Danilova, A.: Dynamic Markov bridges motivated by models of insider trading. Stochastic Processes and their Applications 121...