Search results for "hedging"

Hits ?▲	Authors	Title	Venue	Year	Link	Author keywords
16	James A. Primbs	Dynamic hedging of basket options under proportional transaction costs using receding horizon control.	Int. J. Control	2009	DBLP DOI BibTeX RDF
16	Ihsan Sabuncuoglu, S. Goren	Hedging production schedules against uncertainty in manufacturing environment with a review of robustness and stability research.	Int. J. Comput. Integr. Manuf.	2009	DBLP DOI BibTeX RDF
16	Jan H. Maruhn, Ekkehard W. Sachs	Robust static hedging of barrier options in stochastic volatility models.	Math. Methods Oper. Res.	2009	DBLP DOI BibTeX RDF
16	B. N. Khoury	A discrete approach to designing optimal hedging-point control policies for production-inventory systems with general stochastic behavior.	Comput. Manag. Sci.	2009	DBLP DOI BibTeX RDF
16	Yoav Freund	A method for Hedging in continuous time	CoRR	2009	DBLP BibTeX RDF
16	Kamalika Chaudhuri, Yoav Freund, Daniel J. Hsu	A parameter-free hedging algorithm	CoRR	2009	DBLP BibTeX RDF
16	Jörg Doege, Max Fehr, Juri Hinz, Hans-Jakob Lüthi, Martina Wilhelm	Risk management in power markets: The Hedging value of production flexibility.	Eur. J. Oper. Res.	2009	DBLP DOI BibTeX RDF
16	Alejandro Balbás, Raquel Balbás, Silvia Mayoral	Portfolio choice and optimal hedging with general risk functions: A simplex-like algorithm.	Eur. J. Oper. Res.	2009	DBLP DOI BibTeX RDF
16	Lars Magnus Hvattum, Arne Løkketangen	Using scenario trees and progressive hedging for stochastic inventory routing problems.	J. Heuristics	2009	DBLP DOI BibTeX RDF
16	Tim Leung, Ronnie Sircar	Exponential Hedging with Optimal Stopping and Application to Employee Stock Option Valuation.	SIAM J. Control. Optim.	2009	DBLP DOI BibTeX RDF
16	Dimitri De Vallière, Emmanuel Denis, Yuri Kabanov	Hedging of American options under transaction costs.	Finance Stochastics	2009	DBLP DOI BibTeX RDF
16	Sean L. Humpherys	Discriminating Fradulent Financial Statements by Identifying Linguistic Hedging.	AMCIS	2009	DBLP BibTeX RDF
16	Oswaldo L. V. Costa, Andre Cury Maiali, Afonso de Campos Pinto	Sampled control for mean-variance hedging in a jump diffusion financial market.	CDC	2009	DBLP DOI BibTeX RDF
16	Uday Kumar M, VijaySekhar Chellaboina, Sanjay P. Bhat, Sandeep Prasad, Anil Bhatia	Discrete-time optimal hedging for multi-asset path-dependent European contingent claims.	CDC	2009	DBLP DOI BibTeX RDF
16	Sanjay P. Bhat, VijaySekhar Chellaboina, Anil Bhatia, Sandeep Prasad, Uday Kumar M	Discrete-time, minimum-variance hedging of European contingent claims.	CDC	2009	DBLP DOI BibTeX RDF
16	Thomas Meinl, Dirk Neumann 0001	A Real Options Model for Risk Hedging in Grid Computing Scenarios.	HICSS	2009	DBLP DOI BibTeX RDF
16	Kamalika Chaudhuri, Yoav Freund, Daniel J. Hsu	A Parameter-free Hedging Algorithm.	NIPS	2009	DBLP BibTeX RDF
16	Cong Sui, Guotai Chi, Zhongyuan Yang	The Study on Hedging Model Based on Risk Tolerance of Hedgers.	BIFE	2009	DBLP DOI BibTeX RDF
16	Shujun Ye, Zelei Fan	The Delta Hedging's Application in Credit Risk Management.	BIFE	2009	DBLP DOI BibTeX RDF
16	Christian Ullrich	Forecasting and Hedging in the Foreign Exchange Markets		2009	RDF
16	Gyu-Sik Han, Jaewook Lee 0001	Prediction of pricing and hedging errors for equity linked warrants with Gaussian process models.	Expert Syst. Appl.	2008	DBLP DOI BibTeX RDF
16	Ron Kaniel, Stathis Tompaidis, Alexander Zemlianov	Efficient Computation of Hedging Parameters for Discretely Exercisable Options.	Oper. Res.	2008	DBLP DOI BibTeX RDF
16	Jerry Coakley, Jian Dollery, Neil Kellard	The role of long memory in hedging effectiveness.	Comput. Stat. Data Anal.	2008	DBLP DOI BibTeX RDF
16	Mehmet Horasanli	Hedging strategy for a portfolio of options and stocks with linear programming.	Appl. Math. Comput.	2008	DBLP DOI BibTeX RDF
16	André de Palma, Jean-Luc Prigent	Hedging global environment risks: An option based portfolio insurance.	Autom.	2008	DBLP DOI BibTeX RDF
16	Mustafa Ç. Pinar	Sharpe-ratio pricing and hedging of contingent claims in incomplete markets by convex programming.	Autom.	2008	DBLP DOI BibTeX RDF
16	Haifeng Yan, Jianqi Yang, Limin Liu	Mixed hedging under additive market price information.	J. Syst. Sci. Complex.	2008	DBLP DOI BibTeX RDF
16	Qingwei Liu, Yi Li, Shouyang Wang	From Hedging to Speculation - An Explanaton Based on Prospect Theory.	J. Syst. Sci. Complex.	2008	DBLP DOI BibTeX RDF
16	Gunther Leobacher	On a class of optimization problems emerging when hedging with short term futures contracts.	Math. Methods Oper. Res.	2008	DBLP DOI BibTeX RDF
16	Yoav Freund, Daniel J. Hsu	A new Hedging algorithm and its application to inferring latent random variables	CoRR	2008	DBLP BibTeX RDF
16	Flavio Pressacco, Marcellino Gaudenzi, Antonino Zanette, Laura Ziani	New insights on testing the efficiency of methods of pricing and hedging American options.	Eur. J. Oper. Res.	2008	DBLP DOI BibTeX RDF
16	Domenico De Giovanni, Sergio Ortobelli Lozza, Svetlozar T. Rachev	Delta hedging strategies comparison.	Eur. J. Oper. Res.	2008	DBLP DOI BibTeX RDF
16	Stein-Erik Fleten, Snorre Lindset	Optimal hedging strategies for multi-period guarantees in the presence of transaction costs: A stochastic programming approach.	Eur. J. Oper. Res.	2008	DBLP DOI BibTeX RDF
16	Claudio Albanese, Stathis Tompaidis	Small transaction cost asymptotics and dynamic hedging.	Eur. J. Oper. Res.	2008	DBLP DOI BibTeX RDF
16	Jianwei Chen, Win Lin Chou	A comparison of the local quadratic hedging model with a conventional parametric model with application to the Hong Kong index futures.	Model. Assist. Stat. Appl.	2008	DBLP DOI BibTeX RDF
16	Michael Mania, Revaz Tevzadze, Teimuraz Toronjadze	Mean-Variance Hedging Under Partial Information.	SIAM J. Control. Optim.	2008	DBLP DOI BibTeX RDF
16	Christian Bender, Tommi Sottinen, Esko Valkeila	Pricing by hedging and no-arbitrage beyond semimartingales.	Finance Stochastics	2008	DBLP DOI BibTeX RDF
16	Marina Resta, Stefano Santini	Robust Hedging of Electricity Retail Portfolios with CVaR Constraints.	MCO	2008	DBLP DOI BibTeX RDF	Supply Side, Energy Management, Robust Optimization, Conditional Value at Risk
16	R. Evren Baysal, Barry L. Nelson, Jeremy Staum	Response surface methodology for simulating hedging and trading strategies.	WSC	2008	DBLP DOI BibTeX RDF
16	Shih-Fen Cheng, John Tajan, Hoong Chuin Lau	Distributing Complementary Resources across Multiple Periods with Stochastic Demand: Hedging via Time Frame Aggregation.	IAT	2008	DBLP DOI BibTeX RDF
16	Jan A. Van Mieghem	Risk Mitigation in Newsvendor Networks: Resource Diversification, Flexibility, Sharing, and Hedging.	Manag. Sci.	2007	DBLP DOI BibTeX RDF
16	Qing Ding, Lingxiu Dong, Panos Kouvelis	On the Integration of Production and Financial Hedging Decisions in Global Markets.	Oper. Res.	2007	DBLP DOI BibTeX RDF
16	Eric Beutner	Mean-variance hedging under transaction costs.	Math. Methods Oper. Res.	2007	DBLP DOI BibTeX RDF
16	Jinshan Zhang 0001	Report on "American Option Pricing and Hedging Strategies"	CoRR	2007	DBLP BibTeX RDF
16	Felix T. S. Chan, Zheng Wang 0021, Jie Zhang	A two-level hedging point policy for controlling a manufacturing system with time-delay, demand uncertainty and extra capacity.	Eur. J. Oper. Res.	2007	DBLP DOI BibTeX RDF
16	Alexander S. Cherny	Pricing and hedging European options with discrete-time coherent risk.	Finance Stochastics	2007	DBLP DOI BibTeX RDF
16	Alexander Gammerman, Vladimir Vovk	Rejoinder Hedging Predictions in Machine Learning.	Comput. J.	2007	DBLP DOI BibTeX RDF
16	Alexander Gammerman, Vladimir Vovk	Hedging Predictions in Machine Learning: The Second Computer Journal Lecture.	Comput. J.	2007	DBLP DOI BibTeX RDF
16		Discussion on Hedging Predictions in Machine Learning by A. Gammerman and V. Vovk.	Comput. J.	2007	DBLP DOI BibTeX RDF
16	Srdjan D. Stojanovic	Stochastic control approach to derivative pricing and hedging in incomplete markets modeled by general Ito SDE systems: an overview and an application in FX derivatives.	ACC	2007	DBLP DOI BibTeX RDF
16	Jonathan Duke, Christopher D. Clack	Using an evolutionary agent-based simulation to explore hedging pressure in futures markets.	GECCO	2007	DBLP DOI BibTeX RDF	genetic algorithms, adaptation, agents, finance
16	Frank Lutgens, Jos F. Sturm, Antoon W. J. Kolen	Robust One-Period Option Hedging.	Oper. Res.	2006	DBLP DOI BibTeX RDF
16	Alejandro Balbás, Silvia Mayoral	Nonconvex optimization for pricing and hedging in imperfect markets.	Comput. Math. Appl.	2006	DBLP DOI BibTeX RDF
16	Miklavz Mastinsek	Discrete-time delta hedging and the Black-Scholes model with transaction costs.	Math. Methods Oper. Res.	2006	DBLP DOI BibTeX RDF
16	Alexander Gammerman, Vladimir Vovk	Hedging predictions in machine learning	CoRR	2006	DBLP BibTeX RDF
16	René Caldentey, Martin B. Haugh	Optimal Control and Hedging of Operations in the Presence of Financial Markets.	Math. Oper. Res.	2006	DBLP DOI BibTeX RDF
16	R. Ravi 0001, Amitabh Sinha	Hedging Uncertainty: Approximation Algorithms for Stochastic Optimization Problems.	Math. Program.	2006	DBLP DOI BibTeX RDF	Mathematics Subject Classification (1991) 20E28, 20G40, 20C20
16	Jewgeni H. Dshalalow, Agatha Liew	On fluctuations of a multivariate random walk with some applications to stock options trading and hedging.	Math. Comput. Model.	2006	DBLP DOI BibTeX RDF
16	Imen Bentahar, Bruno Bouchard 0002	Barrier Option Hedging under Constraints: A Viscosity Approach.	SIAM J. Control. Optim.	2006	DBLP DOI BibTeX RDF
16	Lars Magnus Hvattum, Arne Løkketangen, Gilbert Laporte	Solving a Dynamic and Stochastic Vehicle Routing Problem with a Sample Scenario Hedging Heuristic.	Transp. Sci.	2006	DBLP DOI BibTeX RDF
16	Yuji Yamada, James A. Primbs	Option valuation and hedging using multinomial lattices with cumulants.	ACC	2006	DBLP DOI BibTeX RDF
16	James A. Primbs, Muruhan Rathinam	Trader behavior and hedging feedback in the stock pinning phenomena.	ACC	2006	DBLP DOI BibTeX RDF
16	David L. Woodruff, Stefan Voß 0001	Planning for a Big Bang in a Supply Chain: Fast Hedging for Production Indicators.	HICSS	2006	DBLP DOI BibTeX RDF
16	Xu Cheng	Electricity Market Pricing, Risk Hedging and Modeling		2006	RDF
16	Berend Roorda, Jacob Engwerda, Johannes M. Schumacher	Performance of hedging strategies in interval models.	Kybernetika	2005	DBLP BibTeX RDF
16	Vlad Bally, Lucia Caramellino, Antonino Zanette	Pricing and hedging American options by Monte Carlo methods using a Malliavin calculus approach.	Monte Carlo Methods Appl.	2005	DBLP DOI BibTeX RDF
16	Vishal Gaur, Sridhar Seshadri	Hedging Inventory Risk Through Market Instruments.	Manuf. Serv. Oper. Manag.	2005	DBLP DOI BibTeX RDF
16	Paolo Pellizzari	Static hedging of multivariate derivatives by simulation.	Eur. J. Oper. Res.	2005	DBLP DOI BibTeX RDF
16	Jason Laws, John L. Thompson	Hedging effectiveness of stock index futures.	Eur. J. Oper. Res.	2005	DBLP DOI BibTeX RDF
16	Andrew E. B. Lim	Mean-Variance Hedging When There Are Jumps.	SIAM J. Control. Optim.	2005	DBLP DOI BibTeX RDF
16	Takuji Arai	An extension of mean-variance hedging to the discontinuous case.	Finance Stochastics	2005	DBLP DOI BibTeX RDF
16	Shaoxiang Chen 0002	The Optimality of Hedging Point Policies for Stochastic Two-Product Flexible Manufacturing Systems.	Oper. Res.	2004	DBLP DOI BibTeX RDF
16	Olga Bobrovnytska, Martin Schweizer	Mean-variance hedging and stochastic control: beyond the Brownian setting.	IEEE Trans. Autom. Control.	2004	DBLP DOI BibTeX RDF
16	Francesco Martinelli, Paolo Valigi	Hedging point policies remain optimal under limited backlog and inventory space.	IEEE Trans. Autom. Control.	2004	DBLP DOI BibTeX RDF
16	Marek Kocinski	Hedging of the European option in discrete time under proportional transaction costs.	Math. Methods Oper. Res.	2004	DBLP DOI BibTeX RDF
16	Andrew E. B. Lim	Quadratic Hedging and Mean-Variance Portfolio Selection with Random Parameters in an Incomplete Market.	Math. Oper. Res.	2004	DBLP DOI BibTeX RDF
16	Srdjan Stojanovic	Optimal Momentum Hedging via Hypoelliptic Reduced Monge--Amp[e-grave]re PDE.	SIAM J. Control. Optim.	2004	DBLP DOI BibTeX RDF
16	Michael Kirch, Wolfgang J. Runggaldier	Efficient Hedging When Asset Prices Follow A Geometric Poisson Process With Unknown Intensities.	SIAM J. Control. Optim.	2004	DBLP DOI BibTeX RDF
16	Christophette Blanchet-Scalliet, Monique Jeanblanc	Hazard rate for credit risk and hedging defaultable contingent claims.	Finance Stochastics	2004	DBLP DOI BibTeX RDF
16	R. Ravi 0001, Amitabh Sinha	Hedging Uncertainty: Approximation Algorithms for Stochastic Optimization Problems.	IPCO	2004	DBLP DOI BibTeX RDF
16	Stefan Spinler, Arnd Huchzermeier, Paul Kleindorfer	Risk hedging via options contracts for physical delivery.	OR Spectr.	2003	DBLP DOI BibTeX RDF
16	René Carmona 0001, Valdo Durrleman	Pricing and Hedging Spread Options.	SIAM Rev.	2003	DBLP DOI BibTeX RDF
16	Jan A. Van Mieghem	Commissioned Paper: Capacity Management, Investment, and Hedging: Review and Recent Developments.	Manuf. Serv. Oper. Manag.	2003	DBLP DOI BibTeX RDF
16	Kenji Kamizono	Partial Hedging under Transaction Costs.	SIAM J. Control. Optim.	2003	DBLP DOI BibTeX RDF
16	Katharyn A. Boyle, Thomas F. Coleman, Yuying Li 0001	Hedging a portfolio of derivatives by modeling cost.	CIFEr	2003	DBLP DOI BibTeX RDF
16	Matthias G. Schuster	A multiobjective genetic programming approach for pricing and hedging derivative securities.	CIFEr	2003	DBLP DOI BibTeX RDF
16	James A. Primbs, Yuji Yamada	A moment based analysis of hedging under discrete trading.	CIFEr	2003	DBLP DOI BibTeX RDF
16	M. Shahid Shaikh, Peter E. Caines	Hedging point policies for multi state failure prone manufacturing systems.	CDC	2003	DBLP DOI BibTeX RDF
16	John Baillieul, Atul Suri	Information patterns and Hedging Brockett's theorem in controlling vehicle formations.	CDC	2003	DBLP DOI BibTeX RDF
16	Laurent Gauthier	Hedging entry and exit decisions: activating and deactivating barrier options.	Adv. Decis. Sci.	2002	DBLP DOI BibTeX RDF
16	Christer Magnusson, Louise Yngström	BRITS-A Holistic Framework for Hedging Shareholder Value in IT Dependent Business.	SEC	2002	DBLP BibTeX RDF
16	Suvrajeet Sen, Lihua Yu, Talat Genc	Asset price modeling: decision aids for scheduling and hedging (DASH) in deregulated electricity markets: a stochastic programming approach to power portfolio optimization.	WSC	2002	DBLP DOI BibTeX RDF
16	Dmitry Davydov, Vadim Linetsky	Pricing and Hedging Path-Dependent Options Under the CEV Process.	Manag. Sci.	2001	DBLP DOI BibTeX RDF
16	Dimitris Bertsimas, Leonid Kogan, Andrew W. Lo	Hedging Derivative Securities and Incomplete Markets: An Formula-Arbitrage Approach.	Oper. Res.	2001	DBLP DOI BibTeX RDF
16	Dongping Song, You-Xian Sun	Optimal hedging point control for a failure-prone manufacturing system.	Int. J. Syst. Sci.	2001	DBLP DOI BibTeX RDF
16	Fabio Mercurio	Claim pricing and hedging under market incompleteness and "mean-variance" preferences.	Eur. J. Oper. Res.	2001	DBLP DOI BibTeX RDF
16	Kjetil K. Haugen, Arne Løkketangen, David L. Woodruff	Progressive hedging as a meta-heuristic applied to stochastic lot-sizing.	Eur. J. Oper. Res.	2001	DBLP DOI BibTeX RDF
16	Peter Grandits	Frequent Hedging under Transaction Costs and a Nonlinear Fokker--Planck PDE.	SIAM J. Appl. Math.	2001	DBLP DOI BibTeX RDF
16	Thomas Møller	Risk-minimizing hedging strategies for insurance payment processes.	Finance Stochastics	2001	DBLP DOI BibTeX RDF
16	Emmanuel Gobet, Emmanuel Temam	Discrete time hedging errors for options with irregular payoffs.	Finance Stochastics	2001	DBLP DOI BibTeX RDF