article

Griselda Deelstra and Martino Grasselli and Pierre-François Koehl


Finance Group (1999) : Conditional Dominance Criteria: Definition and Application to Risk-Management




Conditional Dominance Criteria: Definition and Application to Risk-Management

Griselda Deelstra and Martino Grasselli and Pierre-François Koehl




article

Insurance: Mathematics and Economics

We define the concept of conditional dominance and use it for obtaining bounds on the hedging prices of random variables. These bounds depend only on the characteristics of the financial market and the random variables to hedge. Moreover, they are coherent with the equilibrium and tighter than the ones obtained by the classical super-replication approach, significantly in some cases. This approach can be applied in static as well as dynamic frameworks.

To cite this publication :


Giorgia Callegaro, Lucio Fiorin, Martino Grasselli: Quantized calibration in local volatility models. Dans: Risk Magazine, 9 , p. 62-67, 2015, ISSN: 0952-8776.





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