Minimizing banking risk in a Lévy process setting.

Gideon, F.; Mukuddem-Petersen, J.; Petersen, M.A.

Minimizing banking risk in a Lévy process setting.

Gideon, F.; Mukuddem-Petersen, J.; Petersen, M.A.

Journal of Applied Mathematics (2007)

Volume: 2007, page Article ID 32824, 25 p.-Article ID 32824, 25 p.
ISSN: 1110-757X

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Gideon, F., Mukuddem-Petersen, J., and Petersen, M.A.. "Minimizing banking risk in a Lévy process setting.." Journal of Applied Mathematics 2007 (2007): Article ID 32824, 25 p.-Article ID 32824, 25 p.. <http://eudml.org/doc/55197>.

@article{Gideon2007,
author = {Gideon, F., Mukuddem-Petersen, J., Petersen, M.A.},
journal = {Journal of Applied Mathematics},
keywords = {quadratic hedging; risk-minimizing strategy; Lévy process; Galtchouck-Kunita-Watanabe decomposition},
language = {eng},
pages = {Article ID 32824, 25 p.-Article ID 32824, 25 p.},
publisher = {Hindawi Publishing Corporation, New York},
title = {Minimizing banking risk in a Lévy process setting.},
url = {http://eudml.org/doc/55197},
volume = {2007},
year = {2007},
}

TY - JOUR
AU - Gideon, F.
AU - Mukuddem-Petersen, J.
AU - Petersen, M.A.
TI - Minimizing banking risk in a Lévy process setting.
JO - Journal of Applied Mathematics
PY - 2007
PB - Hindawi Publishing Corporation, New York
VL - 2007
SP - Article ID 32824, 25 p.
EP - Article ID 32824, 25 p.
LA - eng
KW - quadratic hedging; risk-minimizing strategy; Lévy process; Galtchouck-Kunita-Watanabe decomposition
UR - http://eudml.org/doc/55197
ER -

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