- edoc-Server Home
- Browsing by Author
Browsing by Author "Leukert, Peter"
Now showing items 1-2 of 2
-
2006-01-13BuchEfficient Hedging Cost versus Shortfall RiskFöllmer, Hans; Leukert, PeterAn investor faced with a contingent claim may eliminate risk by (super-)hedging in a financial market. As this is often quite expensive, we study partial hedges, which require less capital and reduce the risk. In a previous ...
-
2006-01-20BuchQuantile Hedging Föllmer, Hans; Leukert, PeterIn a complete financial market every contingent claim can be hedged perfectly. In an incomplete market it is possible to stay on the safe side by superhedging. But such strategies may require a large amount of initial ...