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5 research outputs found
A Profitable Modification to Global Quadratic Hedging
Author
A Badescu
A Cern�ycern�y
+13 more
B R�millard
Clarence Simard
D Bertsimas
Frrddric Godin
J.-C Duan
J.-P Ortega
L R Glosten
M Augustyniak
Maciej Augustyniak
P Carr
P Christoffersen
P Fran�ois
R C Merton
Publication venue
'Elsevier BV'
Publication date
01/01/2018
Field of study
No full text
Crossref
Local Hedging of Variable Annuities in the Presence of Basis Risk
Author
B Robidoux
Blvd De Maisonneuve
+22 more
Denis-Alexandre Trottier
Emmanuel Hamel
F Godin
F Zhang
Frrddric Godin
J D Hamilton
L H Ederington
L Qian
M Augustyniak
M Augustyniak
M R Hardy
M R Hardy
M W Brandt
P Artzner
P Fran�ois
R J Elliott
R T Rockafellar
R T Rockafellar
R T Rockafellar
S Ankirchner
S S Wang
Y Wang
Publication venue
'Elsevier BV'
Publication date
01/01/2017
Field of study
No full text
Crossref
A Characterization of CAT Bond Performance Indices
Author
A Ang
A Viterbi
+22 more
D Ardia
D R Smith
D.-A Trottier
Denis-Alexandre Trottier
Frrddric Godin
J Berkowitz
J D Hamilton
J Janczura
M Augustyniak
M Bierbrauer
M Getmansky
M Haas
M R Hardy
M Rosenblatt
P Carayannopoulos
R F Engle
R Huisman
R J Kish
R Weron
S B Ammar
Swiss Re
Van Son Lai
Publication venue
'Elsevier BV'
Publication date
01/01/2018
Field of study
No full text
Crossref
Assessing the Effectiveness of Local and Global Quadratic Hedging Under GARCH Models
Author
A Badescu
A Cern�ycern�y
+42 more
A Cern�ycern�y
A Cern�ycern�y
A Hocquard
A Kaeck
A V Melnikov
B R�millard
B R�millard
Clarence Simard
D B Nelson
D Bertsimas
D Heath
D Heath
D Lamberton
F Biagini
F Godin
Frrddric Godin
G Deng
G Di Nunno
H F�llmer
J.-C Duan
J.-P Ortega
L R Glosten
M Haas
M Haas
M Motoczy�nskimotoczy�nski
M Schweizer
M Schweizer
M Schweizer
M Schweizer
Maciej Augustyniak
P Christoffersen
P Christoffersen
P Fran�ois
R Ahmad
R Garcia
R Poulsen
S Gugushvili
S L Heston
T F Coleman
V Henderson
V Henderson
V Henderson
Publication venue
'Elsevier BV'
Publication date
01/01/2016
Field of study
No full text
Crossref
Efficient Semi-Parametric Estimation of Non-Gaussian GARCH Processes
Author
A Bose
A J Lemonte
+30 more
A J Mcneil
Andrew Luong
B R�millard
C Francq
D Alberg
D B Madan
D B Nelson
D Dupuis
D L Mcleish
D Tj�stheim
D X Li
Frrddric Godin
G
H White
J Bai
J C Duan
J C Duan
J Fan
L Bauwens
L R Glosten
R F Engle
R F Engle
R Luger
R S Tsay
T Bollerslev
T Bollerslev
T Bollerslev
T Lehnert
T Prono
W Hu
Publication venue
'Elsevier BV'
Publication date
01/01/2016
Field of study
No full text
Crossref