CVaR Hedging under Stochastic Interest Rate

CVaR Hedging under Stochastic Interest Rate

In this paper we assess the partial hedging problems by formulating hedging strategies that minimize conditional value-at-risk (CVaR) of the portfolio loss under stochastic interest rate environment. The combination of stochastic interest and CVaR hedging method makes the valuing approach more com...

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Bibliographic Details
Main Authors: Angela eTsao, Xiang eShi, Alexander eMelnikov
Format: Article
Language:English
Published: Frontiers Media S.A. 2015-05-01
Series:Frontiers in Applied Mathematics and Statistics
Subjects:
Conditional value-at-risk
Dynamic hedging
Quantile hedging
HJM model
Stochastic interet rate
Online Access:http://journal.frontiersin.org/Journal/10.3389/fams.2015.00002/full

Internet

http://journal.frontiersin.org/Journal/10.3389/fams.2015.00002/full

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