文献
J-GLOBAL ID:201702245303987920
整理番号:17A1213078
指数Levyモデル下でのヘッジのためのCVaR最小化の近似【Powered by NICT】
Approximation of CVaR minimization for hedging under exponential-Levy models
著者 (9件):
Deaconu Madalina
(Universite de Lorraine, Institut Elie Cartan de Lorraine, UMR 7502, Vandoeuvre-les-Nancy, F-54506, France)
,
Deaconu Madalina
(CNRS, Institut Elie Cartan de Lorraine, UMR 7502, Vandoeuvre-les-Nancy, F-54506, France)
,
Deaconu Madalina
(Inria, Villers-les-Nancy, F-54600, France)
,
Lejay Antoine
(Universite de Lorraine, Institut Elie Cartan de Lorraine, UMR 7502, Vandoeuvre-les-Nancy, F-54506, France)
,
Lejay Antoine
(CNRS, Institut Elie Cartan de Lorraine, UMR 7502, Vandoeuvre-les-Nancy, F-54506, France)
,
Lejay Antoine
(Inria, Villers-les-Nancy, F-54600, France)
,
Salhi Khaled
(Universite de Lorraine, Institut Elie Cartan de Lorraine, UMR 7502, Vandoeuvre-les-Nancy, F-54506, France)
,
Salhi Khaled
(CNRS, Institut Elie Cartan de Lorraine, UMR 7502, Vandoeuvre-les-Nancy, F-54506, France)
,
Salhi Khaled
(Inria, Villers-les-Nancy, F-54600, France)
資料名:
Journal of Computational and Applied Mathematics
(Journal of Computational and Applied Mathematics)
巻:
326
ページ:
171-182
発行年:
2017年
JST資料番号:
W0152A
ISSN:
0377-0427
CODEN:
JCAMDI
資料種別:
逐次刊行物 (A)
記事区分:
原著論文
発行国:
オランダ (NLD)
言語:
英語 (EN)