Adaptive mean-variance hedging of bond options with stochastic risk term

ShinIchi Aihara; Arunabha Bagchi

Adaptive mean-variance hedging of bond options with stochastic risk term

ShinIchi Aihara, Arunabha Bagchi

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › Academic › peer-review

Original language	Undefined
Title of host publication	Proceedings of the 42nd ISCIE International Symposium on Stochastic Systems Theory and its Applications (SSS'10)
Place of Publication	Kyoto
Publisher	The Institute of Systems, Control and Information Engineers (ISCIE)
Pages	134-139
Number of pages	6
ISBN (Print)	978-4-915740-52-7
Publication status	Published - 2011
Event	42nd ISCIE International Symposium on Stochastic Systems Theory and its Applications (SSS'10) - Okayama, Japan Duration: 26 Nov 2010 → 27 Nov 2010

Conference

Conference	42nd ISCIE International Symposium on Stochastic Systems Theory and its Applications (SSS'10)
Period	26/11/10 → 27/11/10
Other	26-27 Nov 2010

Keywords

MSC-91G20
EWI-22255

Access to Document

http://sss10.ee.ous.ac.jp/

Cite this

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title = "Adaptive mean-variance hedging of bond options with stochastic risk term",

keywords = "MSC-91G20, EWI-22255",

author = "ShinIchi Aihara and Arunabha Bagchi",

year = "2011",

language = "Undefined",

isbn = "978-4-915740-52-7",

pages = "134--139",

booktitle = "Proceedings of the 42nd ISCIE International Symposium on Stochastic Systems Theory and its Applications (SSS'10)",

publisher = "The Institute of Systems, Control and Information Engineers (ISCIE)",

note = "null ; Conference date: 26-11-2010 Through 27-11-2010",

}

Aihara, S & Bagchi, A 2011, Adaptive mean-variance hedging of bond options with stochastic risk term. in Proceedings of the 42nd ISCIE International Symposium on Stochastic Systems Theory and its Applications (SSS'10). The Institute of Systems, Control and Information Engineers (ISCIE), Kyoto, pp. 134-139, 42nd ISCIE International Symposium on Stochastic Systems Theory and its Applications (SSS'10), 26/11/10. <http://sss10.ee.ous.ac.jp/>

Adaptive mean-variance hedging of bond options with stochastic risk term. / Aihara, ShinIchi; Bagchi, Arunabha.

Proceedings of the 42nd ISCIE International Symposium on Stochastic Systems Theory and its Applications (SSS'10). Kyoto : The Institute of Systems, Control and Information Engineers (ISCIE), 2011. p. 134-139.

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › Academic › peer-review

TY - GEN

T1 - Adaptive mean-variance hedging of bond options with stochastic risk term

AU - Aihara, ShinIchi

AU - Bagchi, Arunabha

PY - 2011

Y1 - 2011

KW - MSC-91G20

KW - EWI-22255

M3 - Conference contribution

SN - 978-4-915740-52-7

SP - 134

EP - 139

BT - Proceedings of the 42nd ISCIE International Symposium on Stochastic Systems Theory and its Applications (SSS'10)

PB - The Institute of Systems, Control and Information Engineers (ISCIE)

CY - Kyoto

Y2 - 26 November 2010 through 27 November 2010

ER -