Managing Derivative Exposure

Details Managing Derivative Exposure Managing Derivative Exposure

2010-04-07

arxiv.org/abs/1004.1053v1

Economy

Quantitative Finance

Portfolio Management

8 pages, 5 figures

Scientific paper

We present an approach to derivative exposure management based on subjective and implied probabilities. We suggest to maximize the valuation difference subject to risk constraints and propose a class of risk measures derived from the subjective distribution. We illustrate this process with specific examples for the two and three dimensional case. In these cases the optimization can be performed graphically.

Affiliated with

Also associated with

No associations

Rating

Managing Derivative Exposure does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Managing Derivative Exposure, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Managing Derivative Exposure will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-396948