Hedging with small uncertainty aversion
Article Properties
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LanguageEnglish
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DOI (url)
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Publication Date2016/09/15
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Journal
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Indian UGC (journal)
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Refrences64
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Citations10
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Sebastian Herrmann
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Johannes Muhle-Karbe
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Frank Thomas Seifried
Cite
Herrmann, Sebastian, et al. “Hedging With Small Uncertainty Aversion”. Finance and Stochastics, vol. 21, no. 1, 2016, pp. 1-64, https://doi.org/10.1007/s00780-016-0309-z.
Herrmann, S., Muhle-Karbe, J., & Seifried, F. T. (2016). Hedging with small uncertainty aversion. Finance and Stochastics, 21(1), 1-64. https://doi.org/10.1007/s00780-016-0309-z
Herrmann, Sebastian, Johannes Muhle-Karbe, and Frank Thomas Seifried. “Hedging With Small Uncertainty Aversion”. Finance and Stochastics 21, no. 1 (2016): 1-64. https://doi.org/10.1007/s00780-016-0309-z.
Herrmann S, Muhle-Karbe J, Seifried FT. Hedging with small uncertainty aversion. Finance and Stochastics. 2016;21(1):1-64.
Journal Categories
Science
Mathematics
Science
Mathematics
Probabilities
Mathematical statistics
Social Sciences
Commerce
Business
Social Sciences
Economic theory
Demography
Economics as a science
Social Sciences
Finance
Social Sciences
Statistics
Refrences
| Title | Journal | Journal Categories | Citations | Publication Date |
|---|---|---|---|---|
| Robust Control and Model Uncertainty | American Economic Review |
| 744 | 2001 |
A MODEL‐FREE VERSION OF THE FUNDAMENTAL THEOREM OF ASSET PRICING AND THE SUPER‐REPLICATION THEOREM | Mathematical Finance |
| 120 | 2016 |
OPTION PRICING AND HEDGING WITH SMALL TRANSACTION COSTS | Mathematical Finance |
| 43 | 2015 |
| 10.1214/14-AAP1011 | The Annals of Applied Probability |
| 2015 | |
| Robust price bounds for the forward starting straddle | Finance and Stochastics |
| 53 | 2015 |
Refrences Analysis
The category
Science: Mathematics 25
is the most frequently represented among the references in this article. It primarily includes studies from Mathematical Finance and Applied Mathematical Finance. The chart below illustrates the number of referenced publications per year.
Refrences used by this article by year
Citations
| Title | Journal | Journal Categories | Citations | Publication Date |
|---|---|---|---|---|
| Quadratic expansions in optimal investment with respect to perturbations of the semimartingale model | Finance and Stochastics |
| 2024 | |
Adapted Wasserstein distances and stability in mathematical finance | Finance and Stochastics |
| 32 | 2020 |
| Asymptotic analysis of the expected utility maximization problem with respect to perturbations of the numéraire | Stochastic Processes and their Applications |
| 4 | 2020 |
| A risk-neutral equilibrium leading to uncertain volatility pricing | Finance and Stochastics |
| 10 | 2018 |
| Model uncertainty, recalibration, and the emergence of delta–vega hedging | Finance and Stochastics |
| 6 | 2017 |
Citations Analysis
The category
Science: Mathematics: Probabilities. Mathematical statistics 6
is the most commonly referenced area in studies that cite this article. The first research to cite this article was titled Portfolio Optimization with Ambiguous Correlation and Stochastic Volatilities and was published in 2014. The most recent citation comes from a 2024 study titled Quadratic expansions in optimal investment with respect to perturbations of the semimartingale model. This article reached its peak citation in 2017, with 3 citations. It has been cited in 4 different journals. Among related journals, the Finance and Stochastics cited this research the most, with 5 citations. The chart below illustrates the annual citation trends for this article.