Minimal variance hedging in multicurve interest rate modeling

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Cite
Hess, Markus. “Minimal Variance Hedging in Multicurve Interest Rate Modeling”. Lithuanian Mathematical Journal, vol. 59, no. 3, 2019, pp. 338-56, https://doi.org/10.1007/s10986-019-09443-y.
Hess, M. (2019). Minimal variance hedging in multicurve interest rate modeling. Lithuanian Mathematical Journal, 59(3), 338-356. https://doi.org/10.1007/s10986-019-09443-y
Hess M. Minimal variance hedging in multicurve interest rate modeling. Lithuanian Mathematical Journal. 2019;59(3):338-56.
Journal Category
Science
Mathematics
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Citations
Title Journal Journal Categories Citations Publication Date
A Minimum Variance Hedging Ratio Model Based on Nonlinear Grey Classification Model

 Wireless Communications and Mobile Computing
  • Science: Science (General): Cybernetics: Information theory
  • Technology: Electrical engineering. Electronics. Nuclear engineering: Electric apparatus and materials. Electric circuits. Electric networks
  • Technology: Electrical engineering. Electronics. Nuclear engineering: Telecommunication
  • Technology: Technology (General): Industrial engineering. Management engineering: Information technology
  • Technology: Electrical engineering. Electronics. Nuclear engineering: Telecommunication
  • Science: Mathematics: Instruments and machines: Electronic computers. Computer science
 2022
A New Approach to Minimal Variance Hedging of European Options SSRN Electronic Journal 2021
AN ARITHMETIC PURE-JUMP MULTI-CURVE INTEREST RATE MODEL

 International Journal of Theoretical and Applied Finance
  • Social Sciences: Finance
 2019
An Arithmetic Pure-Jump Multi-Curve Interest Rate Model SSRN Electronic Journal 4 2016
Citations Analysis
Category Category Repetition
Social Sciences: Finance1
Science: Science (General): Cybernetics: Information theory1
Technology: Electrical engineering. Electronics. Nuclear engineering: Electric apparatus and materials. Electric circuits. Electric networks1
Technology: Electrical engineering. Electronics. Nuclear engineering: Telecommunication1
Technology: Technology (General): Industrial engineering. Management engineering: Information technology1
Science: Mathematics: Instruments and machines: Electronic computers. Computer science1
The category Social Sciences: Finance 1 is the most commonly referenced area in studies that cite this article. The first research to cite this article was titled An Arithmetic Pure-Jump Multi-Curve Interest Rate Model and was published in 2016. The most recent citation comes from a 2022 study titled A Minimum Variance Hedging Ratio Model Based on Nonlinear Grey Classification Model. This article reached its peak citation in 2022, with 1 citations. It has been cited in 3 different journals. Among related journals, the SSRN Electronic Journal cited this research the most, with 2 citations. The chart below illustrates the annual citation trends for this article.
Citations used this article by year