Cover Image

Replica del valor de un pool (CPM) y hedging de perdidas impermanentes

Fuente: arXiv

Saved in:

Bibliographic Details
Main Authors:	González, Agustín Muñoz, Dembling, Juan I. Sequeira y Ariel
Format:	Preprint
Published:	2024
Subjects:	Mathematical Finance Risk Management 91G15
Online Access:	Acceder al recurso
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

Pool Value Replication (CPM) and Impermanent Loss Hedging
by: Gonzalez, Agustin Muñoz, et al.
Published: (2025)

Impact of Climate transition on Credit portfolio's loss with stochastic collateral
by: Sopgoui, Lionel
Published: (2024)

Levy-stable scaling of risk and performance functionals
by: Vlasiuk, Dmitrii
Published: (2025)

Decrease of capital guarantees in life insurance products: can reinsurance stop it?
by: Escobar-Anel, Marcos, et al.
Published: (2021)

The Black-Scholes-Merton dual equation
by: Guo, Shuxin, et al.
Published: (2019)

On data-driven robust distortion risk measures for non-negative risks with partial information
by: Han, Xiangyu, et al.
Published: (2025)

The fundamental representation of pricing adjustments
by: Burnett, Benedict, et al.
Published: (2025)

Optimal Risk Sharing Without Preference Convexity: An Aggregate Convexity Approach
by: Melnikov, Vasily
Published: (2025)

A General Theory of Risk Sharing
by: Melnikov, Vasily
Published: (2025)

Optimal Investment in Equity and Credit Default Swaps in the Presence of Default
by: Fei, Zhe, et al.
Published: (2025)

Jointly Exchangeable Collective Risk Models: Interaction, Structure, and Limit Theorems
by: Gaigall, Daniel, et al.
Published: (2025)

Accelerated Computations of Sensitivities for xVA
by: Deelstra, Griselda, et al.
Published: (2022)

A deep BSDE approach for the simultaneous pricing and delta-gamma hedging of large portfolios consisting of high-dimensional multi-asset Bermudan options
by: Negyesi, Balint, et al.
Published: (2025)

Credit Spreads' Term Structure: Stochastic Modeling with CIR++ Intensity
by: Alaya, Mohamed Ben, et al.
Published: (2024)

On Data-Driven Drawdown Control with Restart Mechanism in Trading
by: Hsieh, Chung-Han
Published: (2023)

Consistent asset modelling with random coefficients and switches between regimes
by: Wolf, Felix L., et al.
Published: (2024)

Robust Bernoulli Mixture Models for Credit Portfolio Risk
by: Ansari, Jonathan, et al.
Published: (2024)

The PEAL Method: a mathematical framework to streamline securitization structuring
by: Pinto, Andrea, et al.
Published: (2024)

Optimal Dividend, Reinsurance, and Capital Injection for Collaborating Business Lines under Model Uncertainty
by: Boonen, Tim J., et al.
Published: (2026)

Optimal Dividend, Reinsurance and Capital Injection Strategies for Collaborating Business Lines: The Case of Excess-of-Loss Reinsurance
by: Boonen, Tim J., et al.
Published: (2025)

Optimal Dividend, Reinsurance, and Capital Injection Strategies for an Insurer with Two Collaborating Business Lines
by: Boonen, Tim J., et al.
Published: (2025)

Deep Hedging to Manage Tail Risk
by: Ma, Yuming
Published: (2025)

Risk-aware Trading Portfolio Optimization
by: Bianchetti, Marco, et al.
Published: (2025)

Pricing and hedging of SOFR derivatives
by: Bickersteth, Matthew, et al.
Published: (2021)

From Classical Optimization to Bayesian Integration: A Comprehensive Analysis of Systematic Portfolio Management
by: Verma, Ajay Kumar, et al.
Published: (2026)

Calibration of the rating transition model for high and low default portfolios
by: He, Jian, et al.
Published: (2024)

Generalized Families of Fractional Stochastic Dominance
by: Azmoodeh, Ehsan, et al.
Published: (2023)

Autonomous AI Agents for Option Hedging: Enhancing Financial Stability through Shortfall Aware Reinforcement Learning
by: Hu, Minxuan, et al.
Published: (2026)

Optimal Insurance to Maximize Exponential Utility when Premium is Computed by a Convex Functional
by: Cao, Jingyi, et al.
Published: (2024)

The Concentration Risk Indicator: Raising the Bar for Financial Stability and Portfolio Performance Measurement
by: Kashyap, Ravi
Published: (2024)

Is the difference between deep hedging and delta hedging a statistical arbitrage?
by: François, Pascal, et al.
Published: (2024)

Three-level qualitative classification of financial risks under varying conditions through first passage times
by: Bouthelier-Madre, Carlos, et al.
Published: (2025)

Valuation Measure of the Stock Market using Stochastic Volatility and Stock Earnings
by: Sarantsev, Andrey, et al.
Published: (2025)

Coherent estimation of risk measures
by: Aichele, Martin, et al.
Published: (2025)

Nash Equilibria in Greenhouse Gas Offset Credit Markets
by: Welsh, Liam, et al.
Published: (2024)

Unified Asymptotics For Investment Under Illiquidity: Transaction Costs And Search Frictions
by: Gang, Tae Ung, et al.
Published: (2024)

Dynamic Pareto Optima in Multi-Period Pure-Exchange Economies
by: Tam, Brandon, et al.
Published: (2026)

Optimizing Deep Reinforcement Learning for American Put Option Hedging
by: Pickard, Reilly, et al.
Published: (2024)

Risk measures on incomplete markets: a new non-solid paradigm
by: Melnikov, Vasily
Published: (2024)

PELVE from a regulatory perspective
by: Laudagé, Christian, et al.
Published: (2025)