Erick Trevino-Aguilar

Universidad de Guanajuato

Guanajuato

Mexico

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Scholarly Papers (1)

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Efficient Hedging of European Options with Robust Convex Loss Functionals: A Dual-Representation Formula

Mathematical Finance, Vol. 21, Issue 1, pp. 99-115, 2010
Number of pages: 17 Posted: 01 Jan 2011
Daniel Hernandez-Hernandez and Erick Trevino-Aguilar
Independent and Universidad de Guanajuato
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Abstract:

convex duality, convex risk measures, efficient hedging, shortfall risk, robust convex loss functionals