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Jianfa Cong

University of Waterloo - Department of Statistics and Actuarial Science

Waterloo, Ontario N2L 3G1

Canada

  • University of Waterloo - Department of Statistics and Actuarial Science

SCHOLARLY PAPERS

2

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Scholarly Papers (2)

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1.

CVaR-Based Optimal Partial Hedging

The Journal of Risk 16(3), 49-83, 2014
Number of pages: 32 Posted: 26 Apr 2014
Jianfa Cong, Ken Seng Tan and Chengguo Weng
University of Waterloo - Department of Statistics and Actuarial Science, University of Waterloo and University of Waterloo
Downloads 191 (399,431)

Abstract:

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partial hedging, conditional value-at-risk (CVaR), bull call spread hedging, utility based indifference pricing, stop-loss

2.

VaR-Based Optimal Partial Hedging

ASTIN Bulletin, 43(3), 271-299, 2013
Number of pages: 28 Posted: 26 Apr 2014
Jianfa Cong, Ken Seng Tan and Chengguo Weng
University of Waterloo - Department of Statistics and Actuarial Science, University of Waterloo and University of Waterloo
Downloads 152 (491,334)

Abstract:

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quantile hedging, partial hedging, optimal strategy, Value-at-Risk (VaR), bull call spread, knock-out call