Browsing Mathematics (Faculty of) by Author "Hu , Xin"
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A Copula-based Quantile Risk Measure Approach to Hedging under Regime Switching
Hu , Xin (University of Waterloo, 2015-10-16)In this thesis, our work builds on the future hedging strategy presented by Barbi and Romagnoli (2014). The authors propose the optimal hedge ratio as the minimizer of a generic quantile risk measure (QRM), which includes ...