Hedging bounded claims with bounded outcomes View Full Text


Ontology type: schema:Chapter      Open Access: True


Chapter Info

DATE

2006

AUTHORS

Freddy Delbaen

ABSTRACT

We consider a financial market with two or more separate components each driven by a Brownian Motion. We look at the problem to hedge a bounded contingent claim in such a way that all the components remain bounded. The problem can also be rephrased as a problem in risk measures.

PAGES

75-86

Book

TITLE

Advances in Mathematical Economics

ISBN

978-4-431-30898-0
978-4-431-30899-7

Identifiers

URI

http://scigraph.springernature.com/pub.10.1007/4-431-30899-7_3

DOI

http://dx.doi.org/10.1007/4-431-30899-7_3

DIMENSIONS

https://app.dimensions.ai/details/publication/pub.1040237858


Indexing Status Check whether this publication has been indexed by Scopus and Web Of Science using the SN Indexing Status Tool
Incoming Citations Browse incoming citations for this publication using opencitations.net

JSON-LD is the canonical representation for SciGraph data.

TIP: You can open this SciGraph record using an external JSON-LD service: JSON-LD Playground Google SDTT

[
  {
    "@context": "https://springernature.github.io/scigraph/jsonld/sgcontext.json", 
    "about": [
      {
        "id": "http://purl.org/au-research/vocabulary/anzsrc-for/2008/15", 
        "inDefinedTermSet": "http://purl.org/au-research/vocabulary/anzsrc-for/2008/", 
        "name": "Commerce, Management, Tourism and Services", 
        "type": "DefinedTerm"
      }, 
      {
        "id": "http://purl.org/au-research/vocabulary/anzsrc-for/2008/1502", 
        "inDefinedTermSet": "http://purl.org/au-research/vocabulary/anzsrc-for/2008/", 
        "name": "Banking, Finance and Investment", 
        "type": "DefinedTerm"
      }
    ], 
    "author": [
      {
        "affiliation": {
          "alternateName": "Department of Mathematics, ETH Z\u00fcrich, CH-8092, Zurich, Switzerland", 
          "id": "http://www.grid.ac/institutes/grid.5801.c", 
          "name": [
            "Department of Mathematics, ETH Z\u00fcrich, CH-8092, Zurich, Switzerland"
          ], 
          "type": "Organization"
        }, 
        "familyName": "Delbaen", 
        "givenName": "Freddy", 
        "id": "sg:person.016436526230.58", 
        "sameAs": [
          "https://app.dimensions.ai/discover/publication?and_facet_researcher=ur.016436526230.58"
        ], 
        "type": "Person"
      }
    ], 
    "datePublished": "2006", 
    "datePublishedReg": "2006-01-01", 
    "description": "We consider a financial market with two or more separate components each driven by a Brownian Motion. We look at the problem to hedge a bounded contingent claim in such a way that all the components remain bounded. The problem can also be rephrased as a problem in risk measures.", 
    "editor": [
      {
        "familyName": "Kusuoka", 
        "givenName": "Shigeo", 
        "type": "Person"
      }, 
      {
        "familyName": "Yamazaki", 
        "givenName": "Akira", 
        "type": "Person"
      }
    ], 
    "genre": "chapter", 
    "id": "sg:pub.10.1007/4-431-30899-7_3", 
    "isAccessibleForFree": true, 
    "isPartOf": {
      "isbn": [
        "978-4-431-30898-0", 
        "978-4-431-30899-7"
      ], 
      "name": "Advances in Mathematical Economics", 
      "type": "Book"
    }, 
    "keywords": [
      "financial markets", 
      "risk measures", 
      "contingent claims", 
      "market", 
      "claims", 
      "Brownian motion", 
      "measures", 
      "way", 
      "separate components", 
      "problem", 
      "outcomes", 
      "components", 
      "motion"
    ], 
    "name": "Hedging bounded claims with bounded outcomes", 
    "pagination": "75-86", 
    "productId": [
      {
        "name": "dimensions_id", 
        "type": "PropertyValue", 
        "value": [
          "pub.1040237858"
        ]
      }, 
      {
        "name": "doi", 
        "type": "PropertyValue", 
        "value": [
          "10.1007/4-431-30899-7_3"
        ]
      }
    ], 
    "publisher": {
      "name": "Springer Nature", 
      "type": "Organisation"
    }, 
    "sameAs": [
      "https://doi.org/10.1007/4-431-30899-7_3", 
      "https://app.dimensions.ai/details/publication/pub.1040237858"
    ], 
    "sdDataset": "chapters", 
    "sdDatePublished": "2022-11-24T21:18", 
    "sdLicense": "https://scigraph.springernature.com/explorer/license/", 
    "sdPublisher": {
      "name": "Springer Nature - SN SciGraph project", 
      "type": "Organization"
    }, 
    "sdSource": "s3://com-springernature-scigraph/baseset/20221124/entities/gbq_results/chapter/chapter_439.jsonl", 
    "type": "Chapter", 
    "url": "https://doi.org/10.1007/4-431-30899-7_3"
  }
]
 

Download the RDF metadata as:  json-ld nt turtle xml License info

HOW TO GET THIS DATA PROGRAMMATICALLY:

JSON-LD is a popular format for linked data which is fully compatible with JSON.

curl -H 'Accept: application/ld+json' 'https://scigraph.springernature.com/pub.10.1007/4-431-30899-7_3'

N-Triples is a line-based linked data format ideal for batch operations.

curl -H 'Accept: application/n-triples' 'https://scigraph.springernature.com/pub.10.1007/4-431-30899-7_3'

Turtle is a human-readable linked data format.

curl -H 'Accept: text/turtle' 'https://scigraph.springernature.com/pub.10.1007/4-431-30899-7_3'

RDF/XML is a standard XML format for linked data.

curl -H 'Accept: application/rdf+xml' 'https://scigraph.springernature.com/pub.10.1007/4-431-30899-7_3'


 

This table displays all metadata directly associated to this object as RDF triples.

77 TRIPLES      22 PREDICATES      38 URIs      31 LITERALS      7 BLANK NODES

Subject Predicate Object
1 sg:pub.10.1007/4-431-30899-7_3 schema:about anzsrc-for:15
2 anzsrc-for:1502
3 schema:author N9c0a92b5367246d9b75bd4d6d5350806
4 schema:datePublished 2006
5 schema:datePublishedReg 2006-01-01
6 schema:description We consider a financial market with two or more separate components each driven by a Brownian Motion. We look at the problem to hedge a bounded contingent claim in such a way that all the components remain bounded. The problem can also be rephrased as a problem in risk measures.
7 schema:editor Nba580213bdfb4fb880b79eedb1562527
8 schema:genre chapter
9 schema:isAccessibleForFree true
10 schema:isPartOf N06e05ccbd82d45fa94cfdb2d33547c30
11 schema:keywords Brownian motion
12 claims
13 components
14 contingent claims
15 financial markets
16 market
17 measures
18 motion
19 outcomes
20 problem
21 risk measures
22 separate components
23 way
24 schema:name Hedging bounded claims with bounded outcomes
25 schema:pagination 75-86
26 schema:productId Na3bd95c5822a45f48bf1c16ed11bbc27
27 Na6dc7390aa3b4b7793611162a62e6884
28 schema:publisher N2548bbce0955473a99dbae790e974b40
29 schema:sameAs https://app.dimensions.ai/details/publication/pub.1040237858
30 https://doi.org/10.1007/4-431-30899-7_3
31 schema:sdDatePublished 2022-11-24T21:18
32 schema:sdLicense https://scigraph.springernature.com/explorer/license/
33 schema:sdPublisher N5f538399be3f45048fd0840f6b4bd1b4
34 schema:url https://doi.org/10.1007/4-431-30899-7_3
35 sgo:license sg:explorer/license/
36 sgo:sdDataset chapters
37 rdf:type schema:Chapter
38 N06e05ccbd82d45fa94cfdb2d33547c30 schema:isbn 978-4-431-30898-0
39 978-4-431-30899-7
40 schema:name Advances in Mathematical Economics
41 rdf:type schema:Book
42 N2548bbce0955473a99dbae790e974b40 schema:name Springer Nature
43 rdf:type schema:Organisation
44 N5f538399be3f45048fd0840f6b4bd1b4 schema:name Springer Nature - SN SciGraph project
45 rdf:type schema:Organization
46 N78a366eebeb24c2a996f5e9ed8742513 rdf:first Ne4b21658ef3e4c8683bdb1cad7786ed5
47 rdf:rest rdf:nil
48 N9c0a92b5367246d9b75bd4d6d5350806 rdf:first sg:person.016436526230.58
49 rdf:rest rdf:nil
50 Na3bd95c5822a45f48bf1c16ed11bbc27 schema:name doi
51 schema:value 10.1007/4-431-30899-7_3
52 rdf:type schema:PropertyValue
53 Na6dc7390aa3b4b7793611162a62e6884 schema:name dimensions_id
54 schema:value pub.1040237858
55 rdf:type schema:PropertyValue
56 Nba580213bdfb4fb880b79eedb1562527 rdf:first Nf565478df7ca49c9b00eb91aa7dab348
57 rdf:rest N78a366eebeb24c2a996f5e9ed8742513
58 Ne4b21658ef3e4c8683bdb1cad7786ed5 schema:familyName Yamazaki
59 schema:givenName Akira
60 rdf:type schema:Person
61 Nf565478df7ca49c9b00eb91aa7dab348 schema:familyName Kusuoka
62 schema:givenName Shigeo
63 rdf:type schema:Person
64 anzsrc-for:15 schema:inDefinedTermSet anzsrc-for:
65 schema:name Commerce, Management, Tourism and Services
66 rdf:type schema:DefinedTerm
67 anzsrc-for:1502 schema:inDefinedTermSet anzsrc-for:
68 schema:name Banking, Finance and Investment
69 rdf:type schema:DefinedTerm
70 sg:person.016436526230.58 schema:affiliation grid-institutes:grid.5801.c
71 schema:familyName Delbaen
72 schema:givenName Freddy
73 schema:sameAs https://app.dimensions.ai/discover/publication?and_facet_researcher=ur.016436526230.58
74 rdf:type schema:Person
75 grid-institutes:grid.5801.c schema:alternateName Department of Mathematics, ETH Zürich, CH-8092, Zurich, Switzerland
76 schema:name Department of Mathematics, ETH Zürich, CH-8092, Zurich, Switzerland
77 rdf:type schema:Organization
 




Preview window. Press ESC to close (or click here)


...