Concepedia

Hedging Error Analysis

Hedging Error Analysis is a quantitative method in financial mathematics that measures the discrepancy between the theoretical and actual performance of a hedging strategy, distinguished by its focus on evaluating the accuracy and robustness of derivative hedging models under real-world market conditions.

42

Publications

1.6K

Citations

67

Authors

61

Institutions

Publications per year

2017–2026

2

Parents

Publications

42

Generalized Optimal Hedge Ratio Estimation

Robert J. Myers, Stanley R. Thompson · American Journal of Agricultural Economics · 1989 · 388 citations

, , +13

On the Mean-Variance Tradeoff in Option Replication with Transactions Costs

Klaus Bjerre Toft · Journal of Financial and Quantitative Analysis · 1996 · 125 citations

, , +17

Performance of utility-based strategies for hedging basis risk

Michael Monoyios · Quantitative Finance · 2004 · 84 citations

, , +17

Robust Hedging of Double Touch Barrier Options

Alexander M. G. Cox · SIAM Journal on Financial Mathematics · 2011 · 82 citations

, , +15

Discrete time hedging errors for options with irregular payoffs

Emmanuel Gobet, E. Temam · Finance and Stochastics · 2001 · 70 citations

, , +13

1–5 of 42

Authors

67

  1. JK
    Jan Kallsen

    Christian-Albrechts-Universität zu Kiel, Germany

    4 publications · 102 citations

    4

    h-index

  2. YY
    Yuji Yamada

    University of Tsukuba, Japan

    4 publications · 61 citations

    4

    h-index

  3. JA
    James A. Primbs

    Stanford University, United States

    4 publications · 68 citations

    4

    h-index

  4. YZ
    Yonggan Zhao

    Dalhousie University, Canada

    2 publications · 46 citations

    2

    h-index

  5. EG
    Emmanuel Gobet

    École Polytechnique, France

    2 publications · 93 citations

    2

    h-index

1–5 of 67

Institutions

61

  1. Stanford University

    Stanford, United States

    4 h-index

    5 publications

    92 citations

  2. University of Tsukuba

    Tsukuba, Japan

    4 h-index

    4 publications

    61 citations

  3. Christian-Albrechts-Universität zu Kiel

    Kiel, Germany

    3 h-index

    4 publications

    107 citations

  4. École Polytechnique

    Palaiseau, France

    3 h-index

    3 publications

    131 citations

  5. University of Münster

    Münster, Germany

    2 h-index

    2 publications

    56 citations

  6. TU Wien

    Vienna, Austria

    2 h-index

    3 publications

    75 citations

  7. University of St.Gallen

    Saint Gallen, Switzerland

    2 h-index

    2 publications

    45 citations

  8. Sorbonne Université

    Paris, France

    2 h-index

    3 publications

    120 citations

1–8 of 61

Venues

  1. Mathematical Finance

    4 publications · 111 citations

    4

    h-index

  2. Quantitative Finance

    4 publications · 140 citations

    4

    h-index

  3. Finance research letters

    3 publications · 64 citations

    3

    h-index

  4. Journal of Financial and Quantitative Analysis

    JFQA · 3 publications · 187 citations

    3

    h-index

  5. Journal of Futures Markets

    3 publications · 73 citations

    3

    h-index

1–5