On the risk management of demand deposits: quadratic hedging of interest rate margins - CY Cergy Paris Université
Journal Articles Annals of Operations Research Year : 2022

On the risk management of demand deposits: quadratic hedging of interest rate margins

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Mathematics [math] Humanities and Social Sciences Statistics [stat] Quantitative Finance [q-fin]

Jean-Luc Prigent  : Connect in order to contact the contributor

https://cyu.hal.science/hal-03679403

Submitted on : Thursday, May 26, 2022-3:17:30 PM

Last modification on : Wednesday, June 5, 2024-4:26:05 PM

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hal-03679403 , version 1 (26-05-2022)

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Alexandre Adam, Hamza Cherrat, Mohamed Houkari, Jean-Paul Laurent, Jean-Luc Prigent. On the risk management of demand deposits: quadratic hedging of interest rate margins. Annals of Operations Research, In press, ⟨10.1007/s10479-020-03726-1⟩. ⟨hal-03679403⟩

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CNRS UNIV-LYON1 UNIV-CERGY INC-CNRS LABO-SAF SITE-ALSACE UDL THEMA-UMR8184 CY-TECH-SM ANR
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