英文标题：
《Risk-Control Strategies》
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作者：
Patrice Gaillardetz and Saeb Hachem
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最新提交年份：
2019
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英文摘要：
In this paper, we consider the pricing of derivative products that involve dynamic hedging strategies and payments within the planning horizon. Equity-indexed annuities (EIAs), Guaranteed investment certificate (GIC), American and Barrier options are typical examples of these products. Our exploration involves evaluation under different assumptions related to the way the risk is tailored by the issuer. The unified constrained discrete stochastic dynamic programming framework presented in this paper makes use of sequential local minimizing strategies related to stochastic transitions. This sequential minimizations takes into account all intermediate requirements and involves several dynamic risk measures modelling. To demonstrate the flexibility of this framework we present numerical examples featuring GICs and point-to-point EIAs.
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中文摘要：
在本文中，我们考虑在计划期内涉及动态对冲策略和支付的衍生产品的定价。股票指数年金（EIAs）、担保投资证书（GIC）、美式期权和障碍期权是这些产品的典型例子。我们的探索涉及在与发行人定制风险的方式相关的不同假设下进行评估。本文提出的统一约束离散随机动态规划框架利用了与随机转移相关的顺序局部最小化策略。这种顺序最小化考虑了所有中间需求，并涉及多个动态风险度量建模。为了证明该框架的灵活性，我们提供了以GIC和点对点EIA为特征的数字示例。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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