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

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https://hal-paris1.archives-ouvertes.fr/hal-03676446
Contributor : Jean-Paul LAURENT Connect in order to contact the contributor
Submitted on : Monday, May 23, 2022 - 11:10:57 PM
Last modification on : Wednesday, September 28, 2022 - 4:18:31 PM

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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, 2020, ⟨10.1007/s10479-020-03726-1⟩. ⟨hal-03676446⟩

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