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Journal Articles Annals of Operations Research Year : 2020

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

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Quantitative Finance [q-fin] Computational Finance [q-fin.CP] Quantitative Finance [q-fin] Risk Management [q-fin.RM]

Jean-Paul LAURENT  : Connect in order to contact the contributor

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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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hal-03676446 , version 1 (23-05-2022)

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

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