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

Alexandre Adam (1) , Hamza Cherrat (2) , Mohamed Houkari (3, 4) , Jean-Paul Laurent (5, 6) , Jean-Luc Prigent (7)

1 IPCMS - Institut de Physique et Chimie des Matériaux de Strasbourg
2 CY - CY Cergy Paris Université
3 Financial models, Group ALM
4 SAF - Laboratoire de Sciences Actuarielle et Financière
5 MCC - Ministère de la Culture et de la Communication
6 ENSAM - Ecole Nationale Supérieure d'Architecture de Montpellier
7 THEMA - Théorie économique, modélisation et applications

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

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, inPress, ⟨10.1007/s10479-020-03726-1⟩. ⟨hal-03679403⟩