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

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https://hal-cyu.archives-ouvertes.fr/hal-03679403
Contributor : Jean-Luc Prigent Connect in order to contact the contributor
Submitted on : Thursday, May 26, 2022 - 3:17:30 PM
Last modification on : Saturday, October 1, 2022 - 3:56:18 AM

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

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