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Flood mapping is a powerful asset that allows drawing better strategies to contain possible economic repercussions and to rescue the affected population. This work is directly unfolded after the rainfall events that occurred in the north of the country, in February 2015, during which certain cities located in the vicinity of the Tunisian basin of Medjerda were flooded by the overflow of the Medjerda...
This paper studies a strategy that minimizes the Value-at-Risk (VaR) of a position in a zero-coupon bond by buying a percentage of a put option, subject to a fixed budget available for hedging. We elaborate a formula for determining the optimal strike price for this put option in case of a Vasicek stochastic interest rate model. We demonstrate the relevance of searching the optimal strike price, since...
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