Related papers: A method for Hedging in continuous time
In this work, I address the issue of forming riskless hedge in the continuous time option pricing model with stochastic stock volatility. I show that it is essential to verify whether the replicating portfolio is self-financing, in order…
We present a method of hedging Conditional Value at Risk of a position in stock using put options. The result leads to a linear programming problem that can be solved to optimise risk hedging.
We give an explicit solution of robust mean-variance hedging problem in the single period model for some type of contingent claims. The alternative approach is also considered.
We introduce methods that allow to derive continuous-time versions of various discrete-time ergodic theorems. We then illustrate these methods by giving simple proofs and refinements of some known results as well as establishing new results…
We study a quadratic hedging problem for a sequence of contingent claims with random weights in discrete time. We obtain the optimal hedging strategy explicitly in a recursive representation, without imposing the non-degeneracy (ND)…
The probability minimizing problem of large losses of portfolio in discrete and continuous time models is studied. This gives a generalization of quantile hedging presented in [3].
A method is presented for using the consistent part of inconsistent axiomatic systems.
In this paper, we introduce a new method for study on backward stochastic differential equations with stopping time as time horizon. And using this, we show that some results on backward stochastic differential equations with constant time…
It is well known that the minimal superhedging price of a contingent claim is too high for practical use. In a continuous-time model uncertainty framework, we consider a relaxed hedging criterion based on acceptable shortfall risks.…
We provide an overview of theories of continuous time computation. These theories allow us to understand both the hardness of questions related to continuous time dynamical systems and the computational power of continuous time analog…
This paper develops a mathematical framework for the analysis of continuous-time trading strategies which, in contrast to the classical setting of continuous-time mathematical finance, does not rely on stochastic integrals or other…
In the setting of additive regression model for continuous time process, we establish the optimal uniform convergence rates and optimal asymptotic quadratic error of additive regression. To build our estimate, we use the marginal…
To investigate a time-consistent optimal strategy for the continuous time mean-variance model, we develop a new method to establish the Bellman principle. Based on this new method, we obtain a time-consistent dynamic optimal strategy that…
We consider prediction theory for stationary stochastic processes in continuous time. We discuss prediction using the whole (infinite) past, and using only a finite section of the past. The solutions to both these classical problems have…
We prove a version of adelic descent for continuous localizing invariants.
In this paper, first we give a sequential linear-time algorithm for the longest path problem in meshes. This algorithm can be considered as an improvement of [13]. Then based on this sequential algorithm, we present a constant-time parallel…
This paper describes recent development and test implementation of a continuous time recurrent neural network that has been configured to predict rates of change in securities. It presents outcomes in the context of popular technical…
Progressive Hedging is a popular decomposition algorithm for solving multi-stage stochastic optimization problems. A computational bottleneck of this algorithm is that all scenario subproblems have to be solved at each iteration. In this…
In this article, we introduce an algorithm called Backward Hedging, designed for hedging European and American options while considering transaction costs. The optimal strategy is determined by minimizing an appropriate loss function, which…
We determine the variance-optimal hedge when the logarithm of the underlying price follows a process with stationary independent increments in discrete or continuous time. Although the general solution to this problem is known as backward…