Related papers: A method for Hedging in continuous time
We consider the robust pricing and hedging of American options in a continuous time setting. We assume asset prices are continuous semimartingales, but we allow for general model uncertainty specification via adapted closed convex…
We consider a financial model with permanent price impact. Continuous time trading dynamics are derived as the limit of discrete rebalancing policies. We then study the problem of super-hedging a European option. Our main result is the…
We construct algorithms for computation of prices and superhedging strategies for game options in general discrete markets both from the seller and the buyer points of view.
It is known that the gradient method can be viewed as a dynamic system where various iterative schemes can be designed as a part of the closed loop system with desirable properties. In this paper, the finite-time and fixed-time convergence…
We present a tractable non-independent increment process which provides a high modeling flexibility. The process lies on an extension of the so-called Harris chains to continuous time being stationary and Feller. We exhibit constructions,…
The paper introduces and studies hedging for game (Israeli) style extension of swing options considered as multiple exercise derivatives. Assuming that the underlying security can be traded without restrictions we derive a formula for…
Numerous empirical proofs indicate the adequacy of the time discrete auto-regressive stochastic volatility models introduced by Taylor in the description of the log-returns of financial assets. The pricing and hedging of contingent products…
We show that the Hedge algorithm, a method that is widely used in Machine Learning, can be interpreted as a particular instance of Dual Averaging schemes, which have recently been introduced by Nesterov for regret minimization. Based on…
We present an alternative pathway in the application of the variation improvement of ordinary perturbation theory exposed in [1] which can preserve the internal symmetries of a model by means of a time compactification.
This paper presents a novel method for introducing time into discrete and continuous spatial representations used in mobile robotics, by modelling long-term, pseudo-periodic variations caused by human activities. Unlike previous approaches,…
We present a derivation of the exact sign-time distribution for a random walker in the presence of a boundary moving with constant velocity.
This paper establishes a continuous time approximation, a piece-wise continuous differential equation, for the discrete Heavy-Ball (HB) momentum method with explicit discretization error. Investigating continuous differential equations has…
We introduce a new formulation for the finite element immersed boundary method which makes use of a distributed Lagrange multiplier. We prove that a full discretization of our model, based on a semi-implicit time advancing scheme, is…
We consider a zero-sum continuous time stopping game in which the pay-off is revealed in the maximum of the two stopping times instead of the minimum, which is the case in Dynkin games.
Continuous time random Walk model has been versatile analytical formalism for studying and modeling diffusion processes in heterogeneous structures, such as disordered or porous media. We are studying the continuous limits of Heterogeneous…
In these lectures I give an introduction to the time-dependent approach to inverse scattering, that has been developed recently. The aim of this approach is to solve various inverse scattering problems with time-dependent methods that…
In the paper we consider an interesting possibility of a time as a stochastic process in quantum mechanics.In order to do it we reconsider time as a mechanical quantity in classical mechanics and afterwards we quantize it. We consider…
We propose a method based on continuous time Markov chain approximation to compute the distribution of Parisian stopping times and price Parisian options under general one-dimensional Markov processes. We prove the convergence of the method…
We propose a hedging approach for general contingent claims when liquidity is a concern and trading is subject to transaction cost. Multiple assets with different liquidity levels are available for hedging. Our risk criterion targets a…
The paper aims to propose a suitable method in finding the solution of tensor complementarity problem. The tensor complementarity problem is a subclass of nonlinear complementarity problems for which the involved function is defined by a…