Related papers: A method for Hedging in continuous time
We consider hedging of a contingent claim by a 'semi-static' strategy composed of a dynamic position in one asset and static (buy-and-hold) positions in other assets. We give general representations of the optimal strategy and the hedging…
A linear time algorithm to find a set of nearest elements in a mesh.
We present a new approach for studying the problem of optimal hedging of a European option in a finite and complete discrete-time market model. We consider partial hedging strategies that maximize the success probability or minimize the…
This paper develops a high-accuracy algorithm for time fractional wave problems, which employs a spectral method in the temporal discretization and a finite element method in the spatial discretization. Moreover, stability and convergence…
We investigate the problem of pricing and hedging derivatives of Electricity Futures contract when the underlying asset is not available. We propose to use a cross hedging strategy based on the Futures contract covering the larger delivery…
The aim of this paper is to provide a mathematical contribution on the semi-static hedge of timing risk associated to positions in American-style options under a multi-dimensional market model. Barrier options are considered in the paper…
The ability to model continuous change in Reiter's temporal situation calculus action theories has attracted a lot of interest. In this paper, we propose a new development of his approach, which is directly inspired by hybrid systems in…
Recent advances in machine learning make it possible to design efficient prediction algorithms for data sets with huge numbers of parameters. This paper describes a new technique for "hedging" the predictions output by many such algorithms,…
We formulate a variational fictitious-time flow which drives an initial guess torus to a torus invariant under given dynamics. The method is general and applies in principle to continuous time flows and discrete time maps in arbitrary…
We propose a continuous-time second-order optimization algorithm for solving unconstrained convex optimization problems with bounded Hessian. We show that this alternative algorithm has a comparable convergence rate to that of the…
We propose a new `hedged' Monte-Carlo (HMC) method to price financial derivatives, which allows to determine simultaneously the optimal hedge. The inclusion of the optimal hedging strategy allows one to reduce the financial risk associated…
This article focuses on the space-time isogeometric method for a linear time dependent fourth order problem. Using an auxiliary variable, first the problem is split into a system of two second order differential equations and then the…
This paper deals with the convergence time analysis of a class of fixed-time stable systems with the aim to provide a new non-conservative upper bound for its settling time. Our contribution is fourfold. First, we revisit the well-known…
The paper presents new machine learning methods: signal composition, which classifies time-series regardless of length, type, and quantity; and self-labeling, a supervised-learning enhancement. The paper describes further the implementation…
Optimization-based falsification employs stochastic optimization algorithms to search for error input of hybrid systems. In this paper we introduce a simple idea to enhance falsification, namely time staging, that allows the time-causal…
In this paper, we investigate timelike slant helix in $S_{1}^{2}$ and we obtain parametric equation of timelike slant helix in $S_{1}^{2}$. Also related examples and their illustrations are given.
This paper presents a distributed hybrid algorithm that synchronizes the time and rate of a set of clocks connected over a network. Clock measurements of the nodes are given at aperiodic time instants and the controller at each node uses…
This paper presents a finite-time heterogeneous cyclic pursuit scheme that ensures consensus among agents modelled as integrators. It is shown that for the proposed sliding mode control, even when the gains corresponding to each agent are…
We study the stability of receding horizon control for continuous-time non-linear stochastic differential equations. We illustrate the results with a simulation example in which we employ receding horizon control to design an investment…
In recent years, the distinctive advancement of handling huge data promotes the evolution of ubiquitous computing and analysis technologies. With the constantly upward system burden and computational complexity, adaptive coding has been a…