Related papers: A method for Hedging in continuous time

In this paper, we aim to develop a hybridizable discontinuous Galerkin (HDG) method for the indefinite time-harmonic Maxwell equations with the perfectly conducting boundary in the three-dimensional space. First, we derive the wavenumber…

In complete markets, there are risky assets and a riskless asset. It is assumed that the riskless asset and the risky asset are traded continuously in time and that the market is frictionless. In this paper, we propose a new method for…

This paper presents a data-driven interpretable machine learning algorithm for semi-static hedging of Exchange Traded options, considering transaction costs with efficient run-time. Further, we provide empirical evidence on the performance…

We introduce a novel time-homogeneous Markov embedding of a class of time inhomogeneous Markov chains widely used in the context of Monte Carlo sampling algorithms which allows us to answer one of the most basic, yet hard, question about…

To improve the efficient frontier of the classical mean-variance model in continuous time, we propose a varying terminal time mean-variance model with a constraint on the mean value of the portfolio asset, which moves with the varying…

This paper proposes a novel parallel stochastic gradient descent (SGD) method that is obtained by applying parallel sets of SGD iterations (each set operating on one node using the data residing in it) for finding the direction in each…

In the paper a problem of risk measures on a discrete-time market model with transaction costs is studied. Strategy effectiveness and shortfall risk is introduced. This paper is a generalization of quantile hedging presented in [4].

We proposed an algorithm that covers some cases of Hamilton Circuit Problem.

We give here a proof of the convergence of the Stochastic Gradient Descent (SGD) in a self-contained manner.

We consider the hedging of European options when the price of the underlying asset follows a single-factor Markovian framework. By working in such a setting, Carr and Wu \cite{carr2014static} derived a spanning relation between a given…

Continuous time models in the theory of real options give explicit formulas for optimal exercise strategies when options are simple and the price of an underlying asset follows a geometric Brownian motion. This paper suggests a general,…

We develop a scattering theory for time-periodic Hamiltonians on discrete graphs, including long-range potentials with zero average for the period, and show the existence and completeness of wave operators.

In this paper we present an algorithm for pricing barrier options in one-dimensional Markov models. The approach rests on the construction of an approximating continuous-time Markov chain that closely follows the dynamics of the given…

Two concepts of random stopping times in continuous time have been defined in the literature, mixed stopping times and randomized stopping times. We show that under weak conditions these two concepts are equivalent, and, in fact, that all…

In this paper, we provide some results on Skorokhod embedding with local time and its applications to the robust hedging problem in finance. First we investigate the robust hedging of options depending on the local time by using the…

The paper deals with continuous solutions of a Schilling's problem.

Following a hedging based approach to model free financial mathematics, we prove that it should be possible to make an arbitrarily large profit by investing in those one-dimensional paths which do not possess local times. The local time is…

Explicit robust hedging strategies for convex or concave payoffs under a continuous semimartingale model with uncertainty and small transaction costs are constructed. In an asymptotic sense, the upper and lower bounds of the cumulative…

A Fourier transform method is introduced for a class of hybrid time-frequency methods that solve the acoustic scattering problem in regimes where the solution exhibits both highly oscillatory behavior and slow decay in time. This extends…

In this paper we solve the discrete time mean-variance hedging problem when asset returns follow a multivariate autoregressive hidden Markov model. Time dependent volatility and serial dependence are well established properties of financial…