Related papers: A method for Hedging in continuous time

In this paper, we seek to understand the behavior of dynamical systems that are perturbed by a parameter that changes discretely in time. If we impose certain conditions, we can study certain embedded systems within a hybrid system as…

In this paper we introduce a deep learning method for pricing and hedging American-style options. It first computes a candidate optimal stopping policy. From there it derives a lower bound for the price. Then it calculates an upper bound, a…

We compare two approaches to the predictive modeling of dynamical systems from partial observations at discrete times. The first is continuous in time, where one uses data to infer a model in the form of stochastic differential equations,…

This paper is part of a program to combine a staggered time and staggered spatial discretization of continuum wave equations so that important properties of the continuum that are proved using vector calculus can be proven in an analogous…

We propose a flexible framework for hedging a contingent claim by holding static positions in vanilla European calls, puts, bonds, and forwards. A model-free expression is derived for the optimal static hedging strategy that minimizes the…

Several conjectural continued fractions found with the help of various algorithms are published in this paper.

This paper is devoted to the distributed continuous-time optimization problem with time-varying objective functions and time-varying nonlinear inequality constraints. Different from most studied distributed optimization problems with…

This thesis aims at investigating the first steps toward an unconditionally stable space-time isogeometric method, based on splines of maximal regularity, for the linear acoustic wave equation. The unconditional stability of space-time…

In this paper we consider discrete and continuous time risk sensitive optimal stopping problem. Using suitable properties of the underlying Feller-Markov process we prove continuity of the optimal stopping value function and provide formula…

This thesis develops a mathematical framework for the analysis of continuous-time trading strategies which, in contrast to the classical setting of continuous-time finance, does not rely on stochastic integrals or other probabilistic…

We prove existence of a self-financing strategy which minimizes shortfall for game options in discrete time

In this letter, by regarding finite-time stability as an inverse problem, we reveal the essence of finite-time stability and fixed-time stability. Some necessary and sufficient conditions are given. As application, we give a new approach…

We consider a discrete time dynamic system described by a difference equation with periodic coefficients and with additive stochastic noise. We investigate the possibility of the periodicity for the solution. In particular, we found…

We propose some machine-learning-based algorithms to solve hedging problems in incomplete markets. Sources of incompleteness cover illiquidity, untradable risk factors, discrete hedging dates and transaction costs. The proposed algorithms…

We propose new continuous-time formulations for first-order stochastic optimization algorithms such as mini-batch gradient descent and variance-reduced methods. We exploit these continuous-time models, together with simple Lyapunov analysis…

We consider the continuous time version of the `true' or `myopic' self-avoiding random walk with site repulsion in 1d. The Ray-Knight-type method which was applied to the discrete time and edge repulsion case, is applicable to this model…

In this paper I provide simple and easily verifiable conditions under which a strong form of stochastic equicontinuity holds in a wide variety of modern time series models. In contrast to most results currently available in the literature,…

An approximation method is presented for probabilistic inference with continuous random variables. These problems can arise in many practical problems, in particular where there are "second order" probabilities. The approximation, based on…

We present and analyze a novel space-time hybridizable discontinuous Galerkin (HDG) method for the linear free-surface problem on prismatic space-time meshes. We consider a mixed formulation which immediately allows us to compute the…

The method of continuous averaging can be regarded as a combination of the Lie method, where a change of coordinates is constructed as a shift along solutions of a differential equation and the Neishtadt method, well-known in perturbation…