Related papers: A method for Hedging in continuous time

We present an algorithm producing a dynamic non-self-financing hedging strategy in an incomplete market corresponding to investor-relevant risk criterion. The optimization is a two stage process that first determines admissible model…

In this work we consider the exponential utility maximization problem in the framework of semistatic hedging.

Algorithms having uniform convergence with respect to their initial condition (i.e., with fixed-time stability) are receiving increasing attention for solving control and observer design problems under time constraints. However, we still…

Calibration means that forecasts and average realized frequencies are close. We develop the concept of forecast hedging, which consists of choosing the forecasts so as to guarantee that the expected track record can only improve. This…

We consider a zero-sum stochastic game for continuous-time Markov chain with countable state space and unbounded transition and pay-off rates. The additional feature of the game is that the controllers together with taking actions are also…

We study certain polyadicly continuous sequences from point of view the probability theory.

The paper proposes an algorithm for a discretization (sampled-time implementation) of a homogeneous control preserving the finite-time and nearly fixed-time stability property of the original (sampling-free) system. The sampling period is…

We present a framework for hedging a portfolio of derivatives in the presence of market frictions such as transaction costs, market impact, liquidity constraints or risk limits using modern deep reinforcement machine learning methods. We…

This paper presents a method for time series forecasting with deep learning and its assessment on two datasets. The method starts with data preparation, followed by model training and evaluation. The final step is a visual inspection.…

The indirect approach to continuous-time system identification consists in estimating continuous-time models by first determining an appropriate discrete-time model. For a zero-order hold sampling mechanism, this approach usually leads to a…

Paper is based on "The cost of illiquidity and its effects on hedging", L. C. G. Rogers and Surbjeet Singh, 2010. We generalize its thesis to constant elasticity model, which own previously used Black-Schoels model as a special case. The…

This paper mainly discusses the American option's hedging strategies via binomialmodel and the basic idea of pricing and hedging American option. Although the essential scheme of hedging is almost the same as European option, small…

We propose an adaptive control strategy for the simultaneous estimation of topology and synchronization in complex dynamical networks with unknown, time-varying topology. Our approach transforms the problem of time-varying topology…

In this paper we present multidimensional analogues of both the continuous- and discrete-time Toda lattices. The integrable systems that we consider here have two or more space coordinates. To construct the systems, we generalize the…

In this letter we present a method of constructing dynamical systems with any preassigned number of equilibria by adding symmetry to another system with at least one equilibrium point. If the resulting system is chaotic, we call this…

To plan the trajectories of a large-scale heterogeneous swarm, sequentially or synchronously distributed methods usually become intractable due to the lack of global clock synchronization. To this end, we provide a novel asynchronous…

This article analyzes the relationship between co-persistence and hedging which indicates co-persistence ratio is just the long-term hedging ratio. The new method of exhaustive search algorithm for deriving co-persistence ratio is derived…

In this note we present a brief overview of variational methods to solve homogenization problems. The purpose is to give a first insight on the subject by presenting some fundamental theoretical tools, both classical and modern. We conclude…

This paper proposes an algorithm to estimate the parameters, including time delay, of continuous time systems based on instrumental variable identification methods. To overcome the multiple local minima of the cost function associated with…

In this paper, we propose two discontinuous dynamical systems in continuous time with guaranteed prescribed finite-time local convergence to strict local minima of a given cost function. Our approach consists of exploiting a Lyapunov-based…