Related papers: A method for Hedging in continuous time

Option pricing is an integral part of modern financial risk management. The well-known Black and Scholes (1973) formula is commonly used for this purpose. This paper is an attempt to extend their work to a situation in which the…

This paper studies distributed continuous-time optimization for time-varying quadratic cost functions with uncertain parameters. We first propose a centralized adaptive optimization algorithm using partial information of the cost function.…

In this article, we investigate the behavior of long-term options. In many cases, option prices follow an exponential decay (or growth) rate for further maturity dates. We determine under what conditions option prices are characterized by…

A continuous analog of Gauss-Newton method for solving nonlinear ill-posed problems is proposed. Its converegence is proved. A numerical example is presented to demonstrate efficiency of the propsed method.

A new theory of edge waves over a slowly varying depth.

In this chapter we first briefly review the existing approaches to hedging in rough volatility models. Next, we present a simple but general result which shows that in a one-factor rough stochastic volatility model, any option may be…

We present implementations of constant-time algorithms for connectivity tests and related problems. Some are implementations of slightly improved variants of previously known algorithms; for other problems we present new algorithms that…

In this paper, we propose several models, which can realize synchronization of complex networks in finite time effectively. The results apply to heterogeneous dynamic networks, too. The mechanism of finite time convergence is revealed.…

A consistently specified halting function may be computed.

This paper examines a continuous time dynamical system that is an extension of a discrete time dynamical system previously examined, and considers this system together in a product space with a compact subset of Euclidean space. Together,…

We study the convergence behavior of the stochastic heavy-ball method with a small stepsize. Under a change of time scale, we approximate the discrete method by a stochastic differential equation that models small random perturbations of a…

The paper presents a simple, linear time, in-place algorithm for performing a 2-way in-shuffle which can be used with little modification for certain other k-way shuffles.

In this paper we prove large-time existence and uniqueness of high regularity weak solutions to some initial/boundary value problems involving a nonlinear fourth order wave equation. These sorts of problems arise naturally in the study of…

Based on our previous study [IS3] on the stationary scattering theory for the Schrodinger operator on a manifold possessing an escape function we complete our investigation by doing the time-dependent counterpart. A particular class of…

Spectral methods of moments provide a powerful tool for learning the parameters of latent variable models. Despite their theoretical appeal, the applicability of these methods to real data is still limited due to a lack of robustness to…

In this paper we study the existence of an optimal hedging strategy for the shortfall risk measure in the game options setup. We consider the continuous time Black--Scholes (BS) model. Our first result says that in the case where the game…

We establish a general method for simultaneously perturbing a convergent sequence of functions in such a way that the sequence of strong minima of the perturbed functions tend to the strong minimum of their limit.

We consider the numerical approximation of the quantile hedging price in a non-linear market. In a Markovian framework, we propose a numerical method based on a Piecewise Constant Policy Timestepping (PCPT) scheme coupled with a monotone…

Time delays may cause dramatic changes to the dynamics of interacting oscillators. Coupled networks of interacting dynamical systems can behave unexpectedly when the signal between the vertices are time delayed. It has been shown for a very…

We establish convergence to an invariant measure as time tends to infinity, for a large class of (possibly non-Markovian) stochastic volatility models. Our arguments are based on a novel coupling idea for Markov chains which also extends to…