相关论文: Variance-optimal hedging for processes with statio…

We consider option hedging in a model where the underlying follows an exponential L\'evy process. We derive approximations to the variance-optimal and to some suboptimal strategies as well as to their mean squared hedging errors. The…

It is shown that delta hedging provides the optimal trading strategy in terms of minimal required initial capital to replicate a given terminal payoff in a continuous-time Markovian context. This holds true in market models where no…

We consider the optimization of a dynamical system by switching at discrete time points between abstract evolution equations composed by nonlinearly perturbed strongly continuous semigroups, nonlinear state reset maps at mode transition…

In this paper we study mean-variance hedging under the G-expectation framework. Our analysis is carried out by exploiting the G-martingale representation theorem and the related probabilistic tools, in a contin- uous financial market with…

Recent empirical studies suggest that the volatility of an underlying price process may have correlations that decay slowly under certain market conditions. In this paper, the volatility is modeled as a stationary process with long-range…

We present an analytic solution of a differential-difference equation that appears when one solves an optimal stopping time problem with state process following a jump-diffusion process. This equation occurs in the context of real options…

We present a method of hedging Conditional Value at Risk of a position in stock using put options. The result leads to a linear programming problem that can be solved to optimise risk hedging.

This paper studies the optimal investment problem with random endowment in an inventory-based price impact model with competitive market makers. Our goal is to analyze how price impact affects optimal policies, as well as both pricing rules…

In this paper we solve the hedge fund manager's optimization problem in a model that allows for investors to enter and leave the fund over time depending on its performance. The manager's payoff at the end of the year will then depend not…

In this paper, we are interested in linear prediction of a particular kind of stochastic process, namely a marked temporal point process. The observations are event times recorded on the real line, with marks attached to each event. We show…

How can we perform efficient inference and learning in directed probabilistic models, in the presence of continuous latent variables with intractable posterior distributions, and large datasets? We introduce a stochastic variational…

Price determination is a central research topic of revenue management in marketing. The important aspect in pricing is controlling the stochastic behavior of demand, and the previous studies have tackled price optimization problems with…

It is well documented that a model for the underlying asset price process that seeks to capture the behaviour of the market prices of vanilla options needs to exhibit both diffusion and jump features. In this paper we assume that the asset…

We derive a consistent differential representation for the dynamics of a self-financing portfolio for different hedging strategies. In the basis of the derivation there is the so called "retarded action principle", which represents the…

Numerous Optimization Algorithms have a time-varying update rule thanks to, for instance, a changing step size, momentum parameter or, Hessian approximation. In this paper, we apply unrolled or automatic differentiation to a time-varying…

We consider the problem of hedging a European contingent claim in a Bachelier model with transient price impact as proposed by Almgren and Chriss. Following the approach of Rogers and Singh and Naujokat and Westray, the hedging problem can…

By the classical Martingale Representation Theorem, replication of random vectors can be achieved via stochastic integrals or solutions of stochastic differential equations. We introduce a new approach to replication of random vectors via…

Variational inequalities have gained significant attention in machine learning and optimization research. While stochastic methods for solving these problems typically assume independent data sampling, we investigate an alternative approach…

We study the problem of option pricing and hedging strategies within the frame-work of risk-return arguments. An economic agent is described by a utility function that depends on profit (an expected value) and risk (a variance). In the…

We study the optimal control of storage which is used for both arbitrage and buffering against unexpected events, with particular applications to the control of energy systems in a stochastic and typically time-heterogeneous environment.…