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  • Search: person:"Darses, Sébastien"
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Year of publication
Subject
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Transaction costs 4 Leland-Lott strategy 3 Theorie 3 Theory 3 Asymptotic hedging 2 Hedging 2 Martingale limit theorem 2 Transaktionskosten 2 Compressed sensing 1 Decoupling 1 Matrix Chernoff inequality 1 Portfolio selection 1 Portfolio-Management 1 Random sub-matrices 1 Stochastic process 1 Stochastischer Prozess 1 asymptotic hedging 1 martingale limit theorem 1 transaction costs 1
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Online availability
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Free 5 Undetermined 1
Type of publication
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Book / Working Paper 6 Article 1
Language
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English 4 Undetermined 3
Author
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Darses, Sebastien 4 Darses, Sébastien 3 Lepinette, Emmanuel 3 Lépinette-Denis, Emmanuel 2 Chrétien, Stéphane 1 Denis, Emmanuel 1
Institution
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Université Paris-Dauphine (Paris IX) 2 HAL 1
Published in...
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Economics Papers from University Paris Dauphine 2 Statistics & Probability Letters 1 Working Papers / HAL 1
Source
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RePEc 4 ECONIS (ZBW) 3
Showing 1 - 7 of 7
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Mean Square Error and Limit Theorem for the Modi fied Leland Hedging Strategy with a Constant Transaction Costs Coefficient
Lépinette-Denis, Emmanuel; Darses, Sébastien - Université Paris-Dauphine (Paris IX) - 2014
We study the Leland model for hedging portfolios in the presence of a constant proportional transaction costs coefficient. The modi fied Leland's strategy defi ned in [2], contrarily to the classical one, ensures the asymptotic replication of a large class of payoff . In this setting, we prove a...
Persistent link: https://www.econbiz.de/10010729320
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Mean Square Error and Limit Theorem for the Modi fied Leland Hedging Strategy with a Constant Transaction Costs Coefficient
Darses, Sebastien - 2012
We study the Leland model for hedging portfolios in the presence of a constant proportional transaction costs coefficient. The modi fied Leland's strategy defi ned in [2], contrarily to the classical one, ensures the asymptotic replication of a large class of payoff . In this setting, we prove a...
Persistent link: https://www.econbiz.de/10013107425
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Parabolic Schemes for Quasi-Linear Parabolic and Hyperbolic PDEs Via Stochastic Calculus
Darses, Sebastien - 2012
We consider two quasi-linear initial-value Cauchy problems on Rd: a parabolic system and an hyperbolic one. They both have a first order non-linearity of the form φ(t, x, u) · ∇u, a forcing term h(t, x, u) and an initial condition u0 ∈ L∞ (Rd ) ∩ C ∞ (Rd ), where φ (resp. h) is...
Persistent link: https://www.econbiz.de/10013107808
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Mean Square Error and Limit Theorem for the Modified Leland Hedging Strategy with a Constant Transaction Costs Coefficient
Darses, Sebastien - 2012
We study the Leland model for hedging portfolios in the presence of a constant proportional transaction costs coefficient. The modified Leland's strategy defined in [2], contrarily to the classical one, ensures the asymptotic replication of a large class of payoff. In this setting, we prove a...
Persistent link: https://www.econbiz.de/10013107810
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Limit Theorem for a Modified Leland Hedging Strategy under Constant Transaction Costs rate
Darses, Sebastien; Denis, Emmanuel - HAL - 2010
We study the Leland model for hedging portfolios in the presence of a constant proportional transaction costs coefficient. The modified Leland's strategy recently defined by the second author, contrarily to the classical one, ensures the asymptotic replication of a large class of payoff. In this...
Persistent link: https://www.econbiz.de/10008793766
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Invertibility of random submatrices via tail-decoupling and a matrix Chernoff inequality
Chrétien, Stéphane; Darses, Sébastien - In: Statistics & Probability Letters 82 (2012) 7, pp. 1479-1487
Let X be a n×p real matrix with coherence μ(X)=maxj≠j′|XjtXj′|. We present a simplified and improved study of the quasi-isometry property for most submatrices of X obtained by uniform column sampling. Our results depend on μ(X), the operator norm ‖X‖ and the dimensions with explicit...
Persistent link: https://www.econbiz.de/10011039896
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Limit Theorem for a Modified Leland Hedging Strategy under Constant Transaction Costs rate
Lépinette-Denis, Emmanuel; Darses, Sébastien - Université Paris-Dauphine (Paris IX) - 2011
We study the Leland model for hedging portfolios in the presence of a constant proportional transaction costs coefficient. The modified Leland's strategy recently defined by the second author, contrarily to the classical one, ensures the asymptotic replication of a large class of payoff. In this...
Persistent link: https://www.econbiz.de/10010706995
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