We consider the problem of option hedging in a market with proportional transaction costs. Since super-replication is … very costly in such markets, we replace perfect hedging with an expected loss constraint. Asymptotic analysis for small …

also more exotic features such as combinations of single and double barriers. Price properties and hedging issues are …

We compare the performance of various hedging strategies for index collateralized debt obligation (CDO) tranches across … a variety of models and hedging methods during the recent credit crisis. Our empirical analysis shows evidence for …-dimensional bottom-up models perform better than simpler top-down models. When it comes to hedging, top-down and regression-based hedging …

and commercial trips. This paper proposes a simulation method to carry out a land-use and transport interaction analysis … accessibility and simulation of goods flows is made. Second, the proposed method is presented on the form of a sequential procedure …

Purpose The purpose of this paper is to exhibit the impacts of lease duration and lease break options on the optimal … holding period for a real estate asset or portfolio Methodology / approach We use a Monte Carlo simulation framework to … options) are explicitly taken into account. We assume that a tenant exercises his/her option to break a lease if the rent paid …

Si la simulation est une méthode de recherche de moins en moins obscure en sciences de gestion, son utilisation n … perpétuelle interaction avec leur environnement. À travers deux modèles de simulation illustratifs fondés sur la tradition de la … dynamique des systèmes, il propose de faire apparaitre l'intérêt de la simulation, à la fois pour le chercheur en sciences de …

urban area and a peri-urban rural zone. A simulation method is proposed to obtain real-life scenarios in order to test the …