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Hedging under an expected loss constraint with small transaction costs
Bouchard, Bruno; Moreau, Ludovic; Soner, Mete - HAL - 2013
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 …
Persistent link: https://www.econbiz.de/10010933872
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Window double barrier options
Guillaume, Tristan - HAL - 2003
also more exotic features such as combinations of single and double barriers. Price properties and hedging issues are …
Persistent link: https://www.econbiz.de/10010820456
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Dynamic hedging of portfolio credit derivatives
Cont, Rama; Kan, Yu Hang - HAL - 2011
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 …
Persistent link: https://www.econbiz.de/10008873568
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Disagreement-Based Trading and Speculation: Implications for Financial Regulation and Economic Theory
Biondi, Yuri - HAL - 2011
Lynn Stout's paper develops an insightful legal-economic analysis of speculative trading. From one hand, the paper discusses the legal-economic framework of speculation and its recent transformation, making reference to the case of derivatives markets crash (and related financial crisis) of...
Persistent link: https://www.econbiz.de/10008835378
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The Possibility of a Welfare Policy in a World of Emotion-Driven Individuals: A Humean Point of View
Lapidus, André - HAL - 2011
Based on Hume's major philosophical works and on some of his Essays, this paper discusses formally the feasibility, from a Humean point of view, of a welfare policy which would aim at promoting the highest individual happiness whereas individual decisions, like individual happiness, are...
Persistent link: https://www.econbiz.de/10009226838
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The hero figure in Business and Cinema
Fournout, Olivier - HAL - 2012
Textbooks and manuals on management suggest that managers are heroes who deal with difficult problems of collective adaptation and change. American films are similarly built on the premise of a hero confronted with extremely difficult situations. What if this hero figure promoted for so long in...
Persistent link: https://www.econbiz.de/10010550433
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Stochastic dominance with respect to a capacity and risk measures
Grigorova, Miryana - HAL - 2011
Pursuing our previous work in which the classical notion of increasing convex stochastic dominance relation with respect to a probability has been extended to the case of a normalised monotone (but not necessarily additive) set function also called a capacity, the present paper gives a...
Persistent link: https://www.econbiz.de/10009368022
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The origin of stock-market crashes: proposal for a mimetic model using behavioral assumptions and an analysis of legal mimicry
Levy, Aldo; Bensimhon, Larry - HAL - 2010
A number of phenomena are responsible for market crashes, but an analysis of investor behavior will tell us more than the valuation of securities on their fundamentals. In this regard, the interpretation of information seems to play a central role in these exceptional events. One specific type...
Persistent link: https://www.econbiz.de/10009022041
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Effect of Uncertainty about Others' Rationality in Experimental Asset Markets: An Experimental Analysis
Akiyama, Eizo; Hanaki, Nobuyuki; Ishikawa, Ryuichiro - HAL - 2012
We investigate the extent to which price deviations from fundamental values in an experimental asset market are due to the uncertainty of subjects regarding others' rationality. We do so by comparing the price forecasts submitted by subjects in two market environments: (a) all six traders are...
Persistent link: https://www.econbiz.de/10010933826
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It is Not Just Confusion! Strategic Uncertainty in an Experimental Asset Market
Akiyama, Eizo; Hanaki, Nobuyuki; Ishikawa, Ryuichiro - HAL - 2013
To what extent is the observed mis-pricing in experimental asset markets caused by strategic uncertainty (SU) and by individual bounded rationality (IBR)? We address this question by comparing subjects initial price forecasts in two market environments - one with six human traders, and the other...
Persistent link: https://www.econbiz.de/10010933940