This paper develops a new scheme for improving an approximation method of a probability density function, which is inspired by the idea in <I>best approximation in an inner product space</I>. Moreover, we applies "Dykstra's cyclic projections algorithm" for its implementation. Numerical examples for...</i>

　　 This paper develops a new scheme for improving an approximation method of a probability density function, which is inspired by the idea in<em> the Hilbert space projection theorem</em>. Moreover, we apply “Dykstra's cyclic projections algorithm†for its implementation....

This paper proposes a new hedging scheme of European derivatives under uncertain volatility environments, in which a weighted variance swap called the polynomial variance swap is added to the Black-Scholes delta hedging for managing exposure to volatility risk. In general, under these...

This paper proposes a new hedging scheme of European derivatives under uncertain volatility environments, in which a weighted variance swap called the polynomial variance swap is added to the Black-Scholes delta hedging for managing exposure to volatility risk. In general, under these...

This paper proposes a trading strategy that dynamically rebalances static super-replicating portfolios, which is very useful for both investment and hedging strategies. In order to investigate general properties of the strategy, we derive the Doob-Meyer decomposition for the value process...

This paper proposes a new hedging scheme of European derivatives under uncertain volatility environments, in which a weighted variance swap called the polynomial variance swap is added to the Black-Scholes delta hedging for managing exposure to volatility risk. In general, under these...

This is an online appendix of "Sup-inf/inf-sup problem on choice of a probability measure by FBSDE approach". Particularly, we provide proofs of Propositions 1-3 and an example of FBSDEs, in which sgn(Z1); sgn(Z2) are determined by solving the FBSDEs explicitly, for Section III-B in the original...

In this study, we investigate ordering patterns of different types of market participants in Tokyo Stock Exchange (TSE) by examining order records of the listed stocks. Firstly, we categorize the virtual servers in the trading system of TSE, each of which is linked to a single trading...

This paper develops a new scheme for improving an approximation method of a probability density function, which is inspired by the idea in best approximation in an inner product space. Moreover, we applies “Dykstra's cyclic projections algorithm” for its implementation. Numerical examples...