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A model-free approach to delta hedging
Fliess, Michel; Join, Cédric - HAL - 2010
See http://hal.inria.fr/inria-00479824/en/ for a slightly more elaborate version.
Persistent link: https://www.econbiz.de/10008833330
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Preliminary remarks on option pricing and dynamic hedging
Fliess, Michel; Join, Cédric - HAL - 2012
An elementary arbitrage principle and the existence of trends in financial time series, which is based on a theorem … problems related to violent behaviors of the underlying, like the existence of jumps, become then quite straightforward by … incorporating them into the trends. Several convincing computer experiments are reported. …
Persistent link: https://www.econbiz.de/10010551681
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Towards a new viewpoint on causality for time series
Fliess, Michel; Join, Cédric - HAL - 2014
Causation between time series is a most important topic in econometrics, financial engineering, biological and psychological sciences, and many other fields. A new setting is introduced for examining this rather abstract concept. The corresponding calculations, which are much easier than those...
Persistent link: https://www.econbiz.de/10010899129
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Systematic risk analysis: first steps towards a new definition of beta
Fliess, Michel; Join, Cédric - HAL - 2009
management. This setting, which is based on the existence of trends for financial time series via nonstandard analysis (Fliess M …., Join C.: A mathematical proof of the existence of trends in financial time series, Proc. Int. Conf. Systems Theory …
Persistent link: https://www.econbiz.de/10008792703
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Modelling and management of longevity risk: Approximations to survivor functions and dynamic hedging
Cairns, Andrew J.G. - In: Insurance: Mathematics and Economics 49 (2011) 3, pp. 438-453
This paper looks at the development of dynamic hedging strategies for typical pension plan liabilities using longevity-linked hedging instruments. Progress in this area has been hindered by the lack of closed-form formulae for the valuation of mortality-linked liabilities and assets, and the...
Persistent link: https://www.econbiz.de/10010572714
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Does model misspecification matter for hedging? : a computational finance experiment based approach
Sun, Youfa; Yuan, George; Guo, Shimin; Liu, Jianguo; … - In: International journal of financial engineering 2 (2015) 3, pp. 1-21
Persistent link: https://www.econbiz.de/10011403136
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Robert C. Merton and the science of finance
Bodie, Zvi - In: Annual review of financial economics 12 (2020), pp. 19-38
Persistent link: https://www.econbiz.de/10012404616
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Uniformly ultimately bounded tracking control of linear differential inclusions with stochastic disturbance
Huang, Jun; Han, Zhengzhi; Cai, Xiushan; Liu, Leipo - In: Mathematics and Computers in Simulation (MATCOM) 81 (2011) 12, pp. 2662-2672
The tracking control of linear differential inclusions with stochastic disturbance is considered. The feedback law is constructed by the convex hull Lyapunov function. The design objective is to make the error system uniformly ultimately bounded in mean square. Finally, a numerical simulation is...
Persistent link: https://www.econbiz.de/10010870156
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The Power of some Standard tests of stationarity against changes in the unconditional variance.
Ahamada, Ibrahim; Boutahar, Mohamed - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2010
Abrupt changes in the unconditional variance of returns have been recently revealed in many empirical studies. In this paper, we show that traditional KPSS-based tests have a low power against nonstationarities stemming from changes in the unconditional variance. More precisely, we show that...
Persistent link: https://www.econbiz.de/10008622067
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Characterizing abrupt changes in the stock prices using a wavelet decomposition method
Caetano, Marco Antonio Leonel; Yoneyama, Takashi - In: Physica A: Statistical Mechanics and its Applications 383 (2007) 2, pp. 519-526
be satisfied, so that the linear and cyclic trends are eliminated by standard least squares techniques. The coefficients …
Persistent link: https://www.econbiz.de/10010589765