Author: Erhan Bayraktar
Publisher:
ISBN:
Category :
Languages : en
Pages : 28
Book Description
With model uncertainty characterized by a convex, possibly non-dominated set of probability measures, the investor minimizes the cost of hedging a path dependent contingent claim with given expected success ratio, in a discrete-time, semi-static market of stocks and options. Based on duality results which link quantile hedging to a randomized composite hypothesis test, an arbitrage-free discretization of the market is proposed as an approximation. The discretized market has a dominating measure, which guarantees the existence of the optimal hedging strategy and enables numerical calculation of the quantile hedging price by applying the generalized Neyman-Pearson Lemma. Finally, the performance in the original market of the approximating hedging strategy and the convergence of the approximating quantile hedging price are analyzed.
Quantile Hedging in a Semi-Static Market with Model Uncertainty
Author: Erhan Bayraktar
Publisher:
ISBN:
Category :
Languages : en
Pages : 28
Book Description
With model uncertainty characterized by a convex, possibly non-dominated set of probability measures, the investor minimizes the cost of hedging a path dependent contingent claim with given expected success ratio, in a discrete-time, semi-static market of stocks and options. Based on duality results which link quantile hedging to a randomized composite hypothesis test, an arbitrage-free discretization of the market is proposed as an approximation. The discretized market has a dominating measure, which guarantees the existence of the optimal hedging strategy and enables numerical calculation of the quantile hedging price by applying the generalized Neyman-Pearson Lemma. Finally, the performance in the original market of the approximating hedging strategy and the convergence of the approximating quantile hedging price are analyzed.
Publisher:
ISBN:
Category :
Languages : en
Pages : 28
Book Description
With model uncertainty characterized by a convex, possibly non-dominated set of probability measures, the investor minimizes the cost of hedging a path dependent contingent claim with given expected success ratio, in a discrete-time, semi-static market of stocks and options. Based on duality results which link quantile hedging to a randomized composite hypothesis test, an arbitrage-free discretization of the market is proposed as an approximation. The discretized market has a dominating measure, which guarantees the existence of the optimal hedging strategy and enables numerical calculation of the quantile hedging price by applying the generalized Neyman-Pearson Lemma. Finally, the performance in the original market of the approximating hedging strategy and the convergence of the approximating quantile hedging price are analyzed.
Quantile Hedging for a Jump Diffusion Financial Market Model
Author:
Publisher:
ISBN:
Category :
Languages : en
Pages : 12
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages : 12
Book Description
Quantile Hedging for a Jump-diffusion Financial Market Model/ R. N. Krutchenko; A. V. Melnikov
Author: R. N. Krutchenko
Publisher:
ISBN:
Category :
Languages : en
Pages : 12
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages : 12
Book Description
Quantile Hedging for a Jump Diffusion Financal Mearket Model
Author: R. N. Krutčenko
Publisher:
ISBN:
Category :
Languages : en
Pages : 12
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages : 12
Book Description
Adventures in Semi-static Hedging
Author:
Publisher:
ISBN:
Category :
Languages : en
Pages : 138
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages : 138
Book Description
Efficient Hedging in Incomplete Markets Under Model Uncertainty
Author: Michael Kirch
Publisher:
ISBN:
Category :
Languages : en
Pages : 137
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages : 137
Book Description
Quantile Hedging
Author: Hans Föllmer
Publisher:
ISBN:
Category :
Languages : en
Pages : 24
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages : 24
Book Description
Mean Field Games
Author: Yves Achdou
Publisher: Springer Nature
ISBN: 3030598373
Category : Mathematics
Languages : en
Pages : 316
Book Description
This volume provides an introduction to the theory of Mean Field Games, suggested by J.-M. Lasry and P.-L. Lions in 2006 as a mean-field model for Nash equilibria in the strategic interaction of a large number of agents. Besides giving an accessible presentation of the main features of mean-field game theory, the volume offers an overview of recent developments which explore several important directions: from partial differential equations to stochastic analysis, from the calculus of variations to modeling and aspects related to numerical methods. Arising from the CIME Summer School "Mean Field Games" held in Cetraro in 2019, this book collects together lecture notes prepared by Y. Achdou (with M. Laurière), P. Cardaliaguet, F. Delarue, A. Porretta and F. Santambrogio. These notes will be valuable for researchers and advanced graduate students who wish to approach this theory and explore its connections with several different fields in mathematics.
Publisher: Springer Nature
ISBN: 3030598373
Category : Mathematics
Languages : en
Pages : 316
Book Description
This volume provides an introduction to the theory of Mean Field Games, suggested by J.-M. Lasry and P.-L. Lions in 2006 as a mean-field model for Nash equilibria in the strategic interaction of a large number of agents. Besides giving an accessible presentation of the main features of mean-field game theory, the volume offers an overview of recent developments which explore several important directions: from partial differential equations to stochastic analysis, from the calculus of variations to modeling and aspects related to numerical methods. Arising from the CIME Summer School "Mean Field Games" held in Cetraro in 2019, this book collects together lecture notes prepared by Y. Achdou (with M. Laurière), P. Cardaliaguet, F. Delarue, A. Porretta and F. Santambrogio. These notes will be valuable for researchers and advanced graduate students who wish to approach this theory and explore its connections with several different fields in mathematics.
International Convergence of Capital Measurement and Capital Standards
Author:
Publisher: Lulu.com
ISBN: 9291316695
Category : Bank capital
Languages : en
Pages : 294
Book Description
Publisher: Lulu.com
ISBN: 9291316695
Category : Bank capital
Languages : en
Pages : 294
Book Description
Mathematical Reviews
Author:
Publisher:
ISBN:
Category : Mathematics
Languages : en
Pages : 1804
Book Description
Publisher:
ISBN:
Category : Mathematics
Languages : en
Pages : 1804
Book Description