IDEAS home Printed from https://ideas.repec.org/p/sce/scecfa/186.html
   My bibliography  Save this paper

Capture Basin Algorithm for Evaluating and Managing Complex Financial Instruments

Author

Listed:
  • Dominique Pujal

    (S.D.F. C.R.V.J.C. University Paris Dauphine)

  • Patrick Saint-Pierre

    (S.D.F. C.R.V.J.C. University Paris Dauphine)

Abstract

One aim of Viability Theory is to regulate evolutions under uncertainty in order not only to reach a target in finite time, but also to fulfill constraints (known as viability) until this time. Within the framework of finance, in the case of replicating portfolios, the target is defined by the payoff function at maturity time, and the constraints appear when one want to take into account limitations on prices and quantities to share. Moreover, extension of Viability Theory to hybrid or impulse systems allows to evaluate more complex financial instruments.

Suggested Citation

  • Dominique Pujal & Patrick Saint-Pierre, 2006. "Capture Basin Algorithm for Evaluating and Managing Complex Financial Instruments," Computing in Economics and Finance 2006 186, Society for Computational Economics.
    • Handle: RePEc:sce:scecfa:186
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Krawczyk, Jacek B & Pharo, Alastair & Simpson, Mark, 2011. "Approximations to viability kernels for sustainable macroeconomic policies," Working Paper Series 1531, Victoria University of Wellington, School of Economics and Finance.
    2. Krawczyk, Jacek B. & Serea, Oana-Silvia, 2007. "A viability theory approach to a two-stage optimal control problem," MPRA Paper 10103, University Library of Munich, Germany.
    3. Krawczyk, Jacek B & Townsend, Wilbur, 2015. "Viability of an economy with constrained inequality," Working Paper Series 4689, Victoria University of Wellington, School of Economics and Finance.
    4. Jacek B. Krawczyk & Vladimir P. Petkov, 2022. "A Qualitative Game of Interest Rate Adjustments with a Nuisance Agent," Games, MDPI, vol. 13(5), pages 1-24, August.
    5. Krawczyk, Jacek B. & Judd, Kenneth L., 2014. "Which economic states are sustainable under a slightly constrained tax-rate adjustment policy," MPRA Paper 59027, University Library of Munich, Germany.
    6. Jacek Krawczyk & Rishab Sethi, 2007. "Satisficing Solutions for New Zealand Monetary Policy," Reserve Bank of New Zealand Discussion Paper Series DP2007/03, Reserve Bank of New Zealand.
    7. Jacek Krawczyk & Alastair Pharo & Oana Serea & Stewart Sinclair, 2013. "Computation of viability kernels: a case study of by-catch fisheries," Computational Management Science, Springer, vol. 10(4), pages 365-396, December.
    8. Krawczyk, Jacek B & Pharo, Alastair S, 2014. "Manual of VIKAASA 2.0: An application for computing and graphing viability kernels for simple viability problems," Working Paper Series 3432, Victoria University of Wellington, School of Economics and Finance.
    9. Krawczyk, Jacek B & Pharo, Alastair & Simpson, Mark, 2011. "Approximations to viability kernels for sustainable macroeconomic policies," Working Paper Series 18551, Victoria University of Wellington, School of Economics and Finance.
    10. Krawczyk, Jacek B & Townsend, Wilbur, 2015. "Viability of an economy with constrained inequality," Working Paper Series 19335, Victoria University of Wellington, School of Economics and Finance.

    More about this item

    Keywords

    Viability; Capture Basin Algorithm; Finance;
    All these keywords.

    JEL classification:

    • C73 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Stochastic and Dynamic Games; Evolutionary Games
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:sce:scecfa:186. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Christopher F. Baum (email available below). General contact details of provider: https://edirc.repec.org/data/sceeeea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.