Hedged Monte-Carlo: low variance derivative pricing with objective probabilities
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References listed on IDEAS
- Farhat Selmi & Jean-Philippe Bouchaud, 2000. "Hedging large risks reduces the transaction costs," Science & Finance (CFM) working paper archive 500033, Science & Finance, Capital Fund Management.
- Andrew Matacz & Jean-Philippe Bouchaud, 1999. "An empirical investigation of the forward interest rate term structure," Science & Finance (CFM) working paper archive 500047, Science & Finance, Capital Fund Management.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Lisa Borland & Jean-Philippe Bouchaud & Jean-Francois Muzy & Gilles Zumbach, 2005. "The Dynamics of Financial Markets -- Mandelbrot's multifractal cascades, and beyond," Science & Finance (CFM) working paper archive 500061, Science & Finance, Capital Fund Management.
- Benoit Pochard & Jean-Philippe Bouchaud, 2003. "Option pricing and hedging with minimum expected shortfall," Science & Finance (CFM) working paper archive 500029, Science & Finance, Capital Fund Management.
- Tompkins, Robert G. & D'Ecclesia, Rita L., 2006. "Unconditional return disturbances: A non-parametric simulation approach," Journal of Banking & Finance, Elsevier, vol. 30(1), pages 287-314, January.
More about this item
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2005-02-13 (All new papers)
- NEP-CFN-2005-02-13 (Corporate Finance)
- NEP-FIN-2005-02-13 (Finance)
- NEP-RMG-2005-02-13 (Risk Management)
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