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Hedging by Sequential Regression: an Introduction to the Mathematics of Option Trading

Citations

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Cited by:

  1. Frédéric Abergel & Nicolas Millot, 2011. "Nonquadratic Local Risk-Minimization for Hedging Contingent Claims in Incomplete Markets," Post-Print hal-00620843, HAL.
  2. Ke Nian & Thomas F. Coleman & Yuying Li, 2018. "Learning minimum variance discrete hedging directly from the market," Quantitative Finance, Taylor & Francis Journals, vol. 18(7), pages 1115-1128, July.
  3. T. F. Coleman & Y. Kim & Y. Li & M. Patron, 2007. "Robustly Hedging Variable Annuities With Guarantees Under Jump and Volatility Risks," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 74(2), pages 347-376, June.
  4. Battulga Gankhuu, 2022. "The Log Private Company Valuation Model," Papers 2206.09666, arXiv.org, revised Aug 2023.
  5. Sarah Boese & Tracy Cui & Samuel Johnston & Gianmarco Molino & Oleksii Mostovyi, 2020. "Stability and asymptotic analysis of the F\"ollmer-Schweizer decomposition on a finite probability space," Papers 2002.03286, arXiv.org, revised Jun 2020.
  6. Maciej Augustyniak & Frédéric Godin & Clarence Simard, 2017. "Assessing the effectiveness of local and global quadratic hedging under GARCH models," Quantitative Finance, Taylor & Francis Journals, vol. 17(9), pages 1305-1318, September.
  7. Coleman, Thomas F. & Li, Yuying & Patron, Maria-Cristina, 2006. "Hedging guarantees in variable annuities under both equity and interest rate risks," Insurance: Mathematics and Economics, Elsevier, vol. 38(2), pages 215-228, April.
  8. Eckhard Platen & David Taylor, 2016. "Loading Pricing of Catastrophe Bonds and Other Long-Dated, Insurance-Type Contracts," Papers 1610.09875, arXiv.org.
  9. Valeriy Ryabchenko & Sergey Sarykalin & Stan Uryasev, 2004. "Pricing European Options by Numerical Replication: Quadratic Programming with Constraints," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 11(3), pages 301-333, September.
  10. Igor Halperin, 2017. "QLBS: Q-Learner in the Black-Scholes(-Merton) Worlds," Papers 1712.04609, arXiv.org, revised Sep 2019.
  11. Ke Du, 2013. "Commodity Derivative Pricing Under the Benchmark Approach," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2, July-Dece.
  12. Ke Du, 2013. "Commodity Derivative Pricing Under the Benchmark Approach," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2013.
  13. St'ephane Goutte & Nadia Oudjane & Francesco Russo, 2012. "Variance Optimal Hedging for discrete time processes with independent increments. Application to Electricity Markets," Papers 1205.4089, arXiv.org.
  14. Alexandru Badescu & Robert J. Elliott & Juan-Pablo Ortega, 2012. "Quadratic hedging schemes for non-Gaussian GARCH models," Papers 1209.5976, arXiv.org, revised Dec 2013.
  15. Antoon Pelsser & Mitja Stadje, 2014. "Time-Consistent And Market-Consistent Evaluations," Mathematical Finance, Wiley Blackwell, vol. 24(1), pages 25-65, January.
  16. Andrea Consiglio & Domenico De Giovanni, 2010. "Pricing the Option to Surrender in Incomplete Markets," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 77(4), pages 935-957, December.
  17. Ruediger Frey & Lars Roesler & Dan Lu, 2017. "Corporate Security Prices in Structural Credit Risk Models with Incomplete Information: Extended Version," Papers 1701.04780, arXiv.org, revised May 2017.
  18. Stadje, M.A. & Pelsser, A., 2014. "Time-Consistent and Market-Consistent Evaluations (Revised version of 2012-086)," Other publications TiSEM 0841e78f-a73b-42c1-b7d4-0, Tilburg University, School of Economics and Management.
  19. Ke Du & Eckhard Platen, 2016. "Benchmarked Risk Minimization," Mathematical Finance, Wiley Blackwell, vol. 26(3), pages 617-637, July.
  20. Consiglio, Andrea & De Giovanni, Domenico, 2008. "Evaluation of insurance products with guarantee in incomplete markets," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 332-342, February.
  21. Ke Du & Eckhard Platen, 2011. "Three-Benchmarked Risk Minimization for Jump Diffusion Markets," Research Paper Series 296, Quantitative Finance Research Centre, University of Technology, Sydney.
  22. Battulga Gankhuu, 2021. "Rainbow Options under Bayesian MS-VAR Process," Papers 2112.10447, arXiv.org, revised May 2023.
  23. Edgardo Brigatti & Felipe Macias & Max O. Souza & Jorge P. Zubelli, 2015. "A Hedged Monte Carlo Approach to Real Option Pricing," Papers 1509.03577, arXiv.org.
  24. Battulga Gankhuu, 2021. "Equity--Linked Life Insurances on Maximum of Several Assets," Papers 2111.04038, arXiv.org, revised Aug 2023.
  25. William Busching & Delphine Hintz & Oleksii Mostovyi & Alexey Pozdnyakov, 2022. "Fair pricing and hedging under small perturbations of the num\'eraire on a finite probability space," Papers 2208.09898, arXiv.org.
  26. Frédéric Abergel & Nicolas Millot, 2011. "Non Quadratic Local Risk-Minimization for Hedging Contingent Claims in the Presence of Transaction Costs," Working Papers hal-00621256, HAL.
  27. Battulga Gankhuu, 2022. "Augmented Dynamic Gordon Growth Model," Papers 2201.06012, arXiv.org, revised Aug 2023.
  28. Rossella Agliardi & Ramazan Gençay, 2012. "Hedging through a Limit Order Book with Varying Liquidity," Working Paper series 12_12, Rimini Centre for Economic Analysis.
  29. Schweizer, Martin, 1999. "A guided tour through quadratic hedging approaches," SFB 373 Discussion Papers 1999,96, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  30. Aleš Černý, 2003. "Generalised Sharpe Ratios and Asset Pricing in Incomplete Markets," Review of Finance, European Finance Association, vol. 7(2), pages 191-233.
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