RUS  ENG JOURNALS   PEOPLE   ORGANISATIONS   CONFERENCES   SEMINARS   VIDEO LIBRARY   PERSONAL OFFICE
Video Library
Archive
Most viewed videos

Search
RSS
New in collection





You may need the following programs to see the files






International conference "Stochastic Optimization and Optimal Stopping"
September 24, 2012 12:10, Moscow, Steklov Mathematical Institute of RAS
 

Plenary talks


Asymptotically optimal discretization of hedging strategies with jumps

Peter Tankov

Université Paris VII – Denis Diderot

Number of views:
This page:226
Video files:119

Peter Tankov
Photo Gallery



Abstract: In this work, we consider the hedging error due to discrete trading in models with jumps. Extending an approach developed by Fukasawa (2011) for continuous processes, we propose a framework enabling to (asymptotically) optimize the discretization times. More precisely, a discretization rule is said to be optimal if for a given cost function, no strategy has (asymptotically, for large cost) a lower mean square discretization error for a smaller cost. We focus on discretization rules based on hitting times and give explicit expressions for the optimal rules within this class. This is a joint work with Mathieu Rosenbaum (Université Pierre et Marie Curie).

Language: English

SHARE: VKontakte.ru FaceBook Twitter Mail.ru Livejournal Memori.ru
 
Contact us:
 Terms of Use  Registration  Logotypes © Steklov Mathematical Institute RAS, 2017