Claim pricing and hedging under market incompleteness and "mean-variance" preferences

Article Abstract:

It has been possible to obtain bid and ask prices of a general contingent claim in an incomplete market for an investor able to also trade in a given asset and in bonds. It was found that bid-ask spreads depend proportionally on the coefficient of risk aversion, on the smallest variation of the overall error of replication because of hedging one single claim and on the number of traded claims.

Stocks & Other Equity Securities, Stocks

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Multi-period minimax hedging strategies

Article Abstract:

The basic minimax strategy has two extensions which determine the optimum number of shares that minimize potential hedging errors under transaction costs. The first extension is the two-period minimax, where the worst case error is defined over a two-period setting. The second extension is the variable minimax strategy, where early rebalancing is triggered by the minimax hedging error.

Usage, Chebyshev approximation

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The LIBOR model dynamics: approximations, calibration and diagnostics

Article Abstract:

The various assumptions like approximations, calibration and diagnostics that result in instantaneous covariance of London Interbank Offered Rate (LIBOR) market model are discussed. LIBOR's importance in determining interest rates, finance and pricing are also discussed.

United Kingdom, Italy, Management dynamics, Analysis, Management, Financial markets, Company business management, London Interbank Offered Rate

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