Bibliografías temáticas / Hedging of contingent claims

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Literatura académica sobre el tema "Hedging of contingent claims"

Autor: Grafiati
Publicado: 4 de junio de 2021
Última modificación: 1 de febrero de 2022

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Artículos de revistas sobre el tema "Hedging of contingent claims"

1

Brandt, Michael W. "Hedging Demands in Hedging Contingent Claims". Review of Economics and Statistics 85, n.º 1 (febrero de 2003): 119–40. http://dx.doi.org/10.1162/003465303762687758.

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Jarrow, Robert y Dilip B. Madan. "Hedging contingent claims on semimartingales". Finance and Stochastics 3, n.º 1 (1 de enero de 1999): 111–34. http://dx.doi.org/10.1007/s007800050054.

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Cvitanic, Jaksa y Ioannis Karatzas. "Hedging Contingent Claims with Constrained Portfolios". Annals of Applied Probability 3, n.º 3 (agosto de 1993): 652–81. http://dx.doi.org/10.1214/aoap/1177005357.

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OHSAKI, SHUICHI y AKIRA YAMAZAKI. "STATIC HEDGING OF DEFAULTABLE CONTINGENT CLAIMS: A SIMPLE HEDGING SCHEME ACROSS EQUITY AND CREDIT MARKETS". International Journal of Theoretical and Applied Finance 14, n.º 02 (marzo de 2011): 239–64. http://dx.doi.org/10.1142/s0219024911006383.

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This paper proposes a simple scheme for static hedging of defaultable contingent claims. It generalizes the techniques developed by Carr and Chou (1997), Carr and Madan (1998), and Takahashi and Yamazaki (2009a) to credit-equity models. Our scheme provides a hedging strategy across credit and equity markets, where suitable defaultable contingent claims are accurately replicated by a feasible number of plain vanilla equity options. Another point is that shorter maturity options are available to hedge longer maturity defaultable contingent claims. Through numerical examples, it is shown that the scheme is applicable to both structural and intensity-based models.
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Xiao, Lei Wang and Yan. "Hedging Game Contingent Claims with Constrained Portfolios". Advances in Applied Mathematics and Mechanics 1, n.º 4 (junio de 2009): 529–45. http://dx.doi.org/10.4208/aamm.09-m08h8.

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Bo, Wang y Meng Qingxin. "Hedging American contingent claims with arbitrage costs". Chaos, Solitons & Fractals 32, n.º 2 (abril de 2007): 598–603. http://dx.doi.org/10.1016/j.chaos.2005.11.007.

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Karatzas, Ioannis y S. G. Kou. "Hedging American contingent claims with constrained portfolios". Finance and Stochastics 2, n.º 3 (1 de mayo de 1998): 215–58. http://dx.doi.org/10.1007/s007800050039.

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Zhao, Jun, Emmanuel Lépinette y Peibiao Zhao. "Pricing under dynamic risk measures". Open Mathematics 17, n.º 1 (8 de agosto de 2019): 894–905. http://dx.doi.org/10.1515/math-2019-0070.

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Abstract In this paper, we study the discrete-time super-replication problem of contingent claims with respect to an acceptable terminal discounted cash flow. Based on the concept of Immediate Profit, i.e., a negative price which super-replicates the zero contingent claim, we establish a weak version of the fundamental theorem of asset pricing. Moreover, time consistency is discussed and we obtain a representation formula for the minimal super-hedging prices of bounded contingent claims.
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Khasanov, R. V. "On the Upper Hedging Price of Contingent Claims". Theory of Probability & Its Applications 57, n.º 4 (enero de 2013): 607–18. http://dx.doi.org/10.1137/s0040585x97986199.

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Song, Ruili y Bo Wang. "Backward Stochastic Differential Equation on Hedging American Contingent Claims". Mathematical and Computational Applications 15, n.º 5 (31 de diciembre de 2010): 895–900. http://dx.doi.org/10.3390/mca15050895.

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Tesis sobre el tema "Hedging of contingent claims"

1

Potter, Christopher William. "Hedging contingent claims in complete and incomplete markets". Thesis, University of Oxford, 2005. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.436988.

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Valliant, dit Massart Noel. "Mean-variance hedging and pricing of contingent claims in incomplete markets". Thesis, Imperial College London, 1995. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.297287.

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Badikov, Sergey. "Infinite-dimensional linear programming and model-independent hedging of contingent claims". Thesis, Imperial College London, 2017. http://hdl.handle.net/10044/1/59069.

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We consider model-independent pathwise hedging of contingent claims in discrete-time markets, in the framework of infinite-dimensional linear programmes (LP). The dual problem can be formulated as optimization over the set of martingale measures subject to market constraints. Absence of model-independent arbitrage plays a crucial role in ensuring that both the primal and the dual problems are well posed and there is no duality gap. In fact we show that different notions of model-independent arbitrage are required to prove duality results in various settings. We then specialize this duality theory to the situation where European Call options are traded on the market. In particular we consider hedging portfolios that consist of static positions in traded options and a dynamic trading strategy. The dual variables are then constrained to martingale measures consistent with prices of traded options. When only finitely many Call options are traded, the notion of weak arbitrage introduced in Davis and Hobson (2007) is sufficient to ensure absence of duality gap between the primal and the dual problems. In this case the set of feasible dual variables is not closed, and extrapolation of Call option prices (equivalently of the implied volatility smile) is required. We finally provide numerical examples to support our theoretical claims. By discretizing the infinite-dimensional LPs, we compute arbitrage-free price bounds for Forward-Start options. We further perform a sensitivity analysis of the aforementioned extrapolation and find that in the case of Forward- Start options it does not significantly influence arbitrage bounds obtained by numerically solving discretized problems.
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Manzini, Muzi Charles. "Stochastic Volatility Models for Contingent Claim Pricing and Hedging". Thesis, University of the Western Cape, 2008. http://etd.uwc.ac.za/index.php?module=etd&action=viewtitle&id=gen8Srv25Nme4_8197_1270517076.

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The present mini-thesis seeks to explore and investigate the mathematical theory and concepts that underpins the valuation of derivative securities, particularly European plainvanilla options. The main argument that we emphasise is that novel models of option pricing, as is suggested by Hull and White (1987) [1] and others, must account for the discrepancy observed on the implied volatility &ldquo
smile&rdquo
curve. To achieve this we also propose that market volatility be modeled as random or stochastic as opposed to certain standard option pricing models such as Black-Scholes, in which volatility is assumed to be constant.

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Whitehead, Peter Malcolm Scot. "On the choice and implementation of models for the pricing and hedging of interest rate contingent claims". Thesis, Imperial College London, 1999. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.325338.

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Siqueira, Vinicius de Castro Nunes de. "Métodos de simulação Monte Carlo para aproximação de estratégias de hedging ideais". Universidade de São Paulo, 2015. http://www.teses.usp.br/teses/disponiveis/55/55134/tde-30032016-101312/.

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Neste trabalho, apresentamos um método de simulação Monte Carlo para o cálculo do hedging dinâmico de opções do tipo europeia em mercados multidimensionais do tipo Browniano e livres de arbitragem. Baseado em aproximações martingales de variação limitada para as decomposições de Galtchouk-Kunita-Watanabe, propomos uma metodologia factível e construtiva que nos permite calcular estratégias de hedging puras com respeito a qualquer opção quadrado integrável em mercados completos e incompletos. Uma vantagem da abordagem apresentada aqui é a flexibilidade de aplicação do método para os critérios quadráticos de minimização do risco local e de variância média de forma geral, sem a necessidade de se considerar hipóteses de suavidade para a função payoff. Em particular, a metodologia pode ser aplicada para calcular estratégias de hedging quadráticas multidimensionais para opções que dependem de toda a trajetória dos ativos subjacentes em modelos de volatilidade estocástica e com funções payoff descontínuas. Ilustramos nossa metodologia, fornecendo exemplos numéricos dos cálculos das estratégias de hedging para opções vanilla e opções exóticas que dependem de toda a trajetória dos ativos subjacentes escritas sobre modelos de volatilidade local e modelos de volatilidade estocástica. Ressaltamos que as simulações são baseadas em aproximações para os processos de preços descontados e, para estas aproximações, utilizamos o método numérico de Euler-Maruyama aplicado em uma discretização aleatória simples. Além disso, fornecemos alguns resultados teóricos acerca da convergência desta aproximação para modelos simples em que podemos considerar a condição de Lipschitz e para o modelo de volatilidade estocástica de Heston.
In this work, we present a Monte Carlo simulation method to compute de dynamic hedging of european-type contingent claims in a multidimensional Brownian-type and arbitrage-free market. Based on bounded variation martingale approximations for the Galtchouk-Kunita- Watanabe decomposition, we propose a feasible and constructive methodology which allows us to compute pure hedging strategies with respect to any square-integrable contingent claim in complete and incomplete markets. An advantage of our approach is the exibility of quadratic hedging in full generality without a priori smoothness assumptions on the payoff function. In particular, the methodology can be applied to compute multidimensional quadratic hedgingtype strategies for fully path-dependent options with stochastic volatility and discontinuous payoffs. We illustrate our methodology, providing some numerical examples of the hedging strategies to vanilla and exotic contingent claims written on local volatility and stochastic volatility models. The simulations are based in approximations to the discounted price processes and, for these approximations, we use an Euler-Maruyama-type method applied to a simple random discretization. We also provide some theoretical results about the convergence of this approximation in simple models where the Lipschitz condition is satisfied and the Heston\'s stochastic volatility model.
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Popovic, Ray. "Parameter estimation error: a cautionary tale in computational finance". Diss., Georgia Institute of Technology, 2010. http://hdl.handle.net/1853/34731.

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We quantify the effects on contingent claim valuation of using an estimator for the volatility of a geometric Brownian motion (GBM) process. That is, we show what difficulties can arise when failing to account for estimation risk. Our working problem uses a direct estimator of volatility based on the sample standard deviation of increments from the underlying Brownian motion. After substituting into the GBM the direct volatility estimator for the true, but unknown, value of the parameter sigma, we derive the resulting marginal distribution of the approximated GBM. This allows us to derive post-estimation distributions and valuation formulae for an assortment of European contingent claims that are in accord with the basic properties of the underlying risk-neutral process. Next we extend our work to the contingent claim sensitivities associated with an assortment of European option portfolios that are based on the direct estimator of the volatility of the GBM process. Our approach to the option sensitivities - the Greeks - uses the likelihood function technique. This allows us to obtain computable results for the technically more-complicated formulae associated with our post-estimation process. We discuss an assortment of difficulties that can ensue when failing to account for estimation risk in valuation and hedging formulae.
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Eliasson, Daniel. "Game contingent claims". Thesis, KTH, Matematisk statistik, 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-103080.

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Abstract Game contingent claims (GCCs), as introduced by Kifer (2000), are a generalization of American contingent claims where the writer has the opportunity to terminate the contract, and must then pay the intrinsic option value plus a penalty. In complete markets, GCCs are priced using no-arbitrage arguments as the value of a zero-sum stochastic game of the type described in Dynkin (1969). In incomplete markets, the neutral pricing approach of Kallsen and Kühn (2004) can be used. In Part I of this thesis, we introduce GCCs and their pricing, and also cover some basics of mathematical finance. In Part II, we present a new algorithm for valuing game contingent claims. This algorithm generalises the least-squares Monte-Carlo method for pricing American options of Longstaff and Schwartz (2001). Convergence proofs are obtained, and the algorithm is tested against certain GCCs. A more efficient algorithm is derived from the first one using the computational complexity analysis technique of Chen and Shen (2003). The algorithms were found to give good results with reasonable time requirements. Reference implementations of both algorithms are available for download from the author’s Github page https://github.com/del/ Game-option-valuation-library
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Grimwood, Russell Holden. "The numerical evaluation of contingent claims". Thesis, University of Warwick, 2002. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.269125.

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Li, Anlong. "Three essays on contingent claims pricing". Case Western Reserve University School of Graduate Studies / OhioLINK, 1992. http://rave.ohiolink.edu/etdc/view?acc_num=case1056137244.

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Libros sobre el tema "Hedging of contingent claims"

1

Arbitrage pricing of contingent claims. Berlin: Springer-Verlag, 1985.

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Loukoianova, Elena. Pricing and hedging of contingent credit lines. [Washington, D.C.]: International Monetary Fund, IMF Institute, 2006.

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Müller, Sigrid. Arbitrage Pricing of Contingent Claims. Berlin, Heidelberg: Springer Berlin Heidelberg, 1985. http://dx.doi.org/10.1007/978-3-642-46560-4.

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Steil, Benn. Currency options and the optimal hedging of contingent foreign exchange exposure. Oxford: Nuffield College, 1992.

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Rosenberg, Joshua. Nonparametric pricing of multivariate contingent claims. [New York, N.Y.]: Federal Reserve Bank of New York, 2003.

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Philipson, Tomas J. Mortality contingent claims, health care, and social insurance. Cambridge, MA: National Bureau of Economic Research, 1996.

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Andersen, Leif B. G. Five essays on the pricing of contingent claims. Aarhus: Aarhus School of Business, 1996.

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Applications of contingent claims theory to microeconomic problems. Ames, Ia: Center for Agricultural and Rural Development, Iowa State University, 1995.

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Oakes, H. David. Numerical solutions for contingent claims: the alternating directionsimplicit method. Reading: University of Reading, Department of Economics, 1992.

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Oakes, H. David. Numerical solutions for contingent claims: The line hopscotch method. Reading: University of Reading, Department of Economics, 1992.

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Capítulos de libros sobre el tema "Hedging of contingent claims"

1

Leoni, Peter. "Hedging Contingent Claims". En The Greeks and Hedging Explained, 1–23. London: Palgrave Macmillan UK, 2014. http://dx.doi.org/10.1057/9781137350749_1.

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Benth, Fred Espen. "Pricing and Hedging of Contingent Claims". En Option Theory with Stochastic Analysis, 53–97. Berlin, Heidelberg: Springer Berlin Heidelberg, 2004. http://dx.doi.org/10.1007/978-3-642-18786-5_4.

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Kabanov, Yuri M. y Christophe Stricker. "Hedging of Contingent Claims under Transaction Costs". En Advances in Finance and Stochastics, 125–36. Berlin, Heidelberg: Springer Berlin Heidelberg, 2002. http://dx.doi.org/10.1007/978-3-662-04790-3_7.

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Benth, Fred Espen. "Numerical Pricing and Hedging of Contingent Claims". En Option Theory with Stochastic Analysis, 99–119. Berlin, Heidelberg: Springer Berlin Heidelberg, 2004. http://dx.doi.org/10.1007/978-3-642-18786-5_5.

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Cvitanić, Jakša y Ioannis Karatzas. "Contingent Claim Valuation and Hedging with Constrained Portfolios". En Mathematical Finance, 13–33. New York, NY: Springer New York, 1995. http://dx.doi.org/10.1007/978-1-4757-2435-6_2.

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Bielecki, Tomasz R., Monique Jeanblanc y Marek Rutkowski. "Hedging of Defaultable Claims". En Lecture Notes in Mathematics, 1–132. Berlin, Heidelberg: Springer Berlin Heidelberg, 2004. http://dx.doi.org/10.1007/978-3-540-44468-8_1.

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Nakano, Yumiharu. "Partial hedging for defaultable claims". En Advances in Mathematical Economics, 127–45. Tokyo: Springer Japan, 2011. http://dx.doi.org/10.1007/978-4-431-53883-7_6.

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Cooter, Robert. "Liability Rights as Contingent Claims". En The New Palgrave Dictionary of Economics and the Law, 1233–36. London: Palgrave Macmillan UK, 2002. http://dx.doi.org/10.1007/978-1-349-74173-1_233.

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Karatzas, Ioannis y Steven E. Shreve. "Contingent Claims in Incomplete Markets". En Methods of Mathematical Finance, 199–259. New York, NY: Springer New York, 1998. http://dx.doi.org/10.1007/978-1-4939-6845-9_5.

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Karatzas, Ioannis y Steven E. Shreve. "Contingent Claims in Incomplete Markets". En Methods of Mathematical Finance, 199–259. New York, NY: Springer New York, 1998. http://dx.doi.org/10.1007/978-0-387-22705-4_5.

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Actas de conferencias sobre el tema "Hedging of contingent claims"

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Yang, Jianqi y ShouJuan Zhao. "Quadratic Hedging for Special Contingent Claims". En 2011 3rd International Workshop on Intelligent Systems and Applications (ISA). IEEE, 2011. http://dx.doi.org/10.1109/isa.2011.5873317.

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Beumee, Johan G. B. "Hedging contingent claims on defaultable assets". En Disordered and complex systems. AIP, 2001. http://dx.doi.org/10.1063/1.1358195.

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Guo, Jian-hua y Qing-xian Xiao. "Risk-minimizing hedging for stochastic payment styled contingent claims". En EM2010). IEEE, 2010. http://dx.doi.org/10.1109/icieem.2010.5645943.

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Bhat, Sanjay, VijaySekhar Chellaboina, Anil Bhatia, Sandeep Prasad y M. Uday Kumar. "Discrete-time, minimum-variance hedging of European contingent claims". En 2009 Joint 48th IEEE Conference on Decision and Control (CDC) and 28th Chinese Control Conference (CCC). IEEE, 2009. http://dx.doi.org/10.1109/cdc.2009.5399522.

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Li, Guangqin. "Hedging of American Contingent Claims in an Imcomplete Market". En 2008 Fifth International Conference on Fuzzy Systems and Knowledge Discovery (FSKD). IEEE, 2008. http://dx.doi.org/10.1109/fskd.2008.555.

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Subramanian, Easwar y Sanjay P. Bhat. "Discrete-Time Quadratic-Optimal Hedging Strategies for European Contingent Claims". En 2015 IEEE Symposium Series on Computational Intelligence (SSCI). IEEE, 2015. http://dx.doi.org/10.1109/ssci.2015.249.

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Chellaboina, Vijaysekhar, Anil Bhatia y Sanjay P. Bhat. "Explicit formulas for optimal hedging stratergies for European contingent claims". En 2013 IEEE Conference on Computational Intelligence for Financial Engineering & Economics (CIFEr). IEEE, 2013. http://dx.doi.org/10.1109/cifer.2013.6611707.

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Subramanian, Easwar, Vijaysekhar Chellaboina y Arihant Jain. "Performance Evaluation of Discrete-Time Hedging Strategies for European Contingent Claims". En 2016 International Conference on Industrial Engineering, Management Science and Application (ICIMSA). IEEE, 2016. http://dx.doi.org/10.1109/icimsa.2016.7504026.

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Uday Kumar, M., Vijaysekhar Chellaboina, Sanjay Bhat, Sandeep Prasad y Anil Bhatia. "Discrete-time optimal hedging for multi-asset path-dependent European contingent claims". En 2009 Joint 48th IEEE Conference on Decision and Control (CDC) and 28th Chinese Control Conference (CCC). IEEE, 2009. http://dx.doi.org/10.1109/cdc.2009.5399932.

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Subramanian, Easwar y Vijaysekhar Chellaboina. "Explicit solutions of discrete-time quadratic optimal hedging strategies for European contingent claims". En 2014 IEEE Conference on Computational Intelligence for Financial Engineering & Economics (CIFEr). IEEE, 2014. http://dx.doi.org/10.1109/cifer.2014.6924108.

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Informes sobre el tema "Hedging of contingent claims"

1

Philipson, Tomas y Gary Becker. Mortality Contingent Claims, Health Care, and Social Insurance. Cambridge, MA: National Bureau of Economic Research, septiembre de 1996. http://dx.doi.org/10.3386/w5760.

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Lehmann, Bruce. Notes for a Contingent Claims Theory of Limit Order Markets. Cambridge, MA: National Bureau of Economic Research, agosto de 2005. http://dx.doi.org/10.3386/w11533.

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Mullin, Charles y Tomas Philipson. The Future of Old-Age Longevity: Competitive Pricing of Mortality Contingent Claims. Cambridge, MA: National Bureau of Economic Research, mayo de 1997. http://dx.doi.org/10.3386/w6042.

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Laverde, Mariana, Esteban Gómez-González y Miguel Ángel Morales-Mosquera. Measuring systemic risk in the Colombian financial system : a systemic contingent claims approach. Bogotá, Colombia: Banco de la República, septiembre de 2011. http://dx.doi.org/10.32468/tef.60.

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