Maximizing the probability of a perfect hedge
The Annals of Applied Probability, 1999 Duality approach is used to solve the problem of maximizing the probability of a perfect hedge on a complete market when starting with a given initial capital. The applied method allows to modify and extend the result, e.g. to a market model with a partial information and to the wealth process with a concave drift, which covers then interesting cases ...
Spivak, Gennady, Cvitanić, Jakša
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Option Pricing with Given Risk Constraints and Its Application to Life Insurance Contracts
AppliedMathThis paper presents a method for hedging in markets of two-factor diffusion and jump diffusion models under the restriction of a specified probability of success. In addition, a method for hedging with a given shortfall amount is developed.
Betty Guo, Alexander Melnikov
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Mathematical methods in the problem of an exotic European call option quantile hedging
Известия Томского политехнического университета: Инжиниринг георесурсов, 2019 The urgency of the discussed issue is caused by the need to provide mathematical tools allowing financial market agent to analyze and to forecast the economic processes. At the present time derivatives, including options, demonstrate a success of options
Elena Danilyuk, Svetlana Rozhkova
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Non-Uniqueness of Best-Of Option Prices Under Basket Calibration
RisksThis paper demonstrates that perfectly calibrating a multi-asset model to observed market prices of all basket call options is insufficient to uniquely determine the price of a best-of call option.
Mohammed Ahnouch +2 more
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Internal cues for optimizing reproduction in a varying environment. [PDF]
Proc Biol Sci, 2023 Law L, Xue B.
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On the Hedging of Interest Rate Margins on Bank Demand Deposits. [PDF]
Comput Econ, 2022 Cherrat H, Prigent JL.
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Bet-hedging via Kelly betting in a limited environment leads to logistic growth in the Game of Fitness. [PDF]
Sci RepGulec F +3 more
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Perfect adaptation in eukaryotic gradient sensing using cooperative allosteric binding. [PDF]
Phys Rev ESrinivasan V, Wang W, Camley BA.
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Eliciting health beliefs: Difficulties and solutions. [PDF]
PLoS OneGao XS, Rong R.
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Engineering framework for curiosity-driven and humble AI in clinical decision support. [PDF]
BMJ Health Care InformArslan J +17 more
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