Výsledky vyhledávání - "Isaque Pimentel"

Option valuation and hedging using an asymmetric risk function: asymptotic optimality through fully nonlinear partial differential equations

Autor: Emmanuel Gobet, Isaque Pimentel, Xavier Warin

Publikováno v: Finance and Stochastics. 24:633-675

Discrete-time hedging produces a residual P&L, namely the tracking error. The major problem is to get valuation/hedging policies minimising this error. We evaluate the risk between trading dates through a function penalising profits and losses asymme

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::68a13033ddaa1860c15ef7a4400277ff
https://doi.org/10.1007/s00780-020-00428-1

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A Class of Finite-Dimensional Numerically Solvable McKean-Vlasov Control Problems

Autor: Huyên Pham, Isaque Pimentel, Alessandro Balata, Mathieu Laurière, Côme Huré

Publikováno v: ESAIM: Proceedings and Surveys, Vol 65, Pp 114-144 (2019)

We address a class of McKean-Vlasov (MKV) control problems with common noise, called polynomial conditional MKV, and extending the known class of linear quadratic stochastic MKV control problems. We show how this polynomial class can be reduced by su

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::6ff2f2f4d5dfb57ee4ad9513b6f9cd53
https://hal.archives-ouvertes.fr/hal-01718751

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