Výsledky vyhledávání - "Soner, Halil"

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Second order stochastic target problems with generalized market impact

Autor: Bouchard, Bruno, Loeper, Grégoire, Soner, Halil Mete, Zhou, Chao

We extend the study of [7, 18] to stochastic target problems with general market impacts. Namely, we consider a general abstract model which can be associated to a fully nonlinear parabolic equation. Unlike [7, 18], the equation is not concave and th

Externí odkaz: http://arxiv.org/abs/1806.08533

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Conditional Davis Pricing

Autor: Larsen, Kasper, Soner, Halil Mete, Žitković, Gordan

We study the set of marginal utility-based prices of a financial derivative in the case where the investor has a non-replicable random endowment. We provide an example showing that even in the simplest of settings - such as Samuelson's geometric Brow

Externí odkaz: http://arxiv.org/abs/1702.02087

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Akademický článek

Deep empirical risk minimization in finance: Looking into the future.

Autor: Reppen, Anders Max¹ (AUTHOR), Soner, Halil Mete² (AUTHOR) hmsoner@ethz.ch

Publikováno v: Mathematical Finance. Jan2023, Vol. 33 Issue 1, p116-145. 30p.

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Duality and Convergence for Binomial Markets with Friction

Autor: Dolinsky, Yan, Soner, Halil Mete

We prove limit theorems for the super-replication cost of European options in a Binomial model with friction. The examples covered are markets with proportional transaction costs and the illiquid markets. The dual representation for the super-replica

Externí odkaz: http://arxiv.org/abs/1106.2095

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