Zobrazeno 1 - 9
of 9
pro vyhledávání: '"Tommaso Gabbriellini"'
Publikováno v:
International Journal of Robust and Nonlinear Control. 29:5058-5077
Summary This paper proposes stochastic model predictive control as a tool for hedging derivative contracts (such as plain vanilla and exotic options) in the presence of transaction costs. The methodology combines stochastic scenario generation for th
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::a5075e19c9f58fa572b7efcdf1bd2b79
https://doi.org/10.1002/rnc.3915
https://doi.org/10.1002/rnc.3915
Publikováno v:
Quantitative Finance. 14:1739-1751
Derivative contracts require the replication of the product by means of a dynamic portfolio composed of simpler, more liquid securities. For a broad class of options encountered in financial engineering we propose a solution to the problem of finding
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::0ff93ec082ab24017d6d98bf60a93183
https://doi.org/10.1080/14697688.2011.649780
https://doi.org/10.1080/14697688.2011.649780
The study of fluctuations of particle multiplicities in relativistic heavy-ion reactions has drawn much attention in recent years, because they have been proposed as a probe for underlying dynamics and possible formation of quark-gluon plasma. Thus,
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::3c5fbb455e0d856b46bebffd2098aa76
http://www.openaccessrepository.it/record/16093
http://www.openaccessrepository.it/record/16093
Publikováno v:
Journal of Physics: Conference Series. 27:164-173
In this paper, we address multiplicity fluctuations of the ideal hadron-resonance gas in different ensembles: grand-canonical, canonical and microcanonical. Two different calculation methods are used: asymptotic expansions and full Monte Carlo simula
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::0cf80635de039986b98b6a1be91fd8c8
https://doi.org/10.1088/1742-6596/27/1/018
https://doi.org/10.1088/1742-6596/27/1/018
Publikováno v:
Proceedings of the 2011 American Control Conference.
This paper proposes a stochastic model predictive control (SMPC) approach to hedging derivative contracts (such as plain vanilla and exotic options) in the presence of transaction costs. The methodology is based on the minimization of a stochastic me
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::2272abbc1ff5c24aa3be68346664a6c3
https://doi.org/10.1109/acc.2011.5991205
https://doi.org/10.1109/acc.2011.5991205
Publikováno v:
International Journal of Robust & Nonlinear Control; 10/1/2019, Vol. 29 Issue 15, p5058-5077, 20p
Autor:
Bemporad, Alberto1 (AUTHOR) alberto.bemporad@imtlucca.it, Bellucci, Leonardo2 (AUTHOR), Gabbriellini, Tommaso2 (AUTHOR)
Publikováno v:
Quantitative Finance. Oct2014, Vol. 14 Issue 10, p1739-1751. 13p.
Autor:
da Fonseca, José1 (AUTHOR) jose.dafonseca@aut.ac.nz, Grasselli, Martino2,3 (AUTHOR)
Publikováno v:
Quantitative Finance. Nov2011, Vol. 11 Issue 11, p1609-1632. 24p. 10 Charts, 5 Graphs.
Publikováno v:
Journal of Physics: Conference Series; 2005, Vol. 27 Issue 1, p1-1, 1p