Delta Hedging in Financial Engineering: Towards a Model-Free Approach

Conference object, Preprint English OPEN
Fliess, Michel; Join, Cédric;
(2010)
  • Publisher: IEEE
  • Subject: [ QFIN.PM ] Quantitative Finance [q-fin]/Portfolio Management [q-fin.PM] | [ INFO.INFO-AU ] Computer Science [cs]/Automatic Control Engineering | jumps | Financial engineering | [ QFIN.CP ] Quantitative Finance [q-fin]/Computational Finance [q-fin.CP] | [INFO.INFO-CE]Computer Science [cs]/Computational Engineering, Finance, and Science [cs.CE] | model-free control | [INFO.INFO-AU]Computer Science [cs]/Automatic Control Engineering | delta hedging | dynamic hedging | [ MATH.MATH-OC ] Mathematics [math]/Optimization and Control [math.OC] | [ QFIN.RM ] Quantitative Finance [q-fin]/Risk Management [q-fin.RM] | Financial engineering,delta hedging,dynamic hedging,trends,quick fluctuations,abrupt changes,jumps,tracking control,model-free control | [QFIN.RM]Quantitative Finance [q-fin]/Risk Management [q-fin.RM] | [QFIN.PM]Quantitative Finance [q-fin]/Portfolio Management [q-fin.PM] | [MATH.MATH-OC]Mathematics [math]/Optimization and Control [math.OC] | trends | abrupt changes | Quantitative Finance - Pricing of Securities | quick fluctuations | [QFIN.CP]Quantitative Finance [q-fin]/Computational Finance [q-fin.CP] | [ INFO.INFO-CE ] Computer Science [cs]/Computational Engineering, Finance, and Science [cs.CE] | tracking control | Mathematics - Optimization and Control | Quantitative Finance - Portfolio Management | Quantitative Finance - Risk Management

International audience; Delta hedging, which plays a crucial rôle in modern financial engineering, is a tracking control design for a "risk-free" management. We utilize the existence of trends in financial time series (Fliess M., Join C.: A mathematical proof of the exi... View more
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