Logo Lanfrica
  • Accueil
  • Atlas
  • Analyses
  • Documentation
  • Sign in

© 2026 Lanfrica. Tous droits réservés. Tous les droits d'auteur des ressources affichées sur le site Web Lanfrica appartiennent aux détenteurs de droits d'auteur d'origine, sauf indication contraire explicite.

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

Type de record:

paper
Créateur:
FliJoi
Hôte:avatar
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 existence of trends in financial time series, Proc. Int. Conf. Systems Theory: Modelling, Analysis and Control, Fes, 2009. Online: hal.inria.fr) in order to propose a model-free setting for delta hedging. It avoids most of the shortcomings encountered with the now classic Black-Scholes-Merton framework. Several convincing computer simulations are presented. Some of them are dealing with abrupt changes, i.e., jumps. 18th Mediterranean Conference on Control and Automation, Marrakech : Morocco (2010)

Visit

arxiv.org

Languages

Arabic, Moroccan Spoken

Tags

Pricing of SecuritiesOptimization and ControlPortfolio ManagementRisk Management

Similaires

A Model-Driven Optical Clinic Management Systems: Systematic Software Engineering ApproachTowards Mitigating Cyberfraud in the South African Financial Institutions: A Deep Learning ApproachTowards a unified tool for collaborative software engineering projectsEffect of Foreign Exchange Risk Hedging Techniques on Financial Performance of Listed Firms in KenyaDEVELOPING A VALUE ENGINEERING MODEL FOR A STATE-OWNED ENTERPRISERe-Engineering Financial Inclusiveness in the Kingdom of Eswatini using Machine Learning Engineering (MLe) Algorithms

A Model-Driven Optical Clinic Management Systems: Systematic Software Engineering Approach

INTRODUCTION: eHealth systems in a modern hospital and clinic require stringent measures to coordina

Towards Mitigating Cyberfraud in the South African Financial Institutions: A Deep Learning Approach

This study demonstrates the application of deep learning approach specifically the deep learning for

Towards a unified tool for collaborative software engineering projects

International audience The efficiency of software engineering processes is highly dep

Effect of Foreign Exchange Risk Hedging Techniques on Financial Performance of Listed Firms in Kenya

The adoption of floating foreign exchange rate regime in the 1990s and international trade have led

DEVELOPING A VALUE ENGINEERING MODEL FOR A STATE-OWNED ENTERPRISE

In this study, a value engineering model for state-owned enterprises was developed using a mixed-met

Re-Engineering Financial Inclusiveness in the Kingdom of Eswatini using Machine Learning Engineering (MLe) Algorithms

Re-Engineering Financial Inclusiveness in the Kingdom of Eswatini using Machine Learning Engineering (MLe) Algorithms

Poster presented at the Deep Learning Indaba 2022 by Boluwaji Akinnuwesi