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1. 1. Asymptotic Analysis of Hedging Errors Induced by Discrete Time Hedging

   Författare :Mats Brodén; Matematisk statistik; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Discrete time hedging; discretization error; L2 convergence; Non-linear Kalman filters; Calibration;

   Sammanfattning : The first part of this thesis deals with approximations of stochastic integrals and discrete time hedging of derivative contracts; two closely related subjects. Paper A considers the problem of approximating the value of a Wiener process. LÄS MER

3. 2. On the convergence of discrete time hedging schemes

   Författare :Mats Brodén; Matematisk statistik; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES;

   Sammanfattning : In the first part of this thesis discrete time hedging is considered. In paper A an adaptive hedging scheme where the hedge portfolio is re-balanced when the hedge ratios differ by some amount, here denoted eta, is investigated. An expression of the normalized expected mean squared hedging error as eta tends to zero is derived. LÄS MER