Seminar series
Date
Fri, 25 Nov 2011
14:15
14:15
Location
DH 1st floor SR
Speaker
Mathieu Rosenbaum
Organisation
University Paris 6
In this work, we consider the hedging error due to discrete trading in models with jumps. We propose a framework enabling to
(asymptotically) optimize the discretization times. More precisely, a strategy is said to be optimal if for a given cost function, no strategy has
(asymptotically) a lower mean square error for a smaller cost. We focus on strategies based on hitting times and give explicit expressions for
the optimal strategies. This is joint work with Peter Tankov.