3 papers
q-fin.MF2020
Optimal Hedging in Incomplete Markets
George Bouzianis, Lane P. Hughston
We consider the problem of optimal hedging in an incomplete market with an established pricing kernel. In such a market, prices are uniquely determined, but perfect hedges are usua…
q-fin.MF2019
Lévy-Ito Models in Finance
George Bouzianis, Lane P. Hughston, Sebastian Jaimungal +1
We present an overview of the broad class of financial models in which the prices of assets are Lévy-Ito processes driven by an -dimensional Brownian motion and an independent P…
q-fin.MF2018
Determination of the Lévy Exponent in Asset Pricing Models
George Bouzianis, Lane Hughston
We consider the problem of determining the Lévy exponent in a Lévy model for asset prices given the price data of derivatives. The model, formulated under the real-world measure $\…