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math.PR2020
A Maxwell principle for generalized Orlicz balls
Samuel G. G. Johnston, Joscha Prochno
In [A dozen de {F}inetti-style results in search of a theory, Ann. Inst. H. Poincaré Probab. Statist. 23(2)(1987), 397--423], Diaconis and Freedman studied low-dimensional projecti…
q-fin.MF2020★ 2 cited
Stability and asymptotic analysis of the Föllmer-Schweizer decomposition on a finite probability space
Sarah Boese, Tracy Cui, Samuel Johnston +2
First, we consider the problem of hedging in complete binomial models. Using the discrete-time Föllmer-Schweizer decomposition, we demonstrate the equivalence of the backward induc…