2 papers
q-fin.MF2020
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…
math.DG2018
H-type foliations
Fabrice Baudoin, Erlend Grong, Gianmarco Vega-Molino +1
With a view toward sub-Riemannian geometry, we introduce and study H-type foliations. These structures are natural generalizations of K-contact geometries which encompass as specia…