2 papers
math.ST2025
Insights into Tail-Based and Order Statistics
Hamidreza Maleki Almani
Heavy-tailed phenomena appear across diverse domains --from wealth and firm sizes in economics to network traffic, biological systems, and physical processes-- characterized by the…
q-fin.MF2024
Hedging in Jump Diffusion Model with Transaction Costs
Hamidreza Maleki Almani, Foad Shokrollahi, Tommi Sottinen
We consider the jump-diffusion risky asset model and study its conditional prediction laws. Next, we explain the conditional least square hedging strategy and calculate its closed…