79 citations · 131 across the 21 of their papers we have counts for
Showing q-fin.PRShow all
2 papers · 1 filter
q-fin.PR2013★ 1 cited
A general Multidimensional Monte Carlo Approach for Dynamic Hedging under stochastic volatility
Dorival Leão, Alberto Ohashi, Vinicius Siqueira
In this work, we introduce a Monte Carlo method for the dynamic hedging of general European-type contingent claims in a multidimensional Brownian arbitrage-free market. Based on bo…
q-fin.PR2008★ 21 cited
Fractional term structure models: No-arbitrage and consistency
Alberto Ohashi
In this work we introduce Heath-Jarrow-Morton (HJM) interest rate models driven by fractional Brownian motions. By using support arguments we prove that the resulting model is arbi…