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math.PR2014
Optimal discretization of hedging strategies with directional views
Jiatu Cai, Masaaki Fukasawa, Mathieu Rosenbaum +1
We consider the hedging error of a derivative due to discrete trading in the presence of a drift in the dynamics of the underlying asset. We suppose that the trader wishes to find…
math.PR2012
Testing the finiteness of the support of a distribution: a statistical look at Tsirelson's equation
Sylvain Delattre, Mathieu Rosenbaum
We consider the following statistical problem: based on an i.i.d.sample of size n of integer valued random variables with common law m, is it possible to test whether or not the su…