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q-fin.PR2013
Markov switching quadratic term structure models
Stéphane Goutte
In this paper, we consider a discrete time economy where we assume that the short term interest rate follows a quadratic term structure of a regime switching asset process. The pos…
q-fin.PR2013★ 1 cited
Variance optimal hedging for continuous time additive processes and applications
Stéphane Goutte, Nadia Oudjane, Francesco Russo
For a large class of vanilla contingent claims, we establish an explicit Föllmer-Schweizer decomposition when the underlying is an exponential of an additive process. This allows t…