5 citations · 5 across the 4 of their papers we have counts for
3 papers · 1 filter
Asymptotic Optimal Tracking: Feedback Strategies
Jiatu Cai, Mathieu Rosenbaum, Peter Tankov
This is a companion paper to (Cai, Rosenbaum and Tankov, Asymptotic lower bounds for optimal tracking: a linear programming approach, arXiv:1510.04295). We consider a class of stra…
Asymptotic Lower Bounds for Optimal Tracking: a Linear Programming Approach
Jiatu Cai, Mathieu Rosenbaum, Peter Tankov
We consider the problem of tracking a target whose dynamics is modeled by a continuous Itō semi-martingale. The aim is to minimize both deviation from the target and tracking effor…
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…