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math.PR2019
Filtration shrinkage, the structure of deflators, and failure of market completeness
Constantinos Kardaras, Johannes Ruf
We analyse the structure of local martingale deflators projected on smaller filtrations. In a general continuous-path setting, we show that the local martingale part in the multipl…
q-fin.CP2019
Neural networks for option pricing and hedging: a literature review
Johannes Ruf, Weiguan Wang
Neural networks have been used as a nonparametric method for option pricing and hedging since the early 1990s. Far over a hundred papers have been published on this topic. This not…
q-fin.PM2019
The impact of proportional transaction costs on systematically generated portfolios
Johannes Ruf, Kangjianan Xie
The effect of proportional transaction costs on systematically generated portfolios is studied empirically. The performance of several portfolios (the index tracking portfolio, the…