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SIAMFM
2011
75views more  SIAMFM 2011»
12 years 10 months ago
Dynamic Hedging of Portfolio Credit Derivatives
As shown by the recent turmoil in credit markets, much remains to be done for the proper risk management of credit derivatives. In particular, the static copula-based models commo...
Rama Cont, Yu Hang Kan
SIGECOM
2011
ACM
249views ECommerce» more  SIGECOM 2011»
12 years 10 months ago
Leading dynamics to good behavior
: Many natural games can have a dramatic difference between the quality of their best and worst Nash equilibria, even in pure strategies. Yet, nearly all work to date on dynamics s...
Maria-Florina Balcan
ICASSP
2008
IEEE
14 years 2 months ago
Universal switching portfolios under transaction costs
In this paper, we consider online (sequential) portfolio selection in a competitive algorithm framework under transaction costs. We construct a sequential algorithm for portfolio ...
Suleyman Serdar Kozat, Andrew C. Singer
ISIPTA
2003
IEEE
14 years 29 days ago
Subjective Probability and Lower and Upper Prevision: A New Understanding
This article introduces a new way of understanding subjective probability and its generalization to lower and upper prevision. Instead of asking whether a person is willing to pay...
Glenn Shafer, Peter R. Gillett, Richard B. Scherl
FS
2006
135views more  FS 2006»
13 years 7 months ago
Asymmetric Information in Fads Models
Fads models were introduced by Shiller (1984) and Summers (1986) as plausible alternatives to the efficient markets/constant expected returns assumptions. Under these models, loga...
Paolo Guasoni