Seminar Event Detail

Financial/Actuarial Mathematics

Date:  Thursday, October 15, 2015
Location:  1360 East Hall (3:00 PM to 4:00 PM)

Title:  Hedging Error as a Timing Risk and its Static Hedge

Abstract:   I will present a new framework of semi-static hedge of barrier options.
First, after reviewing the context, we will show that its hedging error can be understood
as a ``timing risk'', and secondly we claim that it can be hedged by an integration of semi-static hedges of different maturities. Third, I will introduce a hierarchy of semi-static positions, $n$-th one of which hedges the error by the $(n-1)$-th and so on. In a fairly general situations, the hierarchy is exact in that the hedging error vanishes.

Files: 3402_Akahori.pdf

Speaker:  Jiro Akahori
Institution:  Ritsumeikan University, Kusatsu, Japan

Event Organizer:   Sergey Nadtochiy


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