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Hedging Errors Induced by Discrete Trading Under an Adaptive Trading Strategy
Hedging Errors Induced Discrete Trading Adaptive Trading Strategy
2010/10/20
Discrete time hedging in a complete diffusion market is considered. The hedge portfolio is rebalanced when the absolute difference between delta of the hedge portfolio and the derivative contract reac...
Hedging Errors Induced by Discrete Trading Under an Adaptive Trading Strategy
Hedging Errors Adaptive Trading Strategy Discrete Trading
2010/4/28
Discrete time hedging in a complete diffusion market is considered. The hedge portfolio is rebalanced when the absolute difference between delta of the hedge portfolio and the derivative contract reac...
An Obdurate Trading Strategy Perspective on the Forward Premium Anomaly
Currency trading strategies uncovered interest parity forward premium anomaly
2010/9/7
Many FX traders appear to be involved in strategies that explicity assume that the violations of uncovered interest rate parity will continue over their investment horizon. Models that try to explain ...