Search Results for author: George Bouzianis

Found 2 papers, 0 papers with code

Optimal Hedging in Incomplete Markets

no code implementations23 Jun 2020 George Bouzianis, Lane P. Hughston

We consider the problem of optimal hedging in an incomplete market with an established pricing kernel.

Lévy-Ito Models in Finance

no code implementations19 Jul 2019 George Bouzianis, Lane P. Hughston, Sebastian Jaimungal, Leandro Sánchez-Betancourt

We present an overview of the broad class of financial models in which the prices of assets are L\'evy-Ito processes driven by an $n$-dimensional Brownian motion and an independent Poisson random measure.

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