Lévy-Ito Models in Finance

no code implementations • 19 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.

Optimal Hedging in Incomplete Markets

no code implementations • 23 Jun 2020 • George Bouzianis, Lane P. Hughston

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

Position

Information-Based Trading

no code implementations • 21 Jan 2022 • George Bouzianis, Lane P. Hughston, Leandro Sánchez-Betancourt

We consider a pair of traders in a market where the information available to the second trader is a strict subset of the information available to the first trader.