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Splitting the conservation process into creation and annihilation parts

100%

Privault N.

Banach Center Publications

1998

tom 43

nr 1

341-348

The aim of this paper is the study of a non-commutative decomposition of the conservation process in quantum stochastic calculus. The probabilistic interpretation of this decomposition uses time changes, in contrast to the spatial shifts used in the interpretation of the creation and annihilation operators on Fock space.

Hedging in complete markets driven by normal martingales

63%

El-Khatib Y., Privault N.

Applicationes Mathematicae

2003

tom 30

nr 2

147-172

This paper aims at a unified treatment of hedging in market models driven by martingales with deterministic bracket $⟨M,M⟩_t$, including Brownian motion and the Poisson process as particular cases. Replicating hedging strategies for European, Asian and Lookback options are explicitly computed using either the Clark-Ocone formula or an extension of the delta hedging method, depending on which is most appropriate.

Ograniczanie wyników

1 Applicationes Mathematicae

1 Banach Center Publications

2 Privault N.

1 El-Khatib Y.

1 2003

1 1998

Wyniki wyszukiwania

Splitting the conservation process into creation and annihilation parts

Hedging in complete markets driven by normal martingales