-
Transaction Costs in Financial Models
Standard models for financial markets are based on the simplifying assumption that trading orders can be given and executed in continuous time with no friction. This... -
Portfolio management under risk contraints - Lectures given at MITACS-PIMS-UB...
The aim of these lectures at MITACS-PIMS-UBC Summer School in Risk Man- agement and Risk Sharing is to discuss risk controlled approaches for the pricing and hedging... -
Approximate hedging with proportional transaction costs in stochastic volatil...
We extend the resutls for the problem of option replication under proportional transaction costs in \cite{Nguyen} to more general frameworks where stochastic...
