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Theses

Couverture quadratique en marché incomplet pour des processus à accroissements indépendants et applications au marché de l'électricté.

Abstract : For a large class of vanilla contingent claims, we establish an explicit Föllmer-Schweizer decomposition when the underlying is a process with independent increments (PII) and an exponential of a PII process. This allows to provide an efficient algorithm for solving the mean variance hedging problem. Applications to models derived from the electricity market are performed.
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https://tel.archives-ouvertes.fr/tel-00526383
Contributor : Stéphane Goutte <>
Submitted on : Thursday, October 14, 2010 - 2:28:49 PM
Last modification on : Tuesday, October 20, 2020 - 3:56:14 PM
Long-term archiving on: : Saturday, January 15, 2011 - 2:47:37 AM

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  • HAL Id : tel-00526383, version 1

Citation

Stéphane Goutte. Couverture quadratique en marché incomplet pour des processus à accroissements indépendants et applications au marché de l'électricté.. Mathématiques [math]. Université Paris-Nord - Paris XIII; Libera Università INTERNAZIONALE DEGLI STUDI SOCIALI G. CARLI, 2010. Français. ⟨tel-00526383⟩

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