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Title of Journal: Acta Appl Math

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Abbravation: Acta Applicandae Mathematicae

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Springer Netherlands

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DOI

10.1007/s40278-014-8243-3

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1572-9036

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A Partially Observed UltraHighFrequency Data Mod

Authors: P Tardelli
Publish Date: 2007/10/12
Volume: 99, Issue: 2, Pages: 205-220
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Abstract

An ultrahighfrequency data model on financial asset price movements is considered This model allows us to relate the changes in price volatility and trading activity to news or information arrivals The underlying event arrivals process is assumed to be unobserved by the market agents Then the study of the riskminimizing hedgingstrategies for derivatives under partial information bring us to a nonlinear filtering problem Taking into account the weak form of market efficiency under some Markovianity assumptions classical filtering techniques are used to evaluate the riskminimizing hedgingstrategies

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Other Papers In This Journal:
  1. Virasoro Action on Pseudo-Differential Symbols and (Noncommutative) Supersymmetric Peakon Type Integrable Systems
  2. Positive Solutions for Singular BVPs with Sign Changing and Derivative Depending Nonlinearity on the Positive Half-Line
  3. Analysis of a Polynomial System Arising in the Design of an Optical Lattice Filter Useful in Channelization
  4. On L 1 Bounds for Asymptotic Normality of Some Weakly Dependent Random Variables
  5. Weighted Logarithmic Sobolev Inequalities for Sub-Gaussian Measures
  6. Noncommutative Dynamical Models with Quantum Symmetries
  7. A BGK Model for Gas Mixtures
  8. Marshall and Olkin’s Distributions
  9. An Initial-Boundary Value Problem for the Korteweg–de Vries Equation with Dominant Surface Tension
  10. Variational Approach to the Inviscid Compressible Fluid
  11. The Numerical Asymptotically Stability of a Linear Differential Equation with Piecewise Constant Arguments of Mixed Type
  12. On a Time-Dependent Fluid-Solid Coupling in 3D with Nonstandard Boundary Conditions
  13. Application of He’s Variational Iteration Method for Solving Nonlinear BBMB Equations and Free Vibration of Systems
  14. Estimate on the Dimension of Global Attractor for Nonlinear Dissipative Kirchhoff Equation
  15. Zero Dynamics and Stabilization for Analytic Linear Systems
  16. Multiplicative Property of the Digital Fundamental Group
  17. Finite Velocity of the Propagation of Perturbations for a Class of Non-Newtonian Fluids
  18. Existence Results for Semilinear Neutral Functional Differential Inclusions via Analytic Semigroups
  19. On q -Gaussian Integrable Hamiltonian Reductions in Anisentropic Magneto-gasdynamics
  20. A Geometric Approach to Trajectory Design for an Autonomous Underwater Vehicle: Surveying the Bulbous Bow of a Ship
  21. Quantitative Convergence Towards a Self-Similar Profile in an Age-Structured Renewal Equation for Subdiffusion
  22. Symmetries, Lagrangian and Conservation Laws for the Maxwell Equations
  23. Duals of Frame Sequences
  24. Critical Points of the Optimal Quantum Control Landscape: A Propagator Approach
  25. On the Reverse Wiener Indices of Unicyclic Graphs
  26. Infinitely Many Local Higher Symmetries without Recursion Operator or Master Symmetry: Integrability of the Foursov–Burgers System Revisited
  27. Homogenization of Nonlinear Degenerate Non-monotone Elliptic Operators in Domains Perforated with Tiny Holes
  28. Qualitative Analysis of a Predator-Prey Model with Predator Saturation and Competition
  29. On the Classification of N -Points Concentrating Solutions for Mean Field Equations and the Symmetry Properties of the N -Vortex Singular Hamiltonian on the Unit Disk
  30. Instability in Porous Layers with Depth-Dependent Viscosity and Permeability
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