A Guaranteed Deterministic Approach to Superhedging: a Game Equilibrium in the Case of no Trading Constraints

Author:

Smirnov S. N.

Publisher

Springer Science and Business Media LLC

Subject

Applied Mathematics,General Mathematics,Statistics and Probability

Reference17 articles.

1. S.N. Smirnov, “A guaranteed deterministic approach to superhedging: financial market model, trading constraints and Bellman–Isaacs equations,” Mat. Teor. Igr. Priloz., 10, No. 4, 59–99 (2018).

2. S. N. Smirnov, “A guaranteed deterministic approach to superhedging: no arbitrage properties of the market,” Mat. Teor. Igr. Priloz., 11, No. 2, 68–95 (2019).

3. P. Bernhard, J.C. Engwerda, B. Roorda, J. Schumacher, V. Kolokoltsov, P. Saint-Pierre, and J.-P. Aubin, The Interval Market Model in Mathematical Finance: Game-Theoretic Methods, Springer, New York (2013).

4. S. N. Smirnov, A. V. Zakharov, I.V. Polomatidi, and A.N. Balabushkin, A method of electronic exchange trading of derivative financial instruments, methods of calculating margin requirements, methods of default management, Patent #2226714 (2004).

5. N. A. Andreev and S.N. Smirnov, “Guaranteed approach in investment and hedging,” in: “Tikhonovskie chteniya”: Scientistic Conference Proceedings, MAKS Press, Moscow (2018), pp. 11.

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