Sampled control for mean-variance hedging in a jump diffusion financial market.

Oswaldo L. V. Costa Andre Cury Maiali Afonso de C. Pinto

Published in: CDC (2009)

Keyphrases

financial markets
portfolio selection
stock market
stock price
risk management
portfolio optimization
investment strategies
early warning
fractional brownian motion
artificial intelligence
black scholes
technical indicators
portfolio theory
long term
decision support system
option pricing