Essays about: "Georgy Mironenko"

Found 1 essay containing the words Georgy Mironenko.

  1. 1. Problem of hedging of a portfolio with a unique rebalancing moment

    University essay from Tillämpad matematik och fysik (MPE-lab)

    Author : Georgy Mironenko; [2012]
    Keywords : Financial Mathematics; optimal stopping problem; mean-square criterion; hedging; optimal portfolio rebalansing;

    Abstract : The paper deals with the problem of finding an optimal one-time rebalancing strategy for the Bachelier model, and makes some remarks for the similar problem within Black-Scholes model. The problem is studied on finite time interval under mean-square criterion of optimality. READ MORE