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This paper examines the problem of delta-hedging portfolios of options under transactions costs by maximising expected utility (or minimising a loss function on the replication error). We extend the work of Hodges and Neuberger (1989) to study the optimal strategy under a general cost function with fixed and proportional costs. A computational procedure for(More)
A mathematical model was developed and used to simulate the long-term dynamics of growth and plasmid transfer in nutrient-limited soil microcosms of Streptomyces lividans TK24 carrying chromosomal resistance to streptomycin, S. lividans 1326; and S. violaceolatus ISP5438. Donor, recipient, and transconjugant survival was modelled by an extension to the(More)
The aim of this work is to develop a simulation approach to the yield curve evolution in the Heath, Jarrow & Morton (1992) framework. The stochastic quantities considered as affecting the forward rate volatility function are the spot rate and the forward rate. A decomposition of the volatility function into a Hull & White (1990) volatility and a remainder(More)
For many interest rate exotic options, for example options on the slope of the yield curve or American featured options, a one factor assumption for term structure evolution is inappropriate. These options derive their value from changes in the slope or curvature of the yield curve and hence are more realistically priced with multiple factor models.(More)
The stochastic or random nature of commodity prices plays a central role in models for valuing financial contingent claims on commodities. In this paper, by enhancing a multi factor framework which is consistent not only with the market observable forward price curve but also the volatilities and correlations of forward prices, we propose a two factor(More)
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