Delta hedging in financial engineering: Towards a model-free approach

@article{Fliess2010DeltaHI,
  title={Delta hedging in financial engineering: Towards a model-free approach},
  author={Michel Fliess and C{\'e}dric Join},
  journal={18th Mediterranean Conference on Control and Automation, MED'10},
  year={2010},
  pages={1429-1434}
}
Delta hedging, which plays a crucial rôle in modern financial engineering, is a tracking control design for a “risk-free” management. We utilize the existence of trends in financial time series (Fliess M., Join C.: A mathematical proof of the existence of trends in financial time series, Proc. Int. Conf. Systems Theory: Modelling, Analysis and Control, Fes… CONTINUE READING