{"id":"https://openalex.org/W1650671799","doi":"https://doi.org/10.1137/151004306","title":"Optimal Discretization of Hedging Strategies with Directional Views","display_name":"Optimal Discretization of Hedging Strategies with Directional Views","publication_year":2016,"publication_date":"2016-01-01","ids":{"openalex":"https://openalex.org/W1650671799","doi":"https://doi.org/10.1137/151004306","mag":"1650671799"},"language":"en","primary_location":{"id":"doi:10.1137/151004306","is_oa":false,"landing_page_url":"https://doi.org/10.1137/151004306","pdf_url":null,"source":{"id":"https://openalex.org/S75627377","display_name":"SIAM Journal on Financial Mathematics","issn_l":"1945-497X","issn":["1945-497X"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Financial Mathematics","raw_type":"journal-article"},"type":"article","indexed_in":["arxiv","crossref"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://arxiv.org/pdf/1407.4570","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5015126484","display_name":"Jiatu Cai","orcid":null},"institutions":[{"id":"https://openalex.org/I4210147464","display_name":"Laboratoire de Probabilit\u00e9s et Mod\u00e8les Al\u00e9atoires","ror":"https://ror.org/04hjc7403","country_code":"FR","type":"facility","lineage":["https://openalex.org/I1294671590","https://openalex.org/I204730241","https://openalex.org/I39804081","https://openalex.org/I4210141950","https://openalex.org/I4210147464"]}],"countries":["FR"],"is_corresponding":false,"raw_author_name":"Jiatu Cai","raw_affiliation_strings":["Laboratoire de Probabilit\u00e9s et Mod\u00e8les Al\u00e9atoires"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Laboratoire de Probabilit\u00e9s et Mod\u00e8les Al\u00e9atoires","institution_ids":["https://openalex.org/I4210147464"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5006305714","display_name":"Masaaki Fukasawa","orcid":"https://orcid.org/0000-0002-0848-5001"},"institutions":[{"id":"https://openalex.org/I98285908","display_name":"The University of Osaka","ror":"https://ror.org/035t8zc32","country_code":"JP","type":"education","lineage":["https://openalex.org/I98285908"]}],"countries":["JP"],"is_corresponding":false,"raw_author_name":"Masaaki Fukasawa","raw_affiliation_strings":["[Osaka Univ., Osaka]"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"[Osaka Univ., Osaka]","institution_ids":["https://openalex.org/I98285908"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5104884518","display_name":"Mathieu Rosenbaum","orcid":null},"institutions":[{"id":"https://openalex.org/I4210147464","display_name":"Laboratoire de Probabilit\u00e9s et Mod\u00e8les Al\u00e9atoires","ror":"https://ror.org/04hjc7403","country_code":"FR","type":"facility","lineage":["https://openalex.org/I1294671590","https://openalex.org/I204730241","https://openalex.org/I39804081","https://openalex.org/I4210141950","https://openalex.org/I4210147464"]}],"countries":["FR"],"is_corresponding":false,"raw_author_name":"Mathieu Rosenbaum","raw_affiliation_strings":["Laboratoire de Probabilit\u00e9s et Mod\u00e8les Al\u00e9atoires"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Laboratoire de Probabilit\u00e9s et Mod\u00e8les Al\u00e9atoires","institution_ids":["https://openalex.org/I4210147464"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5052828075","display_name":"Peter Tankov","orcid":"https://orcid.org/0000-0003-4882-9806"},"institutions":[{"id":"https://openalex.org/I4210147464","display_name":"Laboratoire de Probabilit\u00e9s et Mod\u00e8les Al\u00e9atoires","ror":"https://ror.org/04hjc7403","country_code":"FR","type":"facility","lineage":["https://openalex.org/I1294671590","https://openalex.org/I204730241","https://openalex.org/I39804081","https://openalex.org/I4210141950","https://openalex.org/I4210147464"]}],"countries":["FR"],"is_corresponding":false,"raw_author_name":"Peter Tankov","raw_affiliation_strings":["Laboratoire de Probabilit\u00e9s et Mod\u00e8les Al\u00e9atoires"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Laboratoire de Probabilit\u00e9s et Mod\u00e8les Al\u00e9atoires","institution_ids":["https://openalex.org/I4210147464"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":2,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":0.0,"has_fulltext":false,"cited_by_count":6,"citation_normalized_percentile":{"value":0.01207995,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":97},"biblio":{"volume":"7","issue":"1","first_page":"34","last_page":"69"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9994000196456909,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9994000196456909,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9876999855041504,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9796000123023987,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/discretization","display_name":"Discretization","score":0.7352175712585449},{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.5871614813804626},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.5580998063087463},{"id":"https://openalex.org/keywords/quadratic-equation","display_name":"Quadratic equation","score":0.5577707290649414},{"id":"https://openalex.org/keywords/optimal-control","display_name":"Optimal control","score":0.5311224460601807},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.5007534027099609},{"id":"https://openalex.org/keywords/order","display_name":"Order (exchange)","score":0.48855671286582947},{"id":"https://openalex.org/keywords/derivative","display_name":"Derivative (finance)","score":0.48206716775894165},{"id":"https://openalex.org/keywords/asset","display_name":"Asset (computer security)","score":0.4441731870174408},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.42520755529403687},{"id":"https://openalex.org/keywords/mathematical-economics","display_name":"Mathematical economics","score":0.33193641901016235},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.32817381620407104},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.22998332977294922},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.17093220353126526}],"concepts":[{"id":"https://openalex.org/C73000952","wikidata":"https://www.wikidata.org/wiki/Q17007827","display_name":"Discretization","level":2,"score":0.7352175712585449},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.5871614813804626},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.5580998063087463},{"id":"https://openalex.org/C129844170","wikidata":"https://www.wikidata.org/wiki/Q41299","display_name":"Quadratic equation","level":2,"score":0.5577707290649414},{"id":"https://openalex.org/C91575142","wikidata":"https://www.wikidata.org/wiki/Q1971426","display_name":"Optimal control","level":2,"score":0.5311224460601807},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.5007534027099609},{"id":"https://openalex.org/C182306322","wikidata":"https://www.wikidata.org/wiki/Q1779371","display_name":"Order (exchange)","level":2,"score":0.48855671286582947},{"id":"https://openalex.org/C111771559","wikidata":"https://www.wikidata.org/wiki/Q66295","display_name":"Derivative (finance)","level":2,"score":0.48206716775894165},{"id":"https://openalex.org/C76178495","wikidata":"https://www.wikidata.org/wiki/Q4808784","display_name":"Asset (computer security)","level":2,"score":0.4441731870174408},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.42520755529403687},{"id":"https://openalex.org/C144237770","wikidata":"https://www.wikidata.org/wiki/Q747534","display_name":"Mathematical economics","level":1,"score":0.33193641901016235},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.32817381620407104},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.22998332977294922},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.17093220353126526},{"id":"https://openalex.org/C2524010","wikidata":"https://www.wikidata.org/wiki/Q8087","display_name":"Geometry","level":1,"score":0.0},{"id":"https://openalex.org/C38652104","wikidata":"https://www.wikidata.org/wiki/Q3510521","display_name":"Computer security","level":1,"score":0.0},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1137/151004306","is_oa":false,"landing_page_url":"https://doi.org/10.1137/151004306","pdf_url":null,"source":{"id":"https://openalex.org/S75627377","display_name":"SIAM Journal on Financial Mathematics","issn_l":"1945-497X","issn":["1945-497X"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Financial Mathematics","raw_type":"journal-article"},{"id":"pmh:oai:arXiv.org:1407.4570","is_oa":true,"landing_page_url":"http://arxiv.org/abs/1407.4570","pdf_url":"https://arxiv.org/pdf/1407.4570","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":"2331-8422","issn":["2331-8422"],"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"text"}],"best_oa_location":{"id":"pmh:oai:arXiv.org:1407.4570","is_oa":true,"landing_page_url":"http://arxiv.org/abs/1407.4570","pdf_url":"https://arxiv.org/pdf/1407.4570","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":"2331-8422","issn":["2331-8422"],"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"text"},"sustainable_development_goals":[{"display_name":"Partnerships for the goals","id":"https://metadata.un.org/sdg/17","score":0.4300000071525574}],"awards":[{"id":"https://openalex.org/G2346450391","display_name":null,"funder_award_id":"14.A12.31.0007","funder_id":"https://openalex.org/F4320321912","funder_display_name":"Ministry of Education and Science of the Russian Federation"},{"id":"https://openalex.org/G8282548285","display_name":"Asymptotic distribution theory for mathematical finance","funder_award_id":"24684006","funder_id":"https://openalex.org/F4320334764","funder_display_name":"Japan Society for the Promotion of Science"}],"funders":[{"id":"https://openalex.org/F4320321912","display_name":"Ministry of Education and Science of the Russian Federation","ror":"https://ror.org/00ghqgy32"},{"id":"https://openalex.org/F4320334764","display_name":"Japan Society for the Promotion of Science","ror":"https://ror.org/00hhkn466"}],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":28,"referenced_works":["https://openalex.org/W141527044","https://openalex.org/W1545370368","https://openalex.org/W1965476188","https://openalex.org/W1978422651","https://openalex.org/W1992162159","https://openalex.org/W2002788332","https://openalex.org/W2003122452","https://openalex.org/W2008796909","https://openalex.org/W2019115946","https://openalex.org/W2055283676","https://openalex.org/W2081877251","https://openalex.org/W2088295319","https://openalex.org/W2092756732","https://openalex.org/W2141858721","https://openalex.org/W2156170283","https://openalex.org/W2301557801","https://openalex.org/W2361440531","https://openalex.org/W2802739963","https://openalex.org/W3099673215","https://openalex.org/W3100481247","https://openalex.org/W3105105292","https://openalex.org/W3122955785","https://openalex.org/W3124189939","https://openalex.org/W3125175069","https://openalex.org/W3125983424","https://openalex.org/W4293092461","https://openalex.org/W4299533062","https://openalex.org/W4300559607"],"related_works":["https://openalex.org/W2006251942","https://openalex.org/W2364741597","https://openalex.org/W1492103595","https://openalex.org/W1864774435","https://openalex.org/W946352265","https://openalex.org/W3020787026","https://openalex.org/W2334479858","https://openalex.org/W2793786119","https://openalex.org/W1507702947","https://openalex.org/W2022062253"],"abstract_inverted_index":{"We":[0,25],"consider":[1],"the":[2,13,19,22,28,36,44,56,79,92,99,123,129],"hedging":[3,37],"error":[4,46],"of":[5,15,21,51,84,102],"a":[6,16,112],"derivative":[7],"due":[8],"to":[9,31,42,70],"discrete":[10],"trading":[11],"in":[12,18,68,82,122],"presence":[14],"drift":[17],"dynamics":[20],"underlying":[23],"asset.":[24],"suppose":[26],"that":[27,55],"trader":[29],"wishes":[30],"find":[32],"rebalancing":[33,94,131],"times":[34,95,101,132],"for":[35,128],"portfolio":[38,57],"which":[39],"enable":[40],"him":[41],"keep":[43],"discretization":[45,73],"small":[47],"while":[48],"taking":[49],"advantage":[50],"market":[52],"trends.":[53],"Assuming":[54],"is":[58],"readjusted":[59],"at":[60],"high":[61],"frequency,":[62],"we":[63,77],"introduce":[64],"an":[65,85],"asymptotic":[66,86],"framework":[67],"order":[69],"derive":[71],"optimal":[72,93,114,130],"strategies.":[74],"More":[75],"precisely,":[76],"formulate":[78],"optimization":[80],"problem":[81],"terms":[83],"expectation-error":[87],"criterion.":[88],"In":[89,117],"this":[90],"setting,":[91],"are":[96],"given":[97],"by":[98,110],"hitting":[100],"two":[103],"barriers":[104],"whose":[105],"values":[106],"can":[107,133],"be":[108,134],"obtained":[109],"solving":[111],"linear-quadratic":[113],"control":[115],"problem.":[116],"specific":[118],"contexts":[119],"such":[120],"as":[121],"Black--Scholes":[124],"model,":[125],"explicit":[126],"expressions":[127],"derived.":[135]},"counts_by_year":[{"year":2024,"cited_by_count":1},{"year":2022,"cited_by_count":1},{"year":2021,"cited_by_count":3},{"year":2020,"cited_by_count":1}],"updated_date":"2026-08-11T07:18:39.950985","created_date":"2025-10-10T00:00:00"}
