Now showing items 1-2 of 2

    • Hedging a Portfolio of derivatives by Modeling Cost 

      Boyle, Katharyn A.; Coleman, Thomas F.; Li, Yuying (Cornell University, 2003-01-19)
      We consider the problem of hedging the loss of a given portfolio of derivatives using a set of more liquid derivative instruments. We illustrate why the typical mathematical formulation for this hedging problem is ...
    • Hedging a Portfolio of Derivatives by Modeling Cost 

      Boyle, Katharyn A.; Coleman, Thomas F.; Li, Yuying (Cornell University, 2003-01-22)
      We consider the problem of hedging the loss of a given portfolio of derivatives using a set of more liquid derivative instruments. We illustrate why the typical mathematical formulation for this hedging problem is ill-posed. ...