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UID:20250916T083510EDT-9961BRD5Ta@132.216.98.100
DTSTAMP:20250916T123510Z
DESCRIPTION:Title: Some practical and less practical results on quadratic h
 edging\n\nAbstract: The quadratic hedging portfolio minimizes the expected
  squared difference between the value of the hedging portfolio and the con
 tingent claim at maturity. This quadratic penalty has a drawback since val
 ues of the portfolio greater or smaller than the contingent claim are equa
 lly penalized. On the other hand\, solutions for the quadratic hedging por
 tfolio come from the L2-space projection which forbid asymmetrical penalti
 es. For the first part of this talk\, I will present a modification of the
  quadratic hedging portfolio which leads to a hedging portfolio with expec
 ted value greater than the contingent claim while keeping tractability of 
 the quadratic hedging portfolio. The quadratic hedging theory is only vali
 d for perfectly liquid market models since the value of the portfolio must
  be a linear function of the trading strategy. Consequently\, this theory 
 cannot be used for illiquid market models such as limit order book models.
  For this second part of the talk\, I will present an extension of the mar
 tingale representation for nonlinear stochastic integrals and discuss the 
 possible application to quadratic hedging for illiquid market models.\n
DTSTART:20190118T204500Z
DTEND:20190118T214500Z
LOCATION:Room AA5340\, CA\, Pav. André-Aisenstadt\, 2920\, ch. de la Tour
SUMMARY:Clarence Simard\, Université du Québec à Montréal (UQAM)
URL:/mathstat/channels/event/clarence-simard-universit
 e-du-quebec-montreal-uqam-293086
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