Azmi Makhlouf

Laboratoire Jean Kuntzmann - Université de Grenoble and CNRS

LJK - IRMA

BP 53

Grenoble, 38041

France

SCHOLARLY PAPERS

2

DOWNLOADS

278

CITATIONS

0

Scholarly Papers (2)

1.

The Tracking Error Rate of the Delta-Gamma Hedging Strategy

Number of pages: 42 Posted: 31 Dec 2009
Emmanuel Gobet and Azmi Makhlouf
Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees and Laboratoire Jean Kuntzmann - Université de Grenoble and CNRS
Downloads 247 (88,907)

Abstract:

hedging strategies, fractional regularity, L2 convergence

2.

The Tracking Error Rate of the Delta‐Gamma Hedging Strategy

Mathematical Finance, Vol. 22, Issue 2, pp. 277-309, 2012
Number of pages: 33 Posted: 11 Feb 2012
Emmanuel Gobet and Azmi Makhlouf
Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees and Laboratoire Jean Kuntzmann - Université de Grenoble and CNRS
Downloads 1 (536,590)

Abstract:

hedging strategies, fractional regularity,  convergence