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CONFERENCE ON MATHEMATICAL FINANCE
May 19, 20, and 21, 2000
University of Missouri - Columbia

Patrick Jaillet (University of Texas at Austin)

Saturday, May 20 11:15-12:15

Hedging Derivatives with Jump-Diffusions

Abstract: In contrast to the Black & Scholes model, jump-diffusion models induce incompleteness of the market. In this talk, after providing a review of the most relevant results on pricing under jump-diffusion models, we will concentrate on the "dual" problem of hedging such derivatives. For both European-style and American-style derivatives, we will analyze and compare several hedging strategies. Both analytical and numerical results will be presented.


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