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Capture Basin Algorithm for Evaluating and Managing Complex Financial Instruments

Author

Listed:
  • Dominique Pujal

    (S.D.F. C.R.V.J.C. University Paris Dauphine)

  • Patrick Saint-Pierre

    (S.D.F. C.R.V.J.C. University Paris Dauphine)

Abstract

One aim of Viability Theory is to regulate evolutions under uncertainty in order not only to reach a target in finite time, but also to fulfill constraints (known as viability) until this time. Within the framework of finance, in the case of replicating portfolios, the target is defined by the payoff function at maturity time, and the constraints appear when one want to take into account limitations on prices and quantities to share. Moreover, extension of Viability Theory to hybrid or impulse systems allows to evaluate more complex financial instruments.

Suggested Citation

  • Dominique Pujal & Patrick Saint-Pierre, 2006. "Capture Basin Algorithm for Evaluating and Managing Complex Financial Instruments," Computing in Economics and Finance 2006 186, Society for Computational Economics.
    • Handle: RePEc:sce:scecfa:186
    as

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    Citations

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    Cited by:

    1. Krawczyk, Jacek B & Pharo, Alastair & Simpson, Mark, 2011. "Approximations to viability kernels for sustainable macroeconomic policies," Working Paper Series 1531, Victoria University of Wellington, School of Economics and Finance.
    2. Krawczyk, Jacek B. & Serea, Oana-Silvia, 2007. "A viability theory approach to a two-stage optimal control problem," MPRA Paper 10103, University Library of Munich, Germany.
    3. Jacek Krawczyk & Rishab Sethi, 2007. "Satisficing Solutions for New Zealand Monetary Policy," Reserve Bank of New Zealand Discussion Paper Series DP2007/03, Reserve Bank of New Zealand.
    4. Krawczyk, Jacek B & Townsend, Wilbur, 2015. "Viability of an economy with constrained inequality," Working Paper Series 4689, Victoria University of Wellington, School of Economics and Finance.
    5. Jacek Krawczyk & Alastair Pharo & Oana Serea & Stewart Sinclair, 2013. "Computation of viability kernels: a case study of by-catch fisheries," Computational Management Science, Springer, vol. 10(4), pages 365-396, December.
    6. Jacek B. Krawczyk & Vladimir P. Petkov, 2022. "A Qualitative Game of Interest Rate Adjustments with a Nuisance Agent," Games, MDPI, vol. 13(5), pages 1-24, August.
    7. Krawczyk, Jacek B & Pharo, Alastair S, 2014. "Manual of VIKAASA 2.0: An application for computing and graphing viability kernels for simple viability problems," Working Paper Series 3432, Victoria University of Wellington, School of Economics and Finance.
    8. Krawczyk, Jacek B & Pharo, Alastair & Simpson, Mark, 2011. "Approximations to viability kernels for sustainable macroeconomic policies," Working Paper Series 18551, Victoria University of Wellington, School of Economics and Finance.
    9. Krawczyk, Jacek B & Townsend, Wilbur, 2015. "Viability of an economy with constrained inequality," Working Paper Series 19335, Victoria University of Wellington, School of Economics and Finance.
    10. Krawczyk, Jacek B. & Judd, Kenneth L., 2014. "Which economic states are sustainable under a slightly constrained tax-rate adjustment policy," MPRA Paper 59027, University Library of Munich, Germany.

    More about this item

    Keywords

    Viability; Capture Basin Algorithm; Finance;
    All these keywords.

    JEL classification:

    • C73 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Stochastic and Dynamic Games; Evolutionary Games
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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