UNCERTAINTY VERSUS RANDOMNESS: MINIMIZING MODEL DEPENDENCE

Paul Wilmott ()
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Paul Wilmott: Wilmott Associates, 5 Burnham Court, Moscow Road, London W2 4SW, UK

International Journal of Theoretical and Applied Finance (IJTAF), 2000, vol. 03, issue 03, 493-500

Abstract: I describe some recent advances in the pricing and hedging of derivative instruments. The theme is the reduction of model risk using non-probabilistic models. We see how the nonlinearity in the models leads to natural and optimal choices for static hedges for the reduction of market risk.

Date: 2000
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DOI: 10.1142/S0219024900000474

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