The classical Black–Scholes hedging strategy of a European contingent claim may require rapid changes in the replicating portfolio. One approach to avoid this is to impose a priori bounds on the variations of the allowed trading strategies, called gamma constraints. Under such a restriction, it is in general no longer possible to replicate a European contingent claim, and super-replication is a...

RÉSUMÉ. La qualité de service (QoS) des services Web est un facteur clef de leur réussite. Ceci nécessite le développement de nouvelles méthodes afin de l’analyser. Nous proposons ici des familles de modèles majorant le temps de réponse des services Web composites pour deux types de composition : le « fork and merge » statique et aléatoire. Pour le premier cas, la complexité de résolution des m...

Let G be a bounded domain in the complex plane, let f be analytic in G and continuous in G, and let μ be a majorant, that is, a non-negative non-decreasing function defined for t ≥ 0 such that μ(2t) ≤ 2μ(t) for all t ≥ 0. Suppose that z1 ∈ ∂G and that |f(z1) − f(z2)| ≤ μ(|z1 − z2|) for all z2 ∈ ∂G. We show that then |f(z1)−f(z2)| ≤ Cμ(|z1−z2|) for all z2 ∈ G where C = 3456. If the assumption is...

We study Siegel’s center problem on the linearization of germs of diffeomorphisms in one variable. In addition of the classical problems of formal and analytic linearization, we give sufficient conditions for the linearization to belong to some algebras of ultradifferentiable germs closed under composition and derivation, including Gevrey classes. In the analytic case we give a positive answer ...