We study a hedging and pricing problem of a model where the price process of a risky asset has jumps with instantaneous feedback from the most recent asset price. We model these jumps with a doubly stochastic Poisson process with an intensity function depending on the current price. We find a closed form expression of the local risk minimization strategy using Föllmer and Schweizer decompositio...

In this study, we give a characterization of all torsion units which are in the unit group of ZS3 integral group ring of symmetric group S3, and classify conjugate classes of these units. We used the group of all doubly stochastic matrices in GL(3,Z) in this classification. The investigation of torsion units is not restricted with this study, and the classification of torsion units of bigger or...

A determinantal approximation is obtained for the permanent of a doubly stochastic matrix. For moderate-deviation matrix sequences, the asymptotic relative error is of order O(n−1). keywords: Doubly stochastic Dirichlet distribution; Maximum-likelihood projection; Sinkhorn projection