标题： 波动率对冲在金融工程中的应用：迈向无模型的方法 显示英文标题

标题： Delta Hedging in Financial Engineering: Towards a Model-Free Approach

摘要： Delta对冲在现代金融工程中起着关键作用，是一种用于"无风险"管理的跟踪控制设计。我们利用金融时间序列中的趋势存在性（Fliess M., Join C.: 金融时间序列中趋势存在性的数学证明，Proc. Int. Conf. Systems Theory: Modelling, Analysis and Control, Fes, 2009. 在线: http://hal.inria.fr/inria-00352834/en/），以提出一种无需模型的Delta对冲设置。它避免了现在经典的Black-Scholes-Merton框架所遇到的大部分缺点。展示了几个有说服力的计算机仿真。其中一些处理突然变化，即跳跃。 显示英文摘要

摘要： Delta hedging, which plays a crucial r\^ole in modern financial engineering, is a tracking control design for a "risk-free" management. We utilize the existence of trends in financial time series (Fliess M., Join C.: A mathematical proof of the existence of trends in financial time series, Proc. Int. Conf. Systems Theory: Modelling, Analysis and Control, Fes, 2009. Online: http://hal.inria.fr/inria-00352834/en/) in order to propose a model-free setting for delta hedging. It avoids most of the shortcomings encountered with the now classic Black-Scholes-Merton framework. Several convincing computer simulations are presented. Some of them are dealing with abrupt changes, i.e., jumps.