英文标题：
《Risk-Neutral Pricing and Hedging of In-Play Football Bets》
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作者：
Sebastian del Bano Rollin and Zsolt Bihari and Tomaso Aste
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最新提交年份：
2018
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英文摘要：
  A risk-neutral valuation framework is developed for pricing and hedging in-play football bets based on modelling scores by independent Poisson processes with constant intensities. The Fundamental Theorems of Asset Pricing are applied to this set-up which enables us to derive novel arbitrage-free valuation formul\\ae\\ for contracts currently traded in the market. We also describe how to calibrate the model to the market and how trades can be replicated and hedged.
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中文摘要：
基于具有恒定强度的独立泊松过程的建模分数，开发了一个风险中性的足球赌注定价和对冲评估框架。资产定价的基本定理应用于这一设置，这使我们能够为目前在市场上交易的合同推导出新的无套利估值公式。我们还描述了如何根据市场校准模型，以及如何复制和对冲交易。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Trading and Market Microstructure        交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
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