A Stieltjes approach to static hedges

Static hedging of complicated payoff structures by standard instruments becomes increasingly popular in finance. The classical approach is developed for quite regular functions, while for less regular cases, generalized functions and approximation arguments are used. In this note, we discuss the regularity conditions in the classical decomposition formula due to P. Carr and D. Madan (in Jarrow ed, Volatility, pp. 417–427, Risk Publ., London, 1998) if the integrals in this formula are interpreted as Lebesgue integrals with respect to the Lebesgue measure. Furthermore, we show that if we replace these integrals by Lebesgue–Stieltjes integrals, the family of representable functions can be extended considerably with a direct approach.

Free dense subgroups of holomorphic automorphisms

We show the existence of free dense subgroups, generated by two elements, in the holomorphic shear and overshear group of complex-Euclidean space and extend this result to the group of holomorphic automorphisms of Stein manifolds with the density property, provided there exists a generalized translation. The conjugation operator associated to this generalized translation is hypercyclic on the topological space of holomorphic automorphisms.