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Delta hedging, which plays a crucial r\^ole in modern financial engineering,is a tracking control design for a "risk-free" management. We utilize theexistence of trends in financial time series (Fliess M., Join C.: Amathematical 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-freesetting for delta hedging. It avoids most of the shortcomings encountered withthe now classic Black-Scholes-Merton framework. Several convincing computersimulations are presented. Some of them are dealing with abrupt changes, i.e.,jumps.

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