We study the problem of optimally hedging exotic derivatives positions using a combination of dynamic trading strategies in underlying stocks, and static positions in vanilla options when the performance is quantified by a convex risk measure. We establish conditions for the existence of an...

Coarse woody debris (CWD) is crucial for maintaining biodiversity in forests but conservation measures to increase CWD must be performed cost efficiently. We estimate least-cost combinations of CWD-increasing measures in a spruce-dominated Swedish forest estate. Specifically, we investigate how...

We consider option hedging and pricing for a large agent. The large agent affects the market's demand-supply equilibrium and, therefore, the market prices of financial instruments. By assuming a specific large agent's effect function for the underlying asset we derive the corresponding effect...

We study the problem of optimally hedging exotic derivatives positions using a combination of dynamic trading strategies in underlying stocks and static positions in vanilla options when the performance is quantified by a convex risk measure. We establish conditions for the existence of an...

We investigate the partial hedging problem in financial markets with a large agent. An agent is said to be large if his/her trades influence the equilibrium price. We develop a stochastic differential equation (SDE) with a single large agent parameter to model such a market. We focus on...