Survey studies on corporate risk management show that firms follow very diverse riskmanagement strategies. The observed behavior is difficult to reconcile with establishedhedging theories and with the standard procedure for testing them. The present paper wants tolink the discussion on risk...

This paper publishes results on the convergence for hedging strategies in the setting of incomplete financial markets.

This paper compares the pricing and hedging performance of the LMM model against two spot-ratemodels, namely Hull-White and Black-Karasinski, and the more recent Swap Market Model from anAsset-Liability-Management (ALM) perspective. In contrast to previous studies in the literature, ouremphasis...

In this paper, we compare two one-factor short rate models: the Hull White model and the Black-Karasinski model. Despite their inherent shortcomings the short rate models are being used quiteextensively by the practitioners for risk-management purposes. The research, as part of...

Explicit guarantees are good for shareholders, policyholders and regulators: increased transparency. The risk management of capital market risks embedded in life (re) contracts is non-trivial. A bank-like operation (hedging platform) is needed for quantification, hedge design and controlling of...

The vast majority of approaches to risk management, hedging, or portfolio planningassume that some model is given. However, under model risk, the true data gener-ating process is not known. The focus of this paper is on problems related to thehedging of derivative contracts. We explain the main...