A new class of risk measures called cash sub-additive risk measures is introduced to assess the risk of future … sub-additive risk measures can model stochastic and/or ambiguous interest rates or defaultable contingent claims …. Practical examples are presented and in such contexts cash additive risk measures cannot be used. Several representations of the …

This paper studies the hedging of price risk when payment dates are uncertain, a problem that frequently occurs in … static hedging strategy is sufficient. -- risk management ; hedging ; forwards ; uncertainty of time …

On the temperature derivative market, modeling temperature volatility is an important issue for pricing and hedging. In … order to apply pricing tools of financial mathematics, one needs to isolate a Gaussian risk factor. A conventional model for … Gaussian variable appears. Earlier work investigated this temperature risk in dfferent locations and showed that neither …