support is derived for the spot rate return. The model permits the arbitrage free valuation of bond options and interest rate … options and produces dynamic portfolio strategies to duplicate these contracts. …

options on S&P 500 futures expire than on other days. The effect is driven by the interplay of market makers' rebalancing of …-the-money options by individual investors. Consistent with limits to arbitrage, we find that the effect is asymmetric and stronger above … the strike price. In line with increased options activity, pinning becomes more pronounced in recent years. …

which the risk management and hedging needs of investors may be effectively met through the derivative instruments. However …

This paper proposes a model-free approach to hedging and pricing in the presence of market imperfections such as market … incompleteness and frictions. The generality of this framework allows us to conduct an in-depth theoretical analysis of hedging … strategies with a wide family of risk measures and pricing rules, and study the conditions under which the hedging problem admits …

This paper proposes a robust approach to hedging and pricing in the presence of market imperfections such as market … incompleteness and frictions. The generality of this framework allows us to conduct an in-depth theoretical analysis of hedging … proposed theoretical approach are illustrated with an application on hedging economic risk. …

The paper discusses the problem of hedging not perfectly replicable contingent claims by using a benchmark, the … pricing and hedging for an increasing number of not fully replicable benchmarked contingent claims. …