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. …

-style options. We introduce a skewed version of the Student-t distribution, whose main advantage is that its shape depends on only … to compare different distributions and use the parameters as inputs to price other options. We explain the method … provides a better fit to market prices of options than the Shimko or implied tree models, and has a lower computation time than …

lower price errors in the underlying. The more popular options are, the more quickly information is incorporated in the …

means that for every contingent claim there exists a hedging strategy minimizing the expected square of net loss. …

We investigate the pricing of basket credit derivatives and their hedging with single name credit default swaps (CDS … pure jump filtration, we present an extremely efficient approach to pricing and study explicit hedging strategies. …

We compare single factor Markov-functional and multi factor market models for hedging performance of Bermudan swaptions …. We show that hedging performance of both models is comparable, thereby supporting the claim that Bermudan swaptions can …

minimal hedging portfolios for a number of reward processes of the ``classical'', lookback and Asian type. These results …

We develop a new approach to pricing and hedging contingent claims in incomplete markets. Mimicking as closely as … can derive unique prices and corresponding optimal hedging strategies without invoking specific assumptions on preferences … explicitly taking into account optimal hedging strategies leads to positive market prices of risk for volatility even if the …