Despite much work on hedging in incomplete markets, the literature still lacks tractable dynamic hedges in plausible … deviate unless she can pre-commit to follow them. We apply our results to the discrete hedging problem of derivatives when … specialized to the Black-Scholes setting. We also generalize our results to richer settings to study dynamic hedging with Poisson …

. Furthermore, they actively manage the portfolio risk of their speculative positions through hedging positions in correlated … currencies. The exchange rate effect of separate risk hedging is economically significant and amounts to a return difference of 3 ….6 percent over a 5 day event window between currencies with high and low risk hedging value. The results of the classical event …

We provide a theory of the determination of exchange rates based on capital flows in imperfect financial markets … theory of exchange rate determination in imperfect financial markets not only rationalizes the empirical disconnect between …

This paper proposes a theory of twin banking-currency crises in which both fundamentals and self-fulfilling beliefs …