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 …

We deal with the valuration and hedging of non path-dependent European options on one or several underlyings in a model … provide a unified and easily applicable approach to pricing and hedging Black-Scholes type options on stocks, bonds, forwards …. futures and exchange rates. We also cover the pricing and hedging of options to exchange two Black-Scholes type options for …

endogenously. Among other analytical tools we use spread options on the forward rate curve as an aggregate measure of term …

shapes the models generate, and use spread options as an aggregate measure of the relative importance assigned to rising and …

poses problems for the pricing and hedging of certain contingent claims. Therefore, we extend the HJM-model in such a way …-to-maturity. We consider the pricing and hedging of contingent claims in this framework. …