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. …

between the S&P 500 futures and cash indexes. Discontinuous arbitrage suggests that a threshold error correction mechanism may … characterize many aspects of the relationship between the futures and cash indexes. We use minute-by-minute data on the S&P 500 … futures and cash indexes. The results indicate that nonlinear dynamics are important and related to arbitrage and suggest that …

options on Eurodollar futures. Restrictions on the prices of Hermite polynomial risk for contingent claims with different …