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. …

this paper, we examine the S&P 500 futures contract for evidence that turn-of-the-month effects have continued. Transaction … costs are low for index futures, and the absence of short-sale restrictions makes index futures an attractive venue for … futures disappear after 1990, and this result carries over to the S&P 500 spot market. We conjecture that a change in the …

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 …