The paper discusses the problem of hedging not perfectly replicable contingent claims by using a benchmark, the … pricing and hedging for an increasing number of not fully replicable benchmarked contingent claims. …

stochastic volatility specification. Factor hedging, which takes into account shocks to both the volatility processes and the …

This study examines the interrelation between small traders' open interest and large hedging and speculation in the …

Alternative approaches to hedging swaptions are explored and tested by simulation. Hedging methods implied by the Balck … distributions for the hedging profit and loss - even at high rehedging frequencies. This result demonstrates the robustness of the … Black hedging technique and implies that - being simpler and generally better understood by financial practitioners - it …

. We find that, depending on whether futures contracts are used for risk reduction (i.e., hedging) or risk taking (i …

The solution to the problem of hedging contingent claims by local risk-minimisation has been considered in detail in …