study the question what an investor can do who is unwilling to spend that much, and who is ready to use a hedging strategy … which succeeds with high probability. -- Hedging ; superhedging ; Neyman Pearson lemma ; stochastic volatility ; value at … risk …

An investor faced with a contingent claim may eliminate risk by (super-)hedging in a financial market. As this is often …-)hedge, depending on the accepted level of shortfall risk. -- risk management ; stochastic volatility ; shortfall risk ; Hedging … quite expensive, we study partial hedges, which require less capital and reduce the risk. In a previous paper we determined …

underlying discounted price process X is a local martingale. We then discuss the extension to local risk-minimization when X is a … stochastic integrals. -- risk-minimization ; locally risk-minimizing ; mean-variance hedging ; minimal martingale measure …This paper gives an overview of results and developments in the area of pricing and hedging contingent claims in an …

future nominal values via a cost of living index is an appropriate way to handle the problem of real income risk. Nonetheless … rational individual always voluntarily purchase protection against such risk? A model is developed to shed some light on this … aspect. It shows that the optimal behaviour depends - as expected - on the cost of protection and the risk preferences of the …

currency basket, i.e. a linear combination of foreign currencies. In line with the mean-variance hedging approach, we determine …. The different estimators are compared with profit based criteria. -- exchange rates ; mean-variance hedging ; adaptive …

parameter is sufficiently small. -- option pricing ; hedging ; transaction costs ; locally risk-minimizing strategies ; mean …We propose a new approach to the pricing and hedging of contingent claims under transaction costs in a general … incomplete market in discrete time. Under the assumptions of a bounded mean-variance tradeoff, substantial risk and a …

This paper presents a general theory that works out the relation between coherent risk measures, valuation bounds, and … preferences, in the way many coherent risk measures are somewhat generic. -- coherent risk rneasures ; valuation bounds … ; portfolio optirnization ; robust hedging ; convex cones ; dorninance relations ; convex duality ; incornplete rnarkets …