allow the insider to have free lunches with vanishing risk, or even to exercise arbitrage. -- Brownian motion ; diffusion … ; free lunch ; arbitrage ; financial markets ; insider ; progressive enlargement of filtrations ; honest time …

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 …

This paper is devoted to the problem of hedging contingent claims in the framework of a complete two-factor jump … arbitrage-free price. Based on the results of H. Föllmer and P. Leukert [4][ 5] in a general semimartingale setting, we … determine the unique hedging strategies which minimize a suitably defined shortfall risk under a given cost constraint. We …

absence of arbitrage for the large investor, and using approximation results for stochastic integrals, we characterize the set …

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 …