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 …

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 …

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 …

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 …

This paper gives an overview of results and developments in the area of pricing and hedging contingent claims in an … mean-variance hedging, the variance-optimal martingale measure and the connections to closeness properties of spaces of … stochastic integrals. -- risk-minimization ; locally risk-minimizing ; mean-variance hedging ; minimal martingale measure …