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 …

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 …

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 … incomplete market by means of a quadratic criterion. We first present the approach of risk-minimization in the case where the …

determine the unique hedging strategies which minimize a suitably defined shortfall risk under a given cost constraint. We … compare the performance of the optimal strategy for different degrees of the investor's risk-aversion. -- Efficient hedging …This paper is devoted to the problem of hedging contingent claims in the framework of a complete two-factor jump …

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 …

hedging derivatives and of intertemporal consumption choice. …

; Additive Models ; Derivative Estimation ; Production Function …