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 presents a general theory that works out the relation between coherent risk measures, valuation bounds, and … theory presented seems to fill a gap between arbitrage valuation on the one hand and single agent utility maximization or … full-fledged equilibrium theory on the other hand. "Coherent" valuation bounds strike a balance in that the bounds can be …

; duality theory ; term structure of interest rates ; smoothing splines ; tax clientele ; arbitrage bounds …

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 …

analysis relies on the non-linear integration theory of such semimartingale families. The Itô-Wentzell formula is used to prove …

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 …

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 …