of numerical methods for pricing, hedging, and risk management of financial instruments. …

Unlike delta-hedging or similar methods based on Greeks, global hedging is an approach that optimizes some terminal … criterion that depends on the difference between the value of a derivative security and that of its hedging portfolio at … maturity or exercise. Global hedging methods in discrete time can be implemented using dynamic programming. They provide …

, real estate has lagged behind. Now is the time to expand the range of tools available for hedging households’ risks and …

payoff functions that were first derived in the context of partial hedging by Föllmer and Leukert. Not only does this … approach better accommodate the realistic setting of hedging in discrete time, it also allows for the inclusion of transaction …

European claim. This allows pricing and hedging under the minimal martingale measure, corresponding to the local risk … pricing and hedging formulae for put and call options are derived in terms of the Black–Scholes formula. Due to market … an approximate hedging formula, which does not require knowledge of these parameters. The hedging strategies are tested …

negative dynamic conditional correlation between the VIX and SP500). Moreover, the hedging analysis exhibits that the Dow Jones … Islamic has the highest hedging effectiveness either before or during the recent COVID19 crisis, offering better resistance to …

The aim of this study is to determine the main factors affecting the use of foreign exchange hedging instruments by …

Since the collapse of the Metallgesellschaft AG due to hedging losses in 1993, energy practitioners have been concerned … hedging long-dated futures and options with their short-dated counterparts, we find that the long-term tracking errors are, on …