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

. Bitcoin contributes only 2.55% to the connectedness, while the wheat volatility index accounts for 12.51% of the total …

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 …, such as price level-adjusted mortgages, property derivatives, and home equity value insurance. Financial institutions …

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 …

project due to inaccurate risk assessment. Thus, this paper presents the Cash Flow Risk Index (CFRI) development process … relative importance on a five-point Likert scale, from which relative importance index and weights were obtained. As a result …

One of the controversies of diversification is that it may not be beneficial to banks, as it tends to increase systemic … increases with diversification, we extend his analysis to show that if one allows for short positions; then the probability of …

Diversification practices by banks affect their own risk of failing and the risk of the banking system as a whole … (systemic risk). A seminal theoretical work has shown that linear diversification can reduce the risk of a bank failing, but at … for securitization with two tranches, by finding their corresponding optimal diversification solutions, and by discussing …

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 …

for a specific interest rate portfolio. The recent financial crisis showed that risk management of derivatives portfolios …-line controlling and monitoring of derivatives portfolio. The portfolios should be designed in a way that risk and return be quantified …