use of computational methods and techniques for modelling financial asset prices, returns, and volatility, and on the use … of numerical methods for pricing, hedging, and risk management of financial instruments. …

This paper examines a simple basis risk model based on correlated geometric Brownian motions. We apply quadratic … criteria to minimize basis risk and hedge in an optimal manner. Initially, we derive the Föllmer–Schweizer decomposition for a … European claim. This allows pricing and hedging under the minimal martingale measure, corresponding to the local risk …

In this paper we formulate the Risk Management Control problem in the interest rate area as a constrained stochastic … for a specific interest rate portfolio. The recent financial crisis showed that risk management of derivatives portfolios … especially in the interest rate market is crucial for the stability of the financial system. Modern Value at Risk (VAR) and …

implied volatility surface (up to 100%) and on two risk measures: value at risk and expected shortfall where an increase of up … functions in closed-form, which help with pricing and risk measure calculations. In a numerical example, we demonstrate the …

VaR (Value at Risk) and CVaR (Conditional Value at Risk) are implied by option prices. Their relationships to option …

stochastic volatility and jumps are present. …