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

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 …

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

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 …

, 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 …

pricing and hedging performance, there has been much less emphasis on approaches to measure dynamic hedging effectiveness … reducing hedging risk to an appropriately low level lead us to propose a new perspective on hedging, and recognize it as a tool …

This study investigates the determinants for the use of derivatives by firms in the Indian market. Using a sample of … responsible for pushing the firm to use derivatives for risk management. The findings also document that the financial distress of … the firm, which is one of the important reasons for the use of derivatives in advanced economies, happens to be …

is to introduce new risk hedging financial contracts for crime, consistent with dynamic asset pricing. Underlying the …