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 …

This paper considers the multiperiod hedging decision in a framework of mean-reverting spot prices and unbiased futures … markets. The task is to determine the optimal hedging path, i.e., the sequence of positions in futures contracts with the … objective of minimizing the variance of an uncertain future cash flow. The model is used to illustrate both hedging using a …

Hedging down-and-out puts (and up-and-out calls), where the maximum payoff is reached just before a barrier is hit that … would render the claim worthless afterwards, is challenging. All hedging methods potentially lead to large errors when the …, we analyze this hedging situation, especially the case of overnight trading gaps. We show how a position in a short …

, 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 …

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 …