In this paper we analyze the manner in which the demand generated by dynamic hedging strategies affects the equilibrium price of the underlying asset. We derive an explicit expression for the transformation of market volatility under the impact of such strategies. It turns out that volatility...

We study risk-minimizing hedging-strategies for derivatives in a model where the asset price follows a marked point process with stochastic jump-intensity, which depends on some unobservable state-variable process. This model reflects stylized facts that are typical for high frequency data. We...