This study deals with the pricing and hedging of inflation-indexed bonds. Under foreign exchange analogy we model the … for the factor process. Then, we perform a novel hedging analysis where our objective is to replicate an indexed bond of a … given maturity by trading a portfolio of nominal bonds. This analysis leads to a hedging criterion based on a set of …

We consider the problem of option hedging in a market with proportional transaction costs. Since super-replication is … very costly in such markets, we replace perfect hedging with an expected loss constraint. Asymptotic analysis for small …

We develop alternative models for hedging yield curve risk and test them by hedging US Treasury bond portfolios through … hedging quality. Also, this quality varies from one test case to the other, so that a clear ranking of the models is not … possible. We show that accounting for the variance of modeling errors substantially reduces both hedging errors and transaction …

's hedging demand is positive (negative) when the product of his prudence and risk tolerance is below (above) 2 and (ii) the …

, hedging and super-hedging options for a large trader, utility maximization in illiquid markets and price impact models with …