transaction cost is proved. In this market, static hedging in a finite number of options, in addition to usual dynamic hedging … with the underlying stock, are allowed. The first one of the problems considered is the model-independent hedging that …

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 solve the problem of optimal risk management for an investor holding an illiquid, alpha generating fund and hedging … and deleveraging, or keeping his current position in the illiquid instrument and hedging away some of the risk while …

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 …

Duality for robust hedging with proportional transaction costs of path dependent European options is obtained in a …. The main theorem is duality between hedging and a Monge-Kantorovich type optimization problem. In this dual transport …

presence of a random endowment, we obtain asymptotic formulas for utility indi erence prices and hedging strategies in the …

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