Little in the scholarly economics literature is directed specifically to the performance of stable value funds … portfolios across a broad range of risk aversion levels. We discuss factors that contributed to stable value funds' past …

-order risk aversion, with the Omega measure, and with a tendency to over-insure modest risks that has been been extensively …

of risk. Furthermore, Qα(X;p) is the optimal value in a certain minimization problem, the minimizers in which are … problems. In finance, Q0(X;p) and Q1(X;p) are known as the value at risk (VaR) and the conditional value at risk (CVaR). The … sensitivity to risk. The problems of the effective computation of the bounds are considered. Various other related results are …

on modeling of defaultable markets, pricing and hedging of defaultable claims and results on the probability of default …

Insurers issuing segregated fund policies apply dynamic hedging to mitigate risks related to guarantees embedded in … such policies. A typical industry practice consists of using fund mapping regressions to represent basis risk stemming from … the imperfect correlation between the underlying fund and its corresponding hedging instruments. The current work …

strategies with a wide family of risk measures and pricing rules, and study the conditions under which the hedging problem admits … an application on hedging economic risk. …This paper proposes a model-free approach to hedging and pricing in the presence of market imperfections such as market …

, we consider the joint determination of output and hedging in the case of flexibility in production. We show that the risk …We extend the analysis on hedging with price and output uncertainty by endogenizing the output decision. Specifically … context of an example, we show that the presence of production flexibility reduces the incentive to hedge for all risk averse …

This paper explores the use of neural networks to reduce the computational cost of pricing and hedging variable annuity … the tasks of pricing as well as hedging four different varieties of variable annuity guarantees. We demonstrated a …

The possibility to use hedging strategies is an often neglected aspect in the literature on prediction/betting markets … paper, we derive the key mathematical results in using hedging strategies through taking opposite positions to an initial … probability of the outcomes. We also discuss two sources of inefficiency that can arise when using hedging strategies in practice …

We investigate the performance of the Deep Hedging framework under training paths beyond the (finite dimensional …) Markovian setup. In particular, we analyse the hedging performance of the original architecture under rough volatility models in … capable of capturing the non-Markoviantity of time-series. We also analyse the hedging behaviour in these models in terms of …