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

We consider modeling errors in the hedging of a portfolio composed from BBB-rated bonds. By doing this, we open a new … value of indexlinked credit derivatives is very limited: hedging portfolios including only T-bond futures can reduce the … hedging. This is consistent with the literature identifying an important non-default component within corporate bond spreads …

The duality between the robust (or equivalently, model independent) hedging of path dependent European options and a … to be a continuous function of time. The hedging problem is to construct a minimal super-hedging portfolio that consists …

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 …

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 solve the problems of mean-variance hedging (MVH) and mean-variance portfolio selection (MVPS) under restricted …