sector indices: dy-namic models and risk hedging, the probability of default in collateralized credit oper-ations, risk …

An investor faced with a contingent claim may eliminate risk by (super-) hedging in a financial market. As this is …

An investor faced with a contingent claim may eliminate risk by (super-)hedging in a financial market. As this is often …

futures contracts. Their hedging demand is met by financial intermediaries who act as speculators, but are constrained in risk …-taking. Increases (decreases) in producers’ hedging demand (the risk-bearing capacity of speculators) increase the costs of hedging … 1980-2006, we show that producers’ hedging demand - proxied by their default risk - forecasts spot prices, futures prices …

We use Malliavin calculus and the Clark-Ocone formula to derive the hedging strategy of an arithmetic Asian Call option … motion, which allows us to express hedging strategy and price of the Asian option as an analytic, that is closed form …

We revisit the problem of pricing and hedging plain vanilla single-currency interest rate derivatives using multiple …

stochastic. It then uses the results to explain the dynamics of hedging. Bankruptcy rules are important determinants of corporate … produce the same prices, they can have very different hedging implications. We show that empirical results on the relation …