This paper proposes a robust approach to hedging and pricing in the presence of market imperfections such as market … incompleteness and frictions. The generality of this framework allows us to conduct an in-depth theoretical analysis of hedging … proposed theoretical approach are illustrated with an application on hedging economic risk. …

which the risk management and hedging needs of investors may be effectively met through the derivative instruments. However …

availability of liquidity is a concern in hedging. Our paper extends the earlier literature, suggesting that an environment with a …

short term hedging in the spot market. I study the minimum variance hedge ratio and how it can be estimated in different … hedges. The empirical results indicate some gains from hedging with futures despite the lack of straight-forward arbitrage …

We investigate the problem of pricing and hedging variable annuity contracts for which the fee deducted from the … insurer to hedge the benefit. To solve the pricing and hedging problem in an incomplete financial market we apply a quadratic …

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

means that for every contingent claim there exists a hedging strategy minimizing the expected square of net loss. …

_{\pi(\cdot)\in\A(x)}{\bf E}_\nu\left(\frac{C-X^{x, \pi}(T)}{S_0(T)}\right)^+, \] for the risk associated with hedging a given liability C at time …

Dalang-Morton-Willinger theorem. As an application, we establish a hedging theorem giving a description of the set of initial …