wird die dazugehörige Hedging–Strategie ermittelt. Es zeigt sich, daß diese Hedging–Strategie nicht im Cash …

Derivative financial instruments are frequently used as a tool for influencing the risk ofentrepreneurial uncertain … only available as a hedging toolfor one of these factors. In general it is easy to determine optimal hedging payment … structures withrespect to this factor, but real-life hedging opportunities will typically not allow to perfectly reproducesuch a …

We develop a new approach to pricing and hedging contingent claims in incomplete markets framework the no …-arbitrage ideo to a world of incomplete markets in such a way thet beased on a concept of risk compatible with the axioms of Artzner … et al. we can derive unique prices and corresponding optimal hedging strategies without invoking specific assumptions on …

The effect of model and parameter misspecification on the effectiveness of Gaussian hedging strategies for derivative … financial instruments is analyzed, showing that Gaussian hedges in the `natural'' hedging instruments are particularly robust …. This is true for all models that imply Black/Scholes--type formulas for option prices and hedging strategies. In this paper …

In this paper we analyze in what way the demand generated by dynamic hedging strategies affects the equilibrium prices … hedging. It turns out that market volatility increases and becomes price-dependent. The strength of the effects depend not … discuss in what sense hedging strategies calculated under the assumption of constant volatility are still appropriate, even if …

We deal with the valuration and hedging of non path-dependent European options on one or several underlyings in a model … of an international economy which allows for both interest rate and exchange rate risk. Using martingale theory we … provide a unified and easily applicable approach to pricing and hedging Black-Scholes type options on stocks, bonds, forwards …

decomposition to the problem of hedging European and American style contingent claims in a setting of incomplete security markets. …

Survey studies on corporate risk management show that firms follow very diverse riskmanagement strategies. The observed … present paper wants tolink the discussion on risk management theories more closely to the observed firm behaviour.The paper is … based on a survey study on the risk management of German non-financial firms.Like previous studies, we find that a majority …