We develop a new approach to pricing and hedging contingent claims in incomplete markets framework the no … 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 …

. futures and exchange rates. We also cover the pricing and hedging of options to exchange two Black-Scholes type options for …We deal with the valuration and hedging of non path-dependent European options on one or several underlyings in a model … provide a unified and easily applicable approach to pricing and hedging Black-Scholes type options on stocks, bonds, forwards …

additionalstandard options. …

The vast majority of approaches to risk management, hedging, or portfolio planningassume that some model is given … much too complicated to solve in realisticmodel setups, we furthermore discuss robust hedging strategies determined …

In this paper we examine the problem of partially hedging a given credit risk exposure. We derive hedges which satisfy … to hedge their risks completely. In contrast to the usual mean-variance criterion, our hedging strategies try to minimize … money by hedging only part of the claim, while taking a certain (minimal) risk that the hedge does not cover the claim …

The aim of this paper is the valuation and hedging of defaultable bonds and options on defaultable bonds. The Heath …

start by briefly recalling the standard theory for pricing and hedging derivatives in complete frictionless markets and the …