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 …In this paper we analyze in what way the demand generated by dynamic hedging strategies affects the equilibrium prices …

In this paper the performance of locally risk-minimizing hedge strategies for European options in stochastic volatility … large class of diffusion-type stochastic volatility models, and they are as easy to implement as usual delta hedges. Our …

variance contract under different scenarios, namely underpure estimation risk (or parameter risk) in a stochastic volatility … volatility instead of jumps or vice versa), and under modelrisk when risk factors are omitted (e.g. when the true model contains …

non-traded risk factors. Our main findings for a stochastic volatilitymodel with unbounded volatility show that there is …

This paper derives an analytic expression for the distribution of the average volatility in the stochastic volatility …

dynamic event study. We observe a noticeable switch from a low-volatility to a high-volatility regime one day before the day … of downgrades. On average the volatility in stock returns triples around the time of downgrades and the stock return … process remains in the high-volatility regime for about three days.... …

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 …