In this thesis we discuss option pricing and hedging under regime switching models. To the standard model we add jumps … hedging options under finitely many regime states and with finitely many possible jump sizes. We find risk-free hedge …

resultierende Faktor-Hedging von Barrier Optionen gerichtet. … volatility dynamics and resulting factor hedging of barrier options. …

When using derivative instruments such as futures to hedge a portfolio of risky assets, the primary objective is to … robust OHR to construct a dynamic hedging strategy for daily returns on the FTSE100 index using index futures. We estimate … the variance of the standard OHR, substantially reducing the transaction costs that are associated with dynamic hedging …

hedging strategy. Throughout the study, the local volatility model is used as a working example to clarify the proposed … selecting the model, from a set of candidate models, that optimises the hedging of a specified financial contract. In particular … we choose the model whose corresponding price and hedge optimises some hedging performance indicator. The selection …

, can gain little. Third, hedging exchange risk generally allows the U.S., but not Japanese, investors to benefit more from … international diversification. For U.S. investors, the international bond diversification with exchange risk hedging offers a … superior risk-return trade-off than the international stock diversification, with or without hedging. …