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

and return management in the financial market for investment funds, three selected subject areas are focused on. …

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 …

In this paper, we analyze the gains from international diversification of investment portfolios from the Japanese as … investors. Second, using various 'ex ante' international investment strategies designed to control parameter uncertainty, U …, can gain little. Third, hedging exchange risk generally allows the U.S., but not Japanese, investors to benefit more from …

to past experience. This may assist with making decisions about selective hedging. Likewise, historical evidence may be … useful in evaluating expected returns from the use of put options. Results from simple hedging strategies using either …