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This is the revised version of my dissertation. The dissertation covers pricing and hedging of volatiluty derivatives …, Dupire, Heston), Heston-type models with semi-closed forms, algorithms to perform parameter hedging with linear programming …
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The paper discusses the problem of hedging not perfectly replicable contingent claims by using a benchmark, the … pricing and hedging for an increasing number of not fully replicable benchmarked contingent claims …
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The paper discusses the problem of hedging not perfectly replicable contingent claims by using a benchmark, the … pricing and hedging for an increasing number of not fully replicable benchmarked contingent claims …
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