Im Laufe des Jahres 1993 war die Metallgesellschaft Refining & Marketing (MGRM), eine US …

hedging risk. Even if this is not entirely possible, the replication approach serves as pricing benchmark for investors who … investors and the hedging of exposures remains dificult. This paper proposes to overcome these problems by introducing a call … attractiveness of gaining exposure to a previously non-traded risk. This setting further overcomes the problem of art market …

oil futures pricing and for the explanation of backwardation and contango situations. In an empirical study the hedging … performance of our model is compared with five other one- and two-factor pricing models. The hedging problem considered is related … the downside risk distribution of our inventory based model stochastically dominates those of the other models. …

function of both assets. We solve the mean-variance hedging prob- lem completely and prove that the optimal strategy consists …

, applications are given to the mean-variance hedging problem with random market conditions, and an explicit characterization for the … optimal hedging portfolio is given in terms of the adapted solution of the associated backward stochastic Riccati differential …

both the classical and the Föllmer-Schweizer hedging case. …