We apply Geometric Arbitrage Theory to obtain results in mathematical finance for credit markets, which do not need … dynamics for credit market allowing for arbitrage possibilities. Moreover, arbitrage credit bubbles for both base credit assets … and credit derivatives are explicitly computed for the market dynamics minimizing the arbitrage …

This work presents a review of modeling techniques for pricing in incomplete markets and managing liquidity costs. We … generalizing Almgren et al. (2011)'s liquidity adverse impacts modeling and hedging strategies from standards of short-term high …

In this paper, we derive optimal hedging strategies for options in electricity futures markets. Optimality is measured … in terms of minimal variance and the associated minimal variance hedging portfolios are obtained by a stochastic maximum …

-neutral time dynamics. We further deduce a pricing formula for European options written on the precipitation swap and obtain the … minimal variance hedging portfolio in the underlying weather market. In the second part of the paper, we provide a … formula for the associated information premium and investigate minimal variance hedging of precipitation derivatives under …

many companies and financial investors, as they constitute useful hedging instruments against disadvantageous weather … CAT, CDD, and HDD futures. We finally deduce the minimal variance hedging portfolio in a specific temperature futures …

This paper considers the pricing and hedging of collateralized debt obligations (CDOs). CDOs are complex derivatives on … Schonbucher (2005). Moreover, we derive variance-minimizing hedging strategies for hedgeing single tranches with the full index …. The hedging strategies are given for the general case. We compute them also explicitly for a parsimonious one …

This paper presents a simulation study of hedging long-dated futures options, in the Rabinovitch (1989) model which … hedging instruments match the maturity of the option, forward contracts and futures contracts can hedge both the market risk … and the interest rate risk of the options positions. When the hedge is rolled forward with shorter maturity hedging …

This paper presents an empirical study on hedging long-dated crude oil futures options with forward price models … incorporating stochastic interest rates and stochastic volatility. Several hedging schemes are considered including delta, gamma …, vega and interest rate hedge. Factor hedging is applied to the proposed multi-dimensional models and the corresponding …

Classical option pricing theories are usually built on the law of one price, neglecting the impact of market liquidity …

also correlate electricity prices with outdoor temperature and treat a related pricing problem under supplementary …