Can shorter maturity European options be statically hedged with longer maturity plain vanilla options? This problem appears for example when analyzing options on forwards in relation to liquid options on the spot underlying. Under mild assumptions on the underlying security price process and on...

We investigate the pricing of basket credit derivatives and their hedging with single name credit default swaps (CDS) based on a model for the joint dynamics of the fair CDS spreads. In the situation of the market flow of information being a pure jump filtration, we present an extremely...

Das Geschäft mit Derivaten und strukturierten Finanzprodukten ist verstärkter Kritik ausgesetzt. Ziel des Aufsatzes ist die kritische Auseinandersetzung mit den Thesen der Kritiker und der Rolle der Bank bei den genannten Geschäften. -- Derivate ; strukturierte Produkte ; Bewertung ;...

We investigate the pricing of basket credit derivatives and their hedging with single name credit default swaps (CDS) based on a model for the joint dynamics of the fair CDS spreads. In the situation of the market flow of information being a pure jump filtration, we present an extremely...

The cryptocurrency (CC) market is volatile, non-stationary and non-continuous. Together with liquid derivatives markets, this poses a unique opportunity to study risk management, especially the hedging of options, in a turbulent market. We study the hedge behaviour and effectiveness for the...

The cryptocurrency (CC) market is volatile, non-stationary and non-continuous. This poses unique challenges for pricing and hedging CC options. We study the hedge behaviour and effectiveness for a wide range of models. First, we calibrate market data to SVI-implied volatility surfaces, which in...

The introduction of derivatives on Bitcoin enables investors to hedge risk exposures in cryptocurrencies. Because of volatility swings and jumps in cryptocurrency prices, the traditional variance-based approach to obtain hedge ratios is infeasible. As a consequence, we consider two extensions of...

Starting from well-known empirical stylised facts of financial time series, we develop dynamic portfolio protection trading strategies based on econometric methods. As a criterion for riskiness we consider the evolution of the value-at-risk spread from a GARCH model with normal innovations...