unfeasible and therefore the pricing of the assets becomes a simultaneous valuation problem, nonlinearly depending on the … the share and sell the riskless bond. More surprisingly we find that the representative asset-pricing-model overprices the …

We consider fundamental questions of arbitrage pricing arising when the uncertainty model incorporates volatility … uncertainty. With a standard probabilistic model, essential equivalence between the absence of arbitrage and the existence of an … martingale measure sets, in a dynamic trading framework under absence of prior depending arbitrage. We prove the existence of …

, hedging and super-hedging options for a large trader, utility maximization in illiquid markets and price impact models with …

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 …

transient nature of impact through a resilience function. For covered options, the pricing pde involves gamma constraints but is …

-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 …

start from two simple, economically motivated axioms, namely absence of arbitrage (in the sense of NUPBR) and absence of … relative arbitrage among all buy-and-hold strategies (called static efficiency). A valuation process for a payoff is then … valuing by absence of arbitrage alone. We show that this always yields put-call parity, although put and call values …

The article describes a global and arbitrage-free parametrization of the eSSVI surfaces introduced by Hendriks and … suggested in this article is faster and always guarantees an arbitrage-free fit of market data …

In this note, I study further the approach introduced in for the hedging of derivatives in incomplete markets via local …