procedure. I parameterize the underlying exchange rate process as a mixture of log-normals, price the options using Monte Carlo …

sensitivities to chosen risk factors. I test these portfolios empirically and find that options signifi cantly improve the risk …

hedging product for the spot market, and the demand for this product is high when the market becomes risky: more risk averse …

We study the valuation and hedging of unit-linked life insurance contracts in a setting where mortality intensity is …. We also show that the induced hedging strategies indeed produce a dynamic superhedge and subhedge under the statistical … by finite difference methods. For our contracts and choice of parameters the pricing and hedging is fairly robust with …

This paper provides a theoretical and numerical analysis of robust hedging strategies in diffusion?type models … including stochastic volatility models. A robust hedging strategy avoids any losses as long as the realised volatility stays …

When options are traded, one can use their prices and price changes to draw inference about the set of risk factors and … option hedging errors. We derive a closed-form solution for the option hedging error and its expecta- tion in a stochastic …, the expected hedging error cannot identify the exact structure of the compensation for jump risk. Furthermore, we derive …