We investigate the effect of including variance derivatives as calibration and hedging instruments for pricing and … hedging exotic structures. This is studied empirically using market data for SPX and VIX derivatives applied in a stochastic …

and momentum strategies in futures markets across asset classes. We construct optimal carry and momentum portfolios from … that the predictability of expected returns in futures markets reflects the scarcity of speculative capital and is …

generalized static replication approach for hedging the in-arrears clean index principal swaps and annuity options …

, the implied adjustments in capital charges could be reduced by hedging a credit derivative portfolio with a contrary …

The financial crisis has raised concerns throughout the industry on the possibility that hedging credit valuation … products break down. So, we provide an estimation of the basis risk that arises when hedging credit portfolios with different …

study the question what an investor can do who is unwilling to spend that much, and who is ready to use a hedging strategy … which succeeds with high probability. -- Hedging ; superhedging ; Neyman Pearson lemma ; stochastic volatility ; value at …

An investor faced with a contingent claim may eliminate risk by (super-)hedging in a financial market. As this is often …-)hedge, depending on the accepted level of shortfall risk. -- risk management ; stochastic volatility ; shortfall risk ; Hedging …

Taking a portfolio perspective on option pricing and hedging, we show that within the standard Black …-Scholes-Merton framework large portfolios of options can be hedged without risk in discrete time. The nature of the hedge portfolio in the … values of the options in our framework are driven by systematic and idiosyncratic risk factors. Instead of linearly (delta …

typically uses the so-called delta-hedging strategy. This strategy stems from the Black-Merton-Scholes model where it perfectly … in practice the delta-hedging strategy is widely used and its potential shortcoming in models with jumps is disregarded … a complete model with jumps where the delta-hedging strategy is well-defined for regular payoff functions and is …