In this paper we consider the problem of pricing and hedging European derivatives written on two underlying assets … Power Frank (PF) and Power Student t (PST) copulas. Second, we address the problem of hedging portfolios made of two … trades. The proposed hedging methods for dependence risk are compared to alternatives in a numerical analysis in which we …

I study dynamic hedging for variable annuities under basis risk. Basis risk, which arises from the imperfect … correlation between the underlying fund and the proxy asset used for hedging, has a highly negative impact on the hedging … performance. I investigate whether the choice of a suitable hedging strategy can help to reduce the risk for the insurance company …

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

We develop scenario-based stochastic programming models for hedging the risks of international portfolios using options … single-stage model with currency options for selective hedging of FX risks, while market risk is addressed only through … risk management. Simultaneous hedging of market and FX risks using stock and currency options yields the best ex …

. Hedging strategies are robust with respect to uncertainty in the sense that their tracking errors satisfy a supermartingale …

-implied delta and delta-gamma hedging do not achieve minimum variance in the presence of price-volatility correlation, and these …-gamma-vega hedging strategies outperform the Black-Scholes approach as well as more sophisticated option hedging frameworks including …

We study a notion of good-deal hedging, that corresponds to good-deal valuation and is described by a uniform … supermartingale property for the tracking errors of hedging strategies. For generalized good-deal constraints, defined in terms of … market prices of risk of hedging assets, a robust approach leads to a reduction or even elimination of a speculative …

minimizes the cost of hedging a path dependent contingent claim with given expected success ratio, in a discrete-time, semi …-static market of stocks and options. Based on duality results which link quantile hedging to a randomized composite hypothesis test … measure, which guarantees the existence of the optimal hedging strategy and enables numerical calculation of the quantile …