the PF and PST copulas that allow a projection of the different aspects of dependence risk onto spread options elementary … trades. The proposed hedging methods for dependence risk are compared to alternatives in a numerical analysis in which we …In this paper we consider the problem of pricing and hedging European derivatives written on two underlying assets …

The combination of stochastic derivative pricing models and downside risk measures often leads to the paradox (risk … expected returns and very negative downside risk (henceforth "golden strategy") has only been studied if all the involved … multi-asset golden strategies for both the expected shortfall and the expectile risk measure, and shows that the use of …