Unlike delta-hedging or similar methods based on Greeks, global hedging is an approach that optimizes some terminal … criterion that depends on the difference between the value of a derivative security and that of its hedging portfolio at … maturity or exercise. Global hedging methods in discrete time can be implemented using dynamic programming. They provide …

payoff functions that were first derived in the context of partial hedging by Föllmer and Leukert. Not only does this … approach better accommodate the realistic setting of hedging in discrete time, it also allows for the inclusion of transaction …

We solve the problem of optimal risk management for an investor holding an illiquid, alpha generating fund and hedging … and deleveraging, or keeping his current position in the illiquid instrument and hedging away some of the risk while …

This paper is the first to study the hedging of price risk with uncertain payment dates, a frequent problem in practice …. It derives a variance-minimizing hedging strategy for two settings, the first employing linear contracts with different …

of numerical methods for pricing, hedging, and risk management of financial instruments. …