equilibrium with multiple equilibria and microeconomic agents, basis trading with arbitrage strategies, and the hedging response …

hedge ratio. Extensive out-of-sample tests give insights in the practice of hedging various cryptos and crypto indices … dependence structures between BTC-not-involved assets and the futures. As a consequence, results of hedging other assets and …

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 …

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 …

approval data, we discuss the pricing of FDA hedges and mechanisms under which they can be traded and estimate issuer returns …

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