portfolios with options: application to Nikkei futures and listed options. … cor-relations and volatility spillovers between crude oil and stock index returns, pricing exotic options using the Wang … transform, the rise and fall of S&P500 variance futures, predicting volatility using Markov switching multifractal model …

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

stock futures, the non-uniform pricing effect of employee stock options using quantile regression, nonlinear dynamics and …, with evidence from listed firms in Taiwan, pricing options on stocks denominated in different currencies, with theory and … simple model free volatility in a high frequency world, arbitrage-free implied volatility surfaces for options on single …

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 …

optimal policyholder behaviour. The binomial model results in explicitly formulated perfect hedging strategies funded using … relationship. Decompositions of the VA and GMWB contract into term-certain payments and options representing the guarantee and … early surrender features are extended to the binomial framework. We incorporate an approximation algorithm for Asian options …

strategy? Most studies identify four categories of tail risk management strategy: option-based hedging, asset allocation … and that define good tail risk management. Finally, we provide a comprehensive analysis of option-based tail hedging … strategies. The concepts of defensive, offensive, active and indirect tail hedging are discussed at length and examples of each …

futures contracts. We find that a small set of futures traded on major international exchanges are sufficient only for hedging … crucial for hedging their macroeconomic risks. The hedging is more effective in countries where export/import depends less on …