This paper is devoted to the problem of hedging contingent claims in the framework of a complete two-factor jump … determine the unique hedging strategies which minimize a suitably defined shortfall risk under a given cost constraint. We … derive explicit formulas for this so-called efficient or quantile hedging strategy for a European call option. We then …

This paper presents a novel framework for pricing and hedging of the Guaranteed Minimum Benefits (GMBs) embedded in …-switching model. Semi-closed form solutions for prices of various GMBs are derived; pricing and hedging is performed using an accurate …, fast and efficient Fourier Space Time-stepping (FST) algorithm, which allows deriving the Greeks required for hedging …

This paper solves the mean-variance hedging problem in Heston's model with a stochastic opportunity set moving … derive formulas for the hedging strategy and the hedging error …

This paper provides a theoretical and numerical analysis of robust hedging strategies in diffusion?type models … including stochastic volatility models. A robust hedging strategy avoids any losses as long as the realised volatility stays …

study the question what an investor can do who is unwilling to spend that much, and who is ready to use a hedging strategy … which succeeds with high probability. -- Hedging ; superhedging ; Neyman Pearson lemma ; stochastic volatility ; value at …

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 …

explicit optimal portfolios or hedging strategies under realistic assumptions …