We develop a generic method for constructing a weak static minimum variance hedge for a wide range of derivatives that may involve optimal exercise features or contingent cash flow streams to provide a hedge along a sequence of future hedging dates. The optimal hedge is constructed using a...

We consider an investor maximizing his expected utility from terminal wealth with portfolio decisions based on the available information flow. This investor faces the opportunity to acquire some additional initial information ${\cal G}$. His subjective fair value of this information is defined...

Asset prices discounted by a tradable numeraire N should be (local) martingales under some measure Q that is equivalent to the original probability measure P. Instead of studying the set of equivalent martingale measures with respect to a prespecified numeraire, we will look for a tradable...