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A robust approach to hedging and pricing in imperfect markets
Assa, Hirbod; Gospodinov, Nikolaj - In: Risks : open access journal 5 (2017) 3, pp. 1-20
This paper proposes a model-free approach to hedging and pricing in the presence of market imperfections such as market … incompleteness and frictions. The generality of this framework allows us to conduct an in-depth theoretical analysis of hedging … strategies with a wide family of risk measures and pricing rules, and study the conditions under which the hedging problem admits …
Persistent link: https://www.econbiz.de/10011688243
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A robust approach to hedging and pricing in imperfect markets
Assa, Hirbod; Gospodinov, Nikolay - In: Risks 5 (2017) 3, pp. 1-20
This paper proposes a model-free approach to hedging and pricing in the presence of market imperfections such as market … incompleteness and frictions. The generality of this framework allows us to conduct an in-depth theoretical analysis of hedging … strategies with a wide family of risk measures and pricing rules, and study the conditions under which the hedging problem admits …
Persistent link: https://www.econbiz.de/10011996659
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Hedge effectiveness of put replication, gold, and oil on ASEAN-5 equities
Robiyanto, Robiyanto; Nugroho, Bayu Adi; Handriani, Eka; … - In: Financial innovation : FIN 6 (2020) 53, pp. 1-29
-related portfolio should diversify to Philippine equity. From hedging effectiveness and risk-adjusted-performance perspectives, oil is …
Persistent link: https://www.econbiz.de/10012418412
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Endogenous incomplete markets, enforcement constraints, and intermediation
Ábrahám, Árpád; Cárceles-Poveda, Eva - In: Theoretical economics : TE ; an open access journal in … 1 (2006) 4, pp. 439-459
Alvarez and Jermann (2000) show that the constrained efficient allocations of endowment economies with imperfect risk sharing due to limited commitment can be decentralized as competitive equilibria with endogenous debt constraints that are not too tight. These are the loosest possible borrowing...
Persistent link: https://www.econbiz.de/10011702765
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Chapter 19. Market Liquidity—Theory and Empirical Evidence
Vayanos, Dimitri; Wang, Jiang - 2013
basic questions within that model. We review the empirical literature through the lens of the theory, using the theory to …
Persistent link: https://www.econbiz.de/10014025359
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Insiders' hedging in a stochastic volatility model
Park, Sang-Hyeon; Lee, Kiseop - In: IMA journal of management mathematics 27 (2016) 2, pp. 281-295
Persistent link: https://www.econbiz.de/10011567200
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Benchmarked risk minimization
Du, Ke; Platen, Eckhard - In: Mathematical finance : an international journal of … 26 (2016) 3, pp. 617-637
Persistent link: https://www.econbiz.de/10011583786
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Best-estimates in bond markets with reinvestment risk
MacKay, Anne; Wüthrich, Mario V. - In: Risks : open access journal 3 (2015) 3, pp. 250-276
The concept of best-estimate, prescribed by regulators to value insurance liabilities for accounting and solvency purposes, has recently been discussed extensively in the industry and related academic literature. To differentiate hedgeable and non-hedgeable risks in a general case, recent...
Persistent link: https://www.econbiz.de/10011300314
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Interest rate risk management and dynamic portfolio selections
Sun, Hang; Sun, Wan Gui - In: Modern economy 2 (2011) 4, pp. 674-679
Persistent link: https://www.econbiz.de/10009620650
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Robust hedging in incomplete markets
Shen, Sally; Pelsser, Antoon André Jean; Schotman, Peter C. - In: Journal of pension economics and finance 18 (2019) 3, pp. 473-493
Persistent link: https://www.econbiz.de/10012107932