which succeeds with high probability. -- Hedging ; superhedging ; Neyman Pearson lemma ; stochastic volatility ; value at …

stochastic volatility or jumps in consumption process. Such a framework can reasonably match the mean variance premium as well as … the mean equity premium, equity volatility, and the mean risk-free rate in the data. We find that about 96 percent of the …

-)hedge, depending on the accepted level of shortfall risk. -- risk management ; stochastic volatility ; shortfall risk ; Hedging …

the maxumum Distributable Amount not being exceeded. We examine the impact of CoCo design parameters, asset volatility and …

the pricing of European-style foreign currency options and for the volatility strike structure implicit in these contracts … is devoloped. The curvature of the volatility strike structure is explained by focusing attention on the expected … characteristic convex shape of volatility strike structures documented in the empirical literature. A volatility-based test for …

often ignores the volatility smile, which is quite pronounced in the interest rate options market. This note solves the … thereby taking into account the volatility smile. This idea is known among practitioners for pricing CMS caps. We approach the …

financial market that features volatility uncertainty. To have a mathematical consistent framework we use the notion of G … this more complex situation and consider stock price dynamics which exclude arbitrage opportunities. Due to volatility … claims and deduce explicit results in a Markovian setting. -- Pricing of contingent claims ; incomplete markets ; volatility …