This paper formalizes the idea that more hedging instruments may destabilize markets when traders are heterogeneous and …

essential in analyzing optimal hedging and export decisions. When the spot exchange rate and the futures exchange rate are …

This paper analyzes optimal hedging of a tradable risk (e.g. price risk or exchange rate risk) with forward contracts … noise, cross hedging and speculating on the real risk premium are conflicting objectives; the level of relative risk …

This paper investigates corporate hedging under regret aversion. Regret-averse firms try to avoid deviations of their … hedging policy from the ex post best policy, an intuitive consideration if one has to justify one's decisions afterward. The … downside price risk than standard expected utility theory. In the profit region of the price distribution, however, regret …

This paper proposes a robust 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 … proposed theoretical approach are illustrated with an application on hedging economic risk. …

Based upon the foundations of mean-variance decision-making theory, we demonstrate that a change in the risk situation … of an international enterprise open currency position does not inevitably require a corresponding hedging accommodation …. Given a new risk situation, whether a revision of the hedging-strategy is appropriate will depend upon the elasticity of …

We investigate the pricing of basket credit derivatives and their hedging with single name credit default swaps (CDS … pure jump filtration, we present an extremely efficient approach to pricing and study explicit hedging strategies. …

We consider the problem of option hedging in a market with proportional transaction costs. Since super-replication is … very costly in such markets, we replace perfect hedging with an expected loss constraint. Asymptotic analysis for small … transaction costs is used to obtain a tractable model. A general expansion theory is developed using the dynamic programming …