We study the problem of optimally hedging exotic derivatives positions using a combination of dynamic trading strategies in underlying stocks and static positions in vanilla options when the performance is quantified by a convex risk measure. We establish conditions for the existence of an...

We consider an investor who maximizes expected exponential utility of terminal wealth, combining a static position in derivative securities with a traditional dynamic trading strategy in stocks. Our main result, obtained by studying the strict concavity of the utility-indifference price as a...

We study the problem of optimally hedging exotic derivatives positions using a combination of dynamic trading strategies in underlying stocks, and static positions in vanilla options when the performance is quantified by a convex risk measure. We establish conditions for the existence of an...

We investigate the partial hedging problem in financial markets with a large agent. An agent is said to be large if his/her trades influence the equilibrium price. We develop a stochastic differential equation (SDE) with a single large agent parameter to model such a market. We focus on...

We consider the problem of partial hedging of derivative risk in a stochastic volatility environment. It is related to state-dependent utility maximization problems in classical economics. We derive the dual problem from the Legendre transform of the associated Bellman equation and interpret the...

Optimal trading strategies are found for an insider who is trading in two convergent stocks and is bound by margin constraints.

Coarse woody debris (CWD) is crucial for maintaining biodiversity in forests but conservation measures to increase CWD must be performed cost efficiently. We estimate least-cost combinations of CWD-increasing measures in a spruce-dominated Swedish forest estate. Specifically, we investigate how...