, the implied adjustments in capital charges could be reduced by hedging a credit derivative portfolio with a contrary …

This paper investigates the pricing/hedging conundrum, i.e. the observation of a mismatch between derivatives models …' pricing and hedging performances, that has so far been under-emphasized as the literature tends to focus on increasingly … complicated option pricing models, without adequately addressing hedging performance. Hence, we analyze the ability of the Black …

shows the impact of jump risk on the hedging error of the option position, and the importance of including traded options in …In this paper we consider the problem of hedging an arithmetic Asian option with discrete monitoring in an exponential … to the hedging error and the impact of model error on the quality of the chosen hedging strategy. The numerical analysis …

The behavior of the implied volatility surface for European options was analyzed in details in [Zumbach and Fernandez …-product approximation for realistic prices can be used to analyze in depth European options on the SP500. The cross-product approximation is … comparison shows that the cost of hedging and the replication risk premium have contributions to the implied volatility smile …

We investigate the effect of including variance derivatives as calibration and hedging instruments for pricing and … hedging exotic structures. This is studied empirically using market data for SPX and VIX derivatives applied in a stochastic …

and momentum strategies in futures markets across asset classes. We construct optimal carry and momentum portfolios from … that the predictability of expected returns in futures markets reflects the scarcity of speculative capital and is …

of multi-factor model, we demonstrate how to calculate the optimal hedging ratio for VIX future to hedge VIX option. We … different hedge ratios for VIX options …

replication. Our replication methodology relies on a set of investable dynamic risk factors extracted from futures contract prices …

The empirical study analyzes derivative hedging strategies that can be implemented for an investor who has been holding … between SASOL's stock and the JSE Top 40 Index changes, this empirical report recommends a different derivative hedging … execution of a derivative hedging strategy does not mean that no losses will be incurred, but that ideally, the overall net …