In this paper, we elaborate a formula for determining the optimal strike price for a bond put option, used to hedge a position in a bond. This strike price is optimal in the sense that it minimizes, for a given budget, either Value-at-Risk or Tail Value-at-Risk. Formulas are derived for both...

In [Riesner, M., 2006. Hedging life insurance contracts in a Lévy process financial market. Insurance Math. Econom. 38, 599-608] the (locally) risk-minimizing hedging strategy for unit-linked life insurance contracts is determined in an incomplete financial market driven by a Lévy process. The...

Spot option prices, forwards and options on forwards relevant for the commodity markets are computed when the underlying process S is modelled as an exponential of a process xi with memory as, e.g., a Volterra equation driven by a Levy process. Moreover, the interest rate and a risk premium rho...