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 strategies for a wide family of risk measures and...

The objective of this paper is to analyze what are the main determinants of the exchange rate risk premium (ERP). The empirical case is conducted for the daily Mexican peso-USD exchange rate for a sample period from 2007 until 2015. According to the results the ERP is influenced by several...

In this paper we examine the nonlinear relation between the EUA price and its fundamentals, such as energy prices, macroeconomic risk factors and weather conditions. By estimating a Markov regime-switching model, we find that the relation between the EUA price and its fundamentals varies over...

The intertemporal approach to the current account suggests modeling movements in the current account in a forward-looking, dynamic framework. In this framework, the current account reflects consumption smoothing of agents that lend and borrow from the rest of the world in the face of transitory...

A regime switching model in continuous time is introduced where a variety of jumps are allowed in addition to the diffusive component. The characteristic function of the process is derived in closed form, and is subsequently employed to create the likelihood function. In addition, standard...

This article studies four transform pricing methods in the context of generalequilibrium (GE) framework. The four methods, viz. the Esscher transform, indifferencepricing, the Wang transform, and the standard deviation loading, arepopular among actuarial literature and practice. The transform...

In this paper we model the adjustment process of European Union Allowance(EUA) prices to the releases of announcements at high-frequency controlling forintraday periodicity, volatility clustering and volatility persistence. We ¯nd thatthe high-frequency EUA price dynamics are very well captured...

The intertemporal approach to the current account suggests modeling movements in the current account in a forward-looking, dynamic framework. In this framework, the current account reflects consumption smoothing of agents that lend and borrow from the rest of the world in the face of transitory...

With the celebrated model of Black and Scholes in 1973 the development of modern option pricing models started. One of the assumptions of the Black and Scholes model is that the risky asset evolves according to a geometric Brownian motion which implies normally distributed log-returns. As...

On the basis of real data sets it is shown that splitting a questionnaire survey according to technical rather than qualitative criteria can reduce costs and respondent burden remarkably. Household interview surveys about media and consuming behavior are analyzed and splitted into components....