derivatives and risk management. Many of the articles contain path-breaking insights that are relevant to the developing new order …: Strategies and Pricing Implications <i>(Attakrit Asvanunt, Mark Broadie and Suresh Sundaresan)</i></li> <li>Valuation and Hedging …>(Marco Frittelli and Marco Maggis)</i></li> <li>Pricing of Perpetual American Options in a Model with Partial Information <i>(Pavel V …

which the risk management and hedging needs of investors may be effectively met through the derivative instruments. However …. And yet, more and more companies are using(or being forced to use) futures and derivatives to stay competitive in a fast …

, portfolio constraints can lead to situations where not all arbitrage opportunities are necessarily eliminated in equilibrium …. For a world with portfolio constraints the concept of no arbitrage has to be replaced by a weaker concept which we call no … unlimited arbitrage. Second, though we can characterize prices which allow no unlimited arbitrage by the existence of certain …

, portfolio constraints can lead to situations where not all arbitrage opportunities are necessarily eliminated in equilibrium …. For a world with portfolio constraints the concept of no arbitrage has to be replaced by a weaker concept which we call no … unlimited arbitrage. Second, though we can characterize prices which allow no unlimited arbitrage by the existence of certain …

The aim of this paper is to develop a hedging methodology for making a portfolio of options delta, vega and gamma … neutral by taking positions in other available options, and simultaneously minimizing the net premium to be paid for the … hedging. A quadratic programming solution for the problem is formulated, and then it is approximated to a linear programming …

formula holds for subordinated Brownian motion and, this representation is useful in developing simple and tractable hedging … strategies (the Greeks) in jump-type derivatives market as opposed to more complex jump models. …

We develop scenario-based stochastic programming models for hedging the risks of international portfolios using options … single-stage model with currency options for selective hedging of FX risks, while market risk is addressed only through … risk management. Simultaneous hedging of market and FX risks using stock and currency options yields the best ex …

We show that the option hedging risk of an optimal, continuously rebalanced hedging strategy in an exponential Lévy … additionally performed for some popular suboptimal hedging strategies, with the same conclusion …