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 …

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 …

We use Malliavin calculus and the Clark-Ocone formula to derive the hedging strategy of an arithmetic Asian Call option … motion, which allows us to express hedging strategy and price of the Asian option as an analytic, that is closed form …