The timing option embedded in a futures contract allows the short position to decide when to deliver the underlying asset during the last month of the contract period. <p> In this paper we derive, within a very general incomplete market framework, an explicit model independent formula for the...</p>

We present a flexible premium determination method for insurance products, in particular, for unemployment insurance products. The price is determined with the real-world pricing formula and under the assumption that the employment–unemployment progress of an insured person follows an F-doubly...

We study the pricing and hedging of derivatives in incomplete financial markets by considering the local risk-minimization method in the context of the benchmark approach, which will be called benchmarked local risk-minimization. We show that the proposed benchmarked local risk-minimization...

We study the pricing and hedging of derivatives in incomplete financial markets by considering the local risk-minimization method in the context of the benchmark approach, which will be called benchmarked local risk-minimization. We show that the proposed benchmarked local risk-minimization...

We develop the HJM framework for forward rates driven by affine processes on the state space of symmetric positive matrices. In this setting we find a representation for the long-term yield and investigate the yield's asymptotic behaviour.

In this paper we discuss the tractability of stochastic volatility models for pricing and hedging options with the mean-variance hedging approach. We characterize the variance-optimal measure as the solution of an equation between Doléans exponentials; explicit examples include both models...

We prove a stochastic maximum principle for controlled processes X(t)=X(u)(t) of the formdX(t)=b(t,X(t),u(t)) dt+[sigma](t,X(t),u(t)) dB(H)(t),where B(H)(t) is m-dimensional fractional Brownian motion with Hurst parameter . As an application we solve a problem about minimal variance hedging in...

Motivated by empirical evidence of long range dependence in macroeconomic variables like interest rates we propose a fractional Brownian motion driven model to describe the dynamics of the short and the default rate in a bond market. Aiming at results analogous to those for affine models we...