This paper introduces a Monte Carlo simulation method for pricing multidimensional American options based on the computation of the optimal exercise frontier. We consider Bermudan options that can be exercised at a finite number of times and compute the optimal exercise frontier recursively. We...

We consider one-period maximin portfolios to hedge the interest-rate risk of default-free and option-free bond portfolios. Our framework allows for general changes on the interest rates, and neither requires the specification of the yield curve dynamic nor the estimation of a model. We make...

This paper addresses the hedging of bond portfolios interest rate risk by drawing on the classical one period no-arbitrage approach of Financial Economics (Ingersoll (1987)). Under quite weak assumptions on the interest rate behavior several shadow riskless assets are introduced by means of...