In this paper the term quot;good-deal pricingquot; stands for any pricing technique based on the absence of attractive investment opportunities - good deals - in equilibrium. The theory presented here shows that any such technique can be seen as a generalization of no-arbitrage pricing and that,...

This paper uses stochastic simulations on calibrated models to assess the steady state impact of different pension arrangements in an environment where financial markets are less than perfect. Surprisingly little is known about the optimal split between funded and unfunded systems when there are...

We show that the option hedging risk of an optimal, continuously rebalanced hedging strategy in an exponential Lévy model is well approximated by the risk taken from the discrete-time Black-Scholes model whose time step equals half of the excess kurtosis rate of the real-world stock returns....

The paper investigates quadratic hedging in a general semimartingale market that does not necessarily contain a risk-free asset. An equivalence result for hedging with and without numeraire change is established. This permits direct computation of the optimal strategy without choosing a...