In this paper, we derive optimal hedging strategies for options in electricity futures markets. Optimality is measured … in terms of minimal variance and the associated minimal variance hedging portfolios are obtained by a stochastic maximum …

hedge ratio. Extensive out-of-sample tests give insights in the practice of hedging various cryptos and crypto indices … dependence structures between BTC-not-involved assets and the futures. As a consequence, results of hedging other assets and …

We investigate the effect of including variance derivatives as calibration and hedging instruments for pricing and … hedging exotic structures. This is studied empirically using market data for SPX and VIX derivatives applied in a stochastic …

constant maturity swap (CMS) derivative is performed under the forward measure corresponding to the payment date. In this paper … generalized static replication approach for hedging the in-arrears clean index principal swaps and annuity options …

In this paper we consider the problem of hedging an arithmetic Asian option with discrete monitoring in an exponential … to the hedging error and the impact of model error on the quality of the chosen hedging strategy. The numerical analysis … shows the impact of jump risk on the hedging error of the option position, and the importance of including traded options in …

rainfall risk than the rainfall bonds and the capital requirement for an effective hedging of the rainfall insurance portfolio …

This paper presents a simulation study of hedging long-dated futures options, in the Rabinovitch (1989) model which … hedging instruments match the maturity of the option, forward contracts and futures contracts can hedge both the market risk … and the interest rate risk of the options positions. When the hedge is rolled forward with shorter maturity hedging …