HEDGING

作品数：68被引量：60H指数：5
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On the pricing and hedging of precipitation derivatives
《Probability, Uncertainty and Quantitative Risk》2024年第4期499-528,共30页Markus Hess 
In this paper,we present a new precipitation model based on a multi-factor Ornstein-Uhlenbeck approach of pure-jump type.In this setup,we derive a representation for the related precipitation swap price process and in...
关键词：Precipitation model Precipitation swap price Minimal variance hedging.Option pricing Information premium Future information Stochastic differential equation Enlarged filtration Stochastic maximum principle Malliavin calculus Fourier transform 
CVaR-hedging and its applications to equity-linked life insurance contracts with transaction costs
《Probability, Uncertainty and Quantitative Risk》2021年第4期343-368,共26页Alexander Melnikov Hongxi Wan 
Natural Sciences and Engineering Research Council of Canada(Grant No.RES0043487).
This paper analyzes Conditional Value-at-Risk(CVaR)based partial hedging and its applications on equity-linked life insurance contracts in a Jump-Diffusion market model with transaction costs.A nonlinear partial diffe...
关键词：Conditional Value-at-Risk Jump-diffusion model Option pricing Transaction costs Equity-linked life insurance contracts 
Efficient hedging under ambiguity in continuous time
《Probability, Uncertainty and Quantitative Risk》2020年第1期135-153,共19页Ludovic Tangpi 
It is well known that the minimal superhedging price of a contingent claim is too high for practical use.In a continuous-time model uncertainty framework,we consider a relaxed hedging criterion based on acceptable sho...
关键词：Superhedging model ambiguity Acceptance set Risk measure Optimized certainty equivalent Volatility uncertainty 
Arbitrage-free pricing of derivatives in nonlinear market models被引量：1
《Probability, Uncertainty and Quantitative Risk》2018年第1期29-84,共56页Tomasz R.Bielecki Igor Cialenco Marek Rutkowski 
The objective of this paper is to provide a comprehensive study of the no-arbitrage pricing of financial derivatives in the presence of funding costs,the counterparty credit risk and market frictions affecting the tra...
关键词：ARBITRAGE HEDGING Fairprice Funding cost Marginagreement Marketfriction BSDE 
Good deal hedging and valuation under combined uncertainty about drift and volatility被引量：1
《Probability, Uncertainty and Quantitative Risk》2017年第1期294-333,共40页Dirk Becherer Klebert Kentia 
the German Science Foundation,Berlin Mathematical School and RTG 1845 for support,and Xiaolu Tan for helpful discussions.
We study robust notions of good-deal hedging and valuation under combined uncertainty about the drifts and volatilities of asset prices.Good-deal bounds are determined by a subset of risk-neutral pricing measures such...
关键词：Combined drift and volatility uncertainty Good-deal bounds Robust hedging Hedging to acceptability Second-order BSDE Stochastic control 
Pathwise no-arbitrage in a class of Delta hedging strategies
《Probability, Uncertainty and Quantitative Risk》2016年第1期61-85,共25页Alexander Schied Iryna Voloshchenko 
support by Deutsche Forschungsgemeinschaft through the Research Training Group RTG 1953.
We consider a strictly pathwise setting for Delta hedging exotic options,based on Follmer’s pathwise It¨o calculus.Price trajectories areˆd-dimensional continuous functions whose pathwise quadratic variations and co...
关键词：Pathwise hedging Exotic options Pathwise arbitrage Pathwise Ito calculus Follmer integral Local volatility Functional Ito formula Functional Cauchy problem on path space 
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