Modifikation der Theorie der Stochastischen Integration zeigt der Autor, dass der Zustands-Präferenz-Ansatz in einer Version ohne …

for the integrated and consistent pricing and hedging, risk management, and trading of equity index derivatives as well as … volatility derivatives. In the first part, the book develops a unifying theory for the analysis of contingent claims under both …

optimal hedge ratio given the outcome of past hedging decisions and future expectations. The model implies that the optimal … 2015 and find strong evidence for the model's predictions. By adding a dynamic regret approach to the hedging and FX … literature we shed further light on the rationale behind selective hedging. …