We consider the problem of option hedging in a market with proportional transaction costs. Since super-replication is … very costly in such markets, we replace perfect hedging with an expected loss constraint. Asymptotic analysis for small …

, allows the volatility to be arbitrarily close to zero and to reach its minimum for non-zero innovations, and is appropriate …

, allows the volatility to be arbitrarily close to zero and to reach its minimum for non-zero innovations, and is appropriate …

the asymmetry that is related to the past return to volatility component in GARCH models, we test for the statistical …

This article brings new insights on the role played by (implied) volatility on the WTI crude oil spot price. An … increase in the volatility subsequent to an increase in the oil price (i.e. inverse leverage effect) remains the dominant … increase in the oil price subsequent to an increase in the volatility (i.e. inverse feedback effect) with a two-day delayed …

structured product specific to the carbon market, the swap between two carbon instruments : The European Union Allowances and the …

mainly upon jump diffusions and generalized hyperbolic distributions. These models are used for pricing and hedging of carbon … options. We estimate the pricing accuracy of each model and the capacity to provide an efficient dynamic hedging. …

'orientation communautaire de l'échange de cadeaux mériterait d'être enrichie. Ainsi, en prenant l'exemple du swap de cadeaux sur Internet, nous …

several modelling methods for CO2 emission prices. We use these results for risk modeling of the swap between two CO2 related …

also more exotic features such as combinations of single and double barriers. Price properties and hedging issues are …