This study reconsiders the problem of hedging a liability by a portfolio made of a riskless asset and an underlying (underlying).

The age structure of the French population has been experiencing dramatic changes over the past decades and is likely to do so in a near future. The increasing proportion of the elder people may modify the savings behaviour of households. The level of savings, as well as its composition, may be...

The age structure of the French population has been experiencing dramatic changes over the past decades and is likely to do so in a near future. The increasing proportion of elder people may modify the savings behavior of French households. The level of savings, as well as its composition, may...

The age structure of the French population has been experiencing dramatic changes over the past decades and is likely to do so in a near future. The increasing proportion of elder people may modify the saving behaviour of French households. The level of saving, as well as its composition, may be...

La gestion alternative connaît actuellement un engouement certain, tant de la part des investisseurs que des gérants qui y voient une parade efficace à la volatilité des marchés financiers. Cet intérêt ne saurait cependant occulter les risques auxquels sont exposés les hedge funds. Cet...

We use in this chapter the viability/capturability approach for studying the problem of dynamic valuation and management of a portfolio with transaction costs in the framework of tychastic control systems (or dynamical games against nature) instead of stochastic control systems. Indeed, the very...

Given the increasing importance of funds of hedge funds in the development of the hedge fund industry and the cost-intensive nature of multi-manager structures, investors are questioning whether FoHF add value to an extent that justifies the extra layer of fees induced by their activity. To...