When using derivative instruments such as futures to hedge a portfolio of risky assets, the primary objective is to … robust OHR to construct a dynamic hedging strategy for daily returns on the FTSE100 index using index futures. We estimate … the variance of the standard OHR, substantially reducing the transaction costs that are associated with dynamic hedging …

In this thesis we discuss option pricing and hedging under regime switching models. To the standard model we add jumps … hedging options under finitely many regime states and with finitely many possible jump sizes. We find risk-free hedge …

resultierende Faktor-Hedging von Barrier Optionen gerichtet. … volatility dynamics and resulting factor hedging of barrier options. …

Established in 1988, the Shingo Prize for Operational Excellence recognises organisations in the USA, Mexico and Canada …

effect). This study has practical implications for regulators, corporations and investors, both in the USA and abroad. …