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Benchmark pricing of credit derivatives under a standard market model

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Perfect hedging of index derivatives under a locally arbitrage free minimal market model

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Fair pricing of weather derivatives

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Currency derivatives under a minimal market model with random scaling

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Benchmarked Risk Minimizing Hedging Strategies for Life Insurance Policies

Sun, Jin - 2019

Traditional life insurance policies offer no equity investment opportunities for the premium paid, and suffer from low returns over the long insurance terms. Modern equity-linked insurance policies offer equity investment opportunities exposed to equity market risk. To combine the low-risk of...

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Local risk-minimization under the benchmark approach

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A tractable model for indices approximating the growth optimal portfolio

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Local risk-minimization under the benchmark approach

Biagini, Francesca; Cretarola, Alessandra; Platen, Eckhard - In: Mathematics and financial economics 8 (2014) 2, pp. 109-134

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