formula holds for subordinated Brownian motion and, this representation is useful in developing simple and tractable hedging … strategies (the Greeks) in jump-type derivatives market as opposed to more complex jump models. …

complexity and allow us to price Bermudan options with frequent exercise opportunities in high dimensions, as illustrated by the … provided numerical experiments. As a by-product, these methods also derive a hedging strategy for the option, which can also be …

order to numerically compute the prices of options. The data consist of more than 5000 call- and put-options from the German …

. With the increased use of derivatives, there is a need for a framework that aligns fundamental terminology and concepts …

We divide hedging methods between single-period and multi-period. After reviewing some well-known hedging algorithms … multi-period, cointegration-based hedging method that estimates the holdings that are most likely to deliver a hedging error … absent of unit root. The latter is a single-period method that studies the geometry of the hedging errors and estimates a …

We solve the problem of pricing and hedging Asian-style options on energy with a quadratic risk criterion when trading … to this combined continuous-discrete quadratic hedging problem if the future price process is a special semimartingale …

In this paper, we derive optimal hedging strategies for options in electricity futures markets. Optimality is measured … in terms of minimal variance and the associated minimal variance hedging portfolios are obtained by a stochastic maximum …

for a specific interest rate portfolio. The recent financial crisis showed that risk management of derivatives portfolios …-line controlling and monitoring of derivatives portfolio. The portfolios should be designed in a way that risk and return be quantified …