Traditional life-cycle models conclude that individuals should be fully invested in stocks when young -- in stark contrast to observed stock holdings -- and then gradually replace stocks with bonds as retirement is approaching. We show that a carefully specified and calibrated model of...

This paper deals with the superhedging of derivatives on incomplete markets, i.e. with portfolio strategies which generate payoffs at least as high as that of a given contingent claim. The simplest solution to this problem is in many cases a static superhedge, i.e. a buy-and-hold strategy...

Zinsderivate wie Swaps, Caps, Forwards oder Futures ermöglichen auf vielfältige Weise das Management von Zinsrisiken. Die Bewertung dieser Kontrakte erscheint jedoch meist wesentlich schwieriger und anspruchsvoller als die Bewertung von Aktien- oder Währungsderivaten, da Anleihen besondere...

We analyze pricing models for VIX derivatives which account for the theoretical link to stock options, taking Log-VIX models as a benchmark. We focus on up to three risk factors to model variance risk. To assess the performance of the models, we do not only look at the pricing errors, but also...