In this paper we derive the locally risk-minimizing hedging for a general contingent claim in an incomplete market via … hedge obtained via PDE approach. We see these hedging strategies, under weak conditions, are the same as the ones generated … by the PDE approach. Within the same model we establish the pricing and the locally risk-minimizing hedging formulas for …

measured in terms of minimal variance and the associated optimal hedging portfolio is derived by a stochastic maximum principle …

Derivatives pricing can be seen as extrapolation of the present (fit existing tradeable products like vanilla options … to price new ones like barrier options) and thatquantitative investment is an extrapolation of the past (fit past … patterns to predictthe future). In this book, we argue that derivatives pricing relies on extrapolation of both the present and …

lower- and upper-hedging problems, and somewhat unexpectedly, a facelift turns out to exist in utility-maximization despite …

Geometric Arbitrage Theory reformulates a generic asset model possibly allowing for arbitrage by packaging all assets … discounting and portfolio rebalancing, and whose curvature measures, in this geometric language, the ''instantaneous arbitrage … for arbitrage.Results, obtained by solving explicitly the Schrödinger equations by means of spectral decomposition of the …

Futures and Put Options -- Chapter 13: Using Options for Tail Risk Hedging -- Chapter 14: Bond Portfolio Hedging with U … Rate Risk in Life Insurance Using Interest Rate Derivatives -- Chapter 17: Hedging Systematic Risk in High Yield with … Equity Derivatives -- Chapter 18: Hedging the Mortgage Pipeline with To-Be-Announced (TBA) Securities -- Chapter 19 …