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. …

We use Malliavin calculus and the Clark-Ocone formula to derive the hedging strategy of an arithmetic Asian Call option … motion, which allows us to express hedging strategy and price of the Asian option as an analytic, that is closed form …

We show that the option hedging risk of an optimal, continuously rebalanced hedging strategy in an exponential Lévy … additionally performed for some popular suboptimal hedging strategies, with the same conclusion …

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

To analyze the economic significance of pricing errors of stock index options, a system of linear inequalities is … developed which completely characterizes all risk arbitrage opportunities which arise if a well-behaved pricing kernel does not … exist. The Stochastic Arbitrage system can account for market imperfections in the form of transactions costs and general …

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 …

optimal policyholder behaviour. The binomial model results in explicitly formulated perfect hedging strategies funded using … relationship. Decompositions of the VA and GMWB contract into term-certain payments and options representing the guarantee and … early surrender features are extended to the binomial framework. We incorporate an approximation algorithm for Asian options …

and state-space scenario tree to price GDP-linked bonds. As a by-product of the model we obtain a hedging portfolio. Using …

and state-space scenario tree to price GDP-linked bonds. As a byproduct of the model, we obtain a hedging portfolio. Using …

Hedging at-the-money digital options near maturity, remains a challenge in quantitative finance. In the present work …, we carry out a hedging strategy by means of a bull spread. We study the probability of super- and sub-hedge the digital … option and minimize the probability of a sub-hedge considering the cost of hedging and illiquidity issues. We perform a wide …