If the creditworthiness of a counterparty is a derivative of a commodity price, there is the potential to have right … stage I subsume various models for optimal hedging under one general co-integrated model. In a worked example three models …

) Markovian setup. In particular we analyse the hedging performance of the original architecture under rough volatility models …We investigate the performance of the Deep Hedging framework under training paths beyond the (finite dimensional … architectures capable of capturing the non-Markoviantity of time-series. Secondly, we analyse the hedging behaviour in these models …

We investigate the optimal hedging strategy for a firm using options, where the role of production and basis risk are … portfolio is primarily affected by the amount of cash spent on the hedging. Also, we decompose the effect of production and … basis risk showing that the former affects hedging effectiveness while the latter drives the choice of the optimal contract …

In this paper we investigate the optimal hedging strategy for a firm using option contracts, where both the role of … which minimizes the shortfall of the hedged portfolio is primarily affected by the amount of cash spent on the hedging … program. Also, we decompose the effect of quantity and proxy risk showing that the latter greatly affects hedging …

use of computational methods and techniques for modelling financial asset prices, returns, and volatility, and on the use … of numerical methods for pricing, hedging, and risk management of financial instruments. …

stability. A case in point is the abrupt market crash of short volatility strategies on February 5th 2018. In this paper, we …

We propose a way to compute the hedging Delta using the Malliavin weight method. Our approach, which we name the l … approach is nonparametric, as we only assume a general local volatility model and we substitute the volatility and the other …

reliably characterize any random variable (in our case derivative) with just its first moment. • This lack of attention to … moments and “greeks”. The lack of focus of practitioners on such probabilities invites the next crisis situation. • Hedging of …

yields and negative volatility risk premia. This study proposes a hedging strategy for volatility as an asset class that …The challenge in long volatility strategies is to minimize the cost of carrying such insurance due to negative roll …) timely hedging strategy removes the extreme negative tail risk and reduces the negative skewness in exchange for slightly …