We develop scenario-based stochastic programming models for hedging the risks of international portfolios using options … single-stage model with currency options for selective hedging of FX risks, while market risk is addressed only through … risk management. Simultaneous hedging of market and FX risks using stock and currency options yields the best ex …

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 …

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 …

solution for call options hedging under the exponential-Lévy class of price models. This approach leads to an efficient and …In this paper, we study the hedging problem based on the CVaR in incomplete markets. As the superhedging is quite … expensive in terms of initial capital, we construct a self-financing strategy that minimizes the CVaR of hedging risk under a …

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