We reveal pitfalls in the hedging of insurance contracts with a minimum return guarantee on the underlying investment, e.g.\ an external mutual fund. We analyze basis risk entailed by hedging the guarantee with a dynamic portfolio of proxy assets for the funds. We also take account of liquidity...

The utility maximisation problem is considered for investors with anticipative additional information. We distinguish between models with conditional measures and models with enlarged filtrations. The dual functions of the maximal expected utility are determined with the help of f-divergences....

We present a discrete time model that allows for a price-sensitive closure of a large asset position, providing thus a device to introduce skewness in the proceeds/costs. By appealing to dynamic programming we derive semi-explicit formulas for the optimal execution strategies. We then present a...

Consider an agent with a forward position of an illiquid asset (e.g. a commodity) that has to be closed before delivery. Suppose that the liquidity of the asset increases as the delivery date approaches. Assume further that the agent has two possibilities for hedging the risk inherent in the...