-balancing frequencies on target volatility portfolios. We focus on the pricing and hedging of the European option linked to target … volatility portfolios. In particular, we investigate the impact of stochastic equity asset volatility on the pricing and hedging … of the European option linked to target volatility portfolios. We also consider different dynamic hedging strategies and …

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 …

We investigate the effect of including variance derivatives as calibration and hedging instruments for pricing and … hedging exotic structures. This is studied empirically using market data for SPX and VIX derivatives applied in a stochastic … volatility jump diffusion model …