It is well-known that Gaussian hedging strategies are robust in the sense that they always lead to a cost process of … hedging instruments from a given set of traded assets, in particular of zero coupon bonds, is studied. Misspecified hedging …

This paper provides a theoretical and numerical analysis of robust hedging strategies in diffusion?type models … including stochastic volatility models. A robust hedging strategy avoids any losses as long as the realised volatility stays …

in discrete time. Therefore, the hedging bias which originates from the effects of time-discretising strategies is … analysed. It turns out that a systematic hedging bias can only be avoided if a discrete-time hedging model is used. It is shown … how the robustness property for convex payoffs is recovered while at the same time the hedging bias is avoided. …

decomposition to the problem of hedging European and American style contingent claims in a setting of incomplete security markets. …

, is the risk management of the embedded options by a tractable and realistic hedging strategy. The long maturity of life …