In a complete financial market every contingent claim can be hedged perfectly. In an incomplete market it is possible to stay on the safe side by superhedging. But such strategies may require a large amount of initial capital. Here we study the question what an investor can do who is unwilling to spend that much, and who is ready to use a hedging strategy which succeeds with high probability
AbstractGiven an underlying complete financial market, we study contingent claims whose payoffs may ...
This thesis analyzes models of financial markets that incorporate the possibility of arbitrage oppor...
Some financial problems as minimizing the shortfall risk when hedging in incomplete markets lead to ...
In a complete financial market every contingent claim can be hedged perfectly. In an incomplete mark...
Abstract. In a complete financial market every contingent claim can be hedged perfectly. In an incom...
An investor faced with a contingent claim may eliminate risk by (super-)hedging in a financial marke...
The paper is devoted to the problem of quantile hedging of contingent claims in the framework of a m...
mail foellmermathematikhu berlinde leukertmathematikhu berlinde Abstract An investor faced with a ...
The problem of quantile hedging for American claims is studied from the perspective of the buyer of ...
This paper gives an overview of the results and developments in the area of hedging contingent claim...
This paper characterizes the upper hedging price for a contingent claim in an incomplete market in d...
In incomplete financial markets not every contingent claim can be replicated by a self-financing str...
We study the problem of finding the minimal initial capital needed in order to hedge without risk a ...
Following the framework of Cetin et al. (finance stoch. 8:311-341, 2004), we study the problem of su...
This paper provides a theoretical and numerical analysis of robust hedging strategies in diffusion–t...
AbstractGiven an underlying complete financial market, we study contingent claims whose payoffs may ...
This thesis analyzes models of financial markets that incorporate the possibility of arbitrage oppor...
Some financial problems as minimizing the shortfall risk when hedging in incomplete markets lead to ...
In a complete financial market every contingent claim can be hedged perfectly. In an incomplete mark...
Abstract. In a complete financial market every contingent claim can be hedged perfectly. In an incom...
An investor faced with a contingent claim may eliminate risk by (super-)hedging in a financial marke...
The paper is devoted to the problem of quantile hedging of contingent claims in the framework of a m...
mail foellmermathematikhu berlinde leukertmathematikhu berlinde Abstract An investor faced with a ...
The problem of quantile hedging for American claims is studied from the perspective of the buyer of ...
This paper gives an overview of the results and developments in the area of hedging contingent claim...
This paper characterizes the upper hedging price for a contingent claim in an incomplete market in d...
In incomplete financial markets not every contingent claim can be replicated by a self-financing str...
We study the problem of finding the minimal initial capital needed in order to hedge without risk a ...
Following the framework of Cetin et al. (finance stoch. 8:311-341, 2004), we study the problem of su...
This paper provides a theoretical and numerical analysis of robust hedging strategies in diffusion–t...
AbstractGiven an underlying complete financial market, we study contingent claims whose payoffs may ...
This thesis analyzes models of financial markets that incorporate the possibility of arbitrage oppor...
Some financial problems as minimizing the shortfall risk when hedging in incomplete markets lead to ...