Pricing and Hedging of Forwards, Futures and Swaps by Change of Numéraire

We derive prices and hedging strategies for some contingent claims which were treated by Jamshidian [12]. For this we discuss price functionals and the technique of "change of numeraire" in a general semimartingale framework. These tools allow us to develop a unified method based on the explicit computation of the price processes via the multiplicative Doob-Meyer decomposition and the assumption that certain (co-)variation processes have a deterministic terminal value. Keywords: price functionals, change of numeraire, hedging strategies AMS 1991 subject classification: 90A09, 60H30 # Support of the Deutsche Forschungsgemeinschaft (SFB 373, Humboldt-Universit at zu Berlin) is gratefully acknowledged. 1 Introduction In his 1995 article "Hedging Quantos, Di#erential Swaps and Ratios" F. Jamshidian [12] prices a variety of contingent claims by means of explicitly given hedging strategies. However, these strategies are presented somehow ad hoc without being derived in a systematic manne..