Add to ORKGIn both complete and incomplete markets we consider the problem of fulfillinga financial obligation x as well as possible at time T if the initial capital is notsufficient to hedge x. This introduces a new risk into the market and our mainaim is to minimize this shortfall risk by making use of results from bsde theory
Some financial problems as minimizing the shortfall risk when hedging in incomplete markets lead to ...
We are motivated by the latest statistical facts that weather directly affects about 20% of the U.S....
In incomplete financial markets not every contingent claim can be replicated by a self-financing str...
In this thesis, we describe a BSDE approach to hedging with basic risk, useful when dealing with ris...
We provide fully analytical, optimal dynamic hedges in incomplete markets by employing the tradition...
Despite much work on hedging in incomplete markets, the literature still lacks tractable dynamic hed...
Summary: This article attempts to extend the complete market option pricing theory to in-complete ma...
Abstract. Shortfall risk is considered by taking some exposed risks because the superhedging price i...
In practice the hedging process does not satisfy the assumptions of the Black-Scholes model. Traders...
In the context of complete financial markets, we study dynamic measures of the form \[ \rho(x;C):=\s...
mail foellmermathematikhu berlinde leukertmathematikhu berlinde Abstract An investor faced with a ...
An investor faced with a contingent claim may eliminate risk by (super-)hedging in a financial marke...
AbstractThe idea of efficient hedging has been introduced by Föllmer and Leukert. They defined the s...
Abstract. We present a new approach for positioning, pricing, and hedging in incomplete markets, whi...
In a complete financial market every contingent claim can be hedged perfectly. In an incomplete mark...
Some financial problems as minimizing the shortfall risk when hedging in incomplete markets lead to ...
We are motivated by the latest statistical facts that weather directly affects about 20% of the U.S....
In incomplete financial markets not every contingent claim can be replicated by a self-financing str...
In this thesis, we describe a BSDE approach to hedging with basic risk, useful when dealing with ris...
We provide fully analytical, optimal dynamic hedges in incomplete markets by employing the tradition...
Despite much work on hedging in incomplete markets, the literature still lacks tractable dynamic hed...
Summary: This article attempts to extend the complete market option pricing theory to in-complete ma...
Abstract. Shortfall risk is considered by taking some exposed risks because the superhedging price i...
In practice the hedging process does not satisfy the assumptions of the Black-Scholes model. Traders...
In the context of complete financial markets, we study dynamic measures of the form \[ \rho(x;C):=\s...
mail foellmermathematikhu berlinde leukertmathematikhu berlinde Abstract An investor faced with a ...
An investor faced with a contingent claim may eliminate risk by (super-)hedging in a financial marke...
AbstractThe idea of efficient hedging has been introduced by Föllmer and Leukert. They defined the s...
Abstract. We present a new approach for positioning, pricing, and hedging in incomplete markets, whi...
In a complete financial market every contingent claim can be hedged perfectly. In an incomplete mark...
Some financial problems as minimizing the shortfall risk when hedging in incomplete markets lead to ...
We are motivated by the latest statistical facts that weather directly affects about 20% of the U.S....
In incomplete financial markets not every contingent claim can be replicated by a self-financing str...