搜索结果: 1-15 共查到“货币银行学 Hedging”相关记录15条 . 查询时间(0.078 秒)
Model independent hedging strategies for variance swaps
hedging strategies variance swaps Pricing of Securities
2011/7/25
Abstract: A variance swap is a derivative with a path-dependent payoff which allows investors to take positions on the future variability of an asset. In the idealised setting of a continuously monito...
A Note on Delta Hedging in Markets with Jumps
Delta hedging exact replication martingale representation Black–Merton–Scholes model models with jumps
2011/3/30
Modelling stock prices via jump processes is common in financial markets. In practice, to hedge a contingent claim one typically uses the so-called delta-hedging strategy. This strategy stems from the...
Applying hedging strategies to estimate model risk and provision calculation
model risk uncertainty of volatility risk measure
2011/3/23
This paper introduces a new model risk measure based on hedging strategies to estimate model risk and provision calculation under uncertainty of volatility. This measure allows comparing different pro...
Pricing and Hedging in Affine Models with Possibility of Default
Pricing Hedging in Affine Models Possibility of Default
2011/1/4
We propose a general class of models for the simultaneous treatment of equity, corporate bonds, government bonds and derivatives. The noise is generated by a general affine Markov process. The framewo...
Limit Theorems for Partial Hedging Under Transaction Costs
Limit Theorems Transaction Costs
2010/10/19
We study shortfall risk minimization for American options with path dependent payoffs under proportional transaction costs in the Black--Scholes (BS) model. We show that for this case the shortfall ri...
Mean-Variance Hedging for Pricing European Options Under Assumption of Non-continuous Trading
Pricing European Options Non-continuous Trading
2010/10/20
We consider a portfolio with call option and the corresponding underlying asset under the standard assumption that stock-market price represents a random variable with lognormal distribution. Minimizi...
Applications of time-delayed backward stochastic differential equations to pricing, hedging and management of financial and insurance risks
backward stochastic differential equations participating contracts
2010/10/20
In this paper we investigate novel applications of a new class of equations which we call time-delayed backward stochastic differential equations. Time-delayed BSDEs may arise when we want to find a ...
Delta Hedging in Financial Engineering: Towards a Model-Free Approach
Financial engineering delta hedging
2010/10/20
Delta hedging, which plays a crucial r\^ole in modern financial engineering, is a tracking control design for a "risk-free" management. We utilize the existence of trends in financial time series (Fli...
Tracking errors from discrete hedging in exponential Lévy models
Tracking errors discrete hedging exponential Lévy models
2010/10/18
We analyze the errors arising from discrete readjustment of the hedging portfolio when hedging options in exponential Levy models, and establish the rate at which the expected squared error goes to z...
Hedging under arbitrage
Hedging arbitrage
2010/10/19
It is shown that delta hedging provides the optimal trading strategy in terms of minimal required initial capital to replicate a given terminal payoff in a continuous-time Markovian context. This hol...
Two Curves, One Price: Pricing & Hedging Interest Rate Derivatives Decoupling Forwarding and Discounting Yield Curves
liquidity crisis counterparty risk yield curve forward curve discount curve
2010/11/1
We revisit the problem of pricing and hedging plain vanilla single-currency in-terest rate derivatives using multiple distinct yield curves for market coherent esti-mation of discount factors and forw...
Perfect and partial hedging for swing game options in discrete time
game options discrete time
2010/11/1
The paper introduces and studies hedging for game (Israeli) style extension of swing options considered as multiple exercise derivatives. Assuming that the underlying security can be traded without re...
Credit derivatives: instruments of hedging and factors of instability. The example of ?Credit Default Swaps? on French reference entities
credit derivatives credit risk credit default swap inter-temporal relations between markets
2010/11/3
Through a long-period analysis of the inter-temporal relations between the French markets for credit default swaps (CDS), shares and bonds between 2001 and 2008, this article shows how a financial inn...
Hedging Pure Endowments with Mortality Derivatives
Mortality Derivatives Pricing of Securities
2010/12/13
In recent years, a market for mortality derivatives began developing as a way to handle systematic mortality risk, which is inherent in life insurance and annuity contracts. Systematic mortality risk...
Consistent Pricing and Hedging of an FX Options Book
foreign exchange options market uncertain Black-Scholes parameters
2010/12/7
In the foreign exchange (FX) options market away-from-the-money options are quite actively traded, and quotes for the same type of instruments are available everyday with very narrow spreads (at least...