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Journal articles on the topic 'Hedging of contingent claims'

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Published: 4 June 2021
Last updated: 1 February 2022

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1

Brandt, Michael W. "Hedging Demands in Hedging Contingent Claims." Review of Economics and Statistics 85, no. 1 (February 2003): 119–40. http://dx.doi.org/10.1162/003465303762687758.

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2

Jarrow, Robert, and Dilip B. Madan. "Hedging contingent claims on semimartingales." Finance and Stochastics 3, no. 1 (January 1, 1999): 111–34. http://dx.doi.org/10.1007/s007800050054.

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3

Cvitanic, Jaksa, and Ioannis Karatzas. "Hedging Contingent Claims with Constrained Portfolios." Annals of Applied Probability 3, no. 3 (August 1993): 652–81. http://dx.doi.org/10.1214/aoap/1177005357.

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4

OHSAKI, SHUICHI, and AKIRA YAMAZAKI. "STATIC HEDGING OF DEFAULTABLE CONTINGENT CLAIMS: A SIMPLE HEDGING SCHEME ACROSS EQUITY AND CREDIT MARKETS." International Journal of Theoretical and Applied Finance 14, no. 02 (March 2011): 239–64. http://dx.doi.org/10.1142/s0219024911006383.

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This paper proposes a simple scheme for static hedging of defaultable contingent claims. It generalizes the techniques developed by Carr and Chou (1997), Carr and Madan (1998), and Takahashi and Yamazaki (2009a) to credit-equity models. Our scheme provides a hedging strategy across credit and equity markets, where suitable defaultable contingent claims are accurately replicated by a feasible number of plain vanilla equity options. Another point is that shorter maturity options are available to hedge longer maturity defaultable contingent claims. Through numerical examples, it is shown that the scheme is applicable to both structural and intensity-based models.
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5

Xiao, Lei Wang and Yan. "Hedging Game Contingent Claims with Constrained Portfolios." Advances in Applied Mathematics and Mechanics 1, no. 4 (June 2009): 529–45. http://dx.doi.org/10.4208/aamm.09-m08h8.

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6

Bo, Wang, and Meng Qingxin. "Hedging American contingent claims with arbitrage costs." Chaos, Solitons & Fractals 32, no. 2 (April 2007): 598–603. http://dx.doi.org/10.1016/j.chaos.2005.11.007.

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7

Karatzas, Ioannis, and S. G. Kou. "Hedging American contingent claims with constrained portfolios." Finance and Stochastics 2, no. 3 (May 1, 1998): 215–58. http://dx.doi.org/10.1007/s007800050039.

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8

Zhao, Jun, Emmanuel Lépinette, and Peibiao Zhao. "Pricing under dynamic risk measures." Open Mathematics 17, no. 1 (August 8, 2019): 894–905. http://dx.doi.org/10.1515/math-2019-0070.

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Abstract In this paper, we study the discrete-time super-replication problem of contingent claims with respect to an acceptable terminal discounted cash flow. Based on the concept of Immediate Profit, i.e., a negative price which super-replicates the zero contingent claim, we establish a weak version of the fundamental theorem of asset pricing. Moreover, time consistency is discussed and we obtain a representation formula for the minimal super-hedging prices of bounded contingent claims.
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9

Khasanov, R. V. "On the Upper Hedging Price of Contingent Claims." Theory of Probability & Its Applications 57, no. 4 (January 2013): 607–18. http://dx.doi.org/10.1137/s0040585x97986199.

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10

Song, Ruili, and Bo Wang. "Backward Stochastic Differential Equation on Hedging American Contingent Claims." Mathematical and Computational Applications 15, no. 5 (December 31, 2010): 895–900. http://dx.doi.org/10.3390/mca15050895.

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11

Chen, Dianfa, and Jianfen Feng. "LOWER HEDGING OF CONTINGENT CLAIMS IN RANDOMLY CONSTRAINED MARKETS." Acta Mathematica Scientia 26, no. 4 (October 2006): 629–38. http://dx.doi.org/10.1016/s0252-9602(06)60089-1.

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12

Elliott, Robert J., and Tak Kuen Siu. "Pricing and hedging contingent claims with regime switching risk." Communications in Mathematical Sciences 9, no. 2 (2011): 477–98. http://dx.doi.org/10.4310/cms.2011.v9.n2.a6.

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13

TEVZADZE, R., and T. UZUNASHVILI. "ROBUST MEAN-VARIANCE HEDGING AND PRICING OF CONTINGENT CLAIMS IN A ONE PERIOD MODEL." International Journal of Theoretical and Applied Finance 15, no. 03 (May 2012): 1250024. http://dx.doi.org/10.1142/s0219024912500240.

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In this paper, we consider the mean-variance hedging problem of contingent claims in a financial market model composed of assets with uncertain price parameters. We consider the worst case of model parameters required to solve the minimax problem. In general, such minimax problems cannot be changed to maximin problems. The main approach we develop is the randomization of the parameters, which allows us to change minimax to maximin problems, which are easier to solve. We provide an explicit solution for the robust mean-variance hedging problem in the single-period model for some types of contingent claims.
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14

CHRISTODOULOU, PANAGIOTIS, NILS DETERING, and THILO MEYER-BRANDIS. "LOCAL RISK-MINIMIZATION WITH MULTIPLE ASSETS UNDER ILLIQUIDITY WITH APPLICATIONS IN ENERGY MARKETS." International Journal of Theoretical and Applied Finance 21, no. 04 (June 2018): 1850028. http://dx.doi.org/10.1142/s0219024918500280.

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We propose a hedging approach for general contingent claims when liquidity is a concern and trading is subject to transaction cost. Multiple assets with different liquidity levels are available for hedging. Our risk criterion targets a tradeoff between minimizing the risk against fluctuations in the stock price and incurring low liquidity costs. We work in an arbitrage-free setting assuming a supply curve for each asset. In discrete time, we prove the existence of a locally risk-minimizing strategy under mild conditions on the price process. Under stochastic and time-dependent liquidity risk we give a closed-form solution for an optimal strategy in the case of a linear supply curve model. Finally we show how our hedging method can be applied in energy markets where futures with different maturities are available for trading. The futures closest to their delivery period are usually the most liquid but depending on the contingent claim not necessarily optimal in terms of hedging. In a simulation study, we investigate this tradeoff and compare the resulting hedge strategies with the classical ones.
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15

Kentia, Klebert, and Christoph Kühn. "Nash Equilibria for Game Contingent Claims with Utility-Based Hedging." SIAM Journal on Control and Optimization 56, no. 6 (January 2018): 3948–72. http://dx.doi.org/10.1137/17m1141059.

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16

Carmona, Rene, and Michael Tehranchi. "A characterization of hedging portfolios for interest rate contingent claims." Annals of Applied Probability 14, no. 3 (August 2004): 1267–94. http://dx.doi.org/10.1214/105051604000000297.

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17

Blanchet-Scalliet, Christophette, and Monique Jeanblanc. "Hazard rate for credit risk and hedging defaultable contingent claims." Finance and Stochastics 8, no. 1 (January 1, 2004): 145–59. http://dx.doi.org/10.1007/s00780-003-0108-1.

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18

Guilan, Wang. "Pricing and hedging of American contingent claims in incomplete markets." Acta Mathematicae Applicatae Sinica 15, no. 2 (April 1999): 144–52. http://dx.doi.org/10.1007/bf02720489.

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19

MANCINO, MARIA ELVIRA. "A TAYLOR FORMULA TO PRICE AND HEDGE EUROPEAN CONTINGENT CLAIMS." International Journal of Theoretical and Applied Finance 04, no. 04 (August 2001): 603–20. http://dx.doi.org/10.1142/s021902490100119x.

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We present the no-arbitrage price and the hedging strategy of an European contingent claim through a representation formula which is an extension of the Clark-Ocone formula. Our formula can be interpreted as a second order Taylor formula of the no arbitrage price of a contingent claim. The zero order term is given by the mean of the contingent claim payoff, the first order term by the stochastic integral of the mean of its Malliavin derivative and the second order term by the stochastic integral of the conditional expectation of the second Malliavin derivative. A Taylor series expansion is also provided together with a bound to the approximation error obtained by neglecting the second order term in the Taylor formula.
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20

Buckdahn, Rainer, and Ying Hu. "Hedging contingent claims for a large investor in an incomplete market." Advances in Applied Probability 30, no. 01 (March 1998): 239–55. http://dx.doi.org/10.1017/s0001867800008181.

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In this paper we study the problem of pricing contingent claims for a large investor (i.e. the coefficients of the price equation can also depend on the wealth process of the hedger) in an incomplete market where the portfolios are constrained. We formulate this problem so as to find the minimal solution of forward-backward stochastic differential equations (FBSDEs) with constraints. We use the penalization method to construct a sequence of FBSDEs without constraints, and we show that the solutions of these equations converge to the minimal solution we are interested in.
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21

Abergel, Frédéric, and Nicolas Millot. "Nonquadratic Local Risk-Minimization for Hedging Contingent Claims in Incomplete Markets." SIAM Journal on Financial Mathematics 2, no. 1 (January 2011): 342–56. http://dx.doi.org/10.1137/100803079.

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22

Alcock, Jamie, and Philip Gray. "Dynamic, nonparametric hedging of European style contingent claims using canonical valuation." Finance Research Letters 2, no. 1 (March 2005): 41–50. http://dx.doi.org/10.1016/j.frl.2004.09.002.

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23

Buckdahn, Rainer, and Ying Hu. "Hedging contingent claims for a large investor in an incomplete market." Advances in Applied Probability 30, no. 1 (March 1998): 239–55. http://dx.doi.org/10.1239/aap/1035228002.

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In this paper we study the problem of pricing contingent claims for a large investor (i.e. the coefficients of the price equation can also depend on the wealth process of the hedger) in an incomplete market where the portfolios are constrained. We formulate this problem so as to find the minimal solution of forward-backward stochastic differential equations (FBSDEs) with constraints. We use the penalization method to construct a sequence of FBSDEs without constraints, and we show that the solutions of these equations converge to the minimal solution we are interested in.
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24

Bo, Wang, and Meng Qingxin. "Hedging American contingent claims with constrained portfolios under proportional transaction costs." Chaos, Solitons & Fractals 23, no. 4 (February 2005): 1153–62. http://dx.doi.org/10.1016/j.chaos.2004.05.019.

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25

Mahayni, Antje. "Effectiveness of Hedging Strategies under Model Misspecification and Trading Restrictions." International Journal of Theoretical and Applied Finance 06, no. 05 (August 2003): 521–52. http://dx.doi.org/10.1142/s0219024903001967.

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The following paper focuses on the incompleteness arising from model misspecification combined with trading restrictions. While asset price dynamics are assumed to be continuous time processes, the hedging of contingent claims occurs in discrete time. The trading strategies under consideration are understood to be self-financing with respect to an assumed model which may deviate from the "true" model, thus associating duplication costs with respect to a contingent claim to be hedged. Based on the robustness result of Gaussian hedging strategies, which states that a superhedge is achieved for convex payoff-functions if the "true" asset price volatility is dominated by the assumed one, the error of time discretising these strategies is analysed. It turns out that the time discretisation of Gaussian hedges gives rise to a duplication bias caused by asset price trends, which can be avoided by discretising the hedging model instead of discretising the hedging strategies. Additionally it is shown, that on the one hand binomial strategies incorporate similar robustness features as Gaussian hedges. On the other hand, the distribution of the cost process associated with the binomial hedge coincides, in the limit, with the distribution of the cost process associated with the Gaussian hedge. Together, the last results yield a strong argument in favour of discretising the hedge model instead of time-discretising the strategies.
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26

Guo, Jianhua. "The Optimal Hedging Ratio for Contingent Claims Based on Different Risk Aversions." Open Journal of Business and Management 07, no. 02 (2019): 447–54. http://dx.doi.org/10.4236/ojbm.2019.72030.

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27

Guo, Jian-Hua. "Hedging strategies for European contingent claims with the minimum shortfall risk criterion." Journal of Interdisciplinary Mathematics 20, no. 3 (April 3, 2017): 637–47. http://dx.doi.org/10.1080/09720502.2017.1355510.

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28

Rompolis, Leonidas S., and Elias Tzavalis. "Pricing and hedging contingent claims using variance and higher order moment swaps." Quantitative Finance 17, no. 4 (September 14, 2016): 531–50. http://dx.doi.org/10.1080/14697688.2016.1224373.

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29

Denis, Emmanuel. "Approximate Hedging of Contingent Claims under Transaction Costs for General Pay-offs." Applied Mathematical Finance 17, no. 6 (August 12, 2010): 491–518. http://dx.doi.org/10.1080/13504861003590170.

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30

Kociński, Marek Andrzej. "Partial hedging of American contingent claims in a finite discrete time model." Applicationes Mathematicae 45, no. 2 (2018): 161–80. http://dx.doi.org/10.4064/am2379-11-2018.

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31

Kramkov, D. O. "Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets." Probability Theory and Related Fields 105, no. 4 (December 1996): 459–79. http://dx.doi.org/10.1007/bf01191909.

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32

Liu, Dao Bai. "Mean-variance Hedging for Pricing European-type Contingent Claims with Transaction Costs." Acta Mathematica Sinica, English Series 19, no. 4 (October 2003): 655–70. http://dx.doi.org/10.1007/s10114-003-0259-1.

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33

Kramkov, D. O. "Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets." Probability Theory and Related Fields 105, no. 4 (August 1, 1996): 459–79. http://dx.doi.org/10.1007/s004400050051.

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34

Thierbach, F. "Mean-Variance Hedging Under Additional Market Information." International Journal of Theoretical and Applied Finance 06, no. 06 (September 2003): 613–36. http://dx.doi.org/10.1142/s0219024903002092.

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In this paper we analyze the mean-variance hedging approach in an incomplete market under the assumption of additional market information, which is represented by a given, finite set of observed prices of non-attainable contingent claims. Due to no-arbitrage arguments, our set of investment opportunities increases and the set of possible equivalent martingale measures shrinks. Therefore, we obtain a modified mean-variance hedging problem, which takes into account the observed additional market information. Solving this we obtain an explicit description of the optimal hedging strategy and an admissible, constrained variance-optimal signed martingale measure, that generates both the approximation price and the observed option prices.
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35

Bueno-Guerrero, Alberto. "Interest rate option hedging portfolios without bank account." Studies in Economics and Finance 37, no. 1 (September 20, 2019): 134–42. http://dx.doi.org/10.1108/sef-02-2019-0058.

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Purpose This paper aims to study the conditions for the hedging portfolio of any contingent claim on bonds to have no bank account part. Design/methodology/approach Hedging and Malliavin calculus techniques recently developed under a stochastic string framework are applied. Findings A necessary and sufficient condition for the hedging portfolio to have no bank account part is found. This condition is applied to a barrier option, and an example of a contingent claim whose hedging portfolio has a bank account part different from zero is provided. Originality/value To the best of the authors’ knowledge, this is the first time that this issue has been addressed in the literature.
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36

Ceci, Claudia, Alessandra Cretarola, and Francesco Russo. "GKW representation theorem under restricted information: An application to risk-minimization." Stochastics and Dynamics 14, no. 02 (March 24, 2014): 1350019. http://dx.doi.org/10.1142/s0219493713500196.

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We provide Galtchouk–Kunita–Watanabe representation results in the case where there are restrictions on the available information. This allows one to prove the existence and uniqueness of solution for special equations driven by a general square integrable càdlàg martingale under partial information. Furthermore, we discuss an application to risk-minimization where we extend the results of Föllmer and Sondermann, Hedging of non-redundant contingent claims, to the partial information framework and we show how our result fits in the approach of Schweizer, Risk-minimizing hedging strategies under restricted information.
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37

Rotenstein, Eduard. "A multi-dimensional FBSDE with quadratic generator and its applications." Analele Universitatii "Ovidius" Constanta - Seria Matematica 23, no. 2 (June 1, 2015): 213–22. http://dx.doi.org/10.1515/auom-2015-0038.

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Abstract We consider, in the Markovian framework, a multi-dimensional forward - back - ward stochastic differential equation with quadratic growth for the generator function of the backward system. We prove an existence result of the solution and we use this result for pricing and hedging of contingent claims that depend on non-tradeable indexes by portfolios consisting in correlated risky assets.
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38

Kramkov, D., and M. Sǐrbu. "Asymptotic analysis of utility-based hedging strategies for small number of contingent claims." Stochastic Processes and their Applications 117, no. 11 (November 2007): 1606–20. http://dx.doi.org/10.1016/j.spa.2007.04.014.

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39

Rutkowski, M. "Valuation and hedging of contingent claims in the HJM model with deterministic volatilities." Applied Mathematical Finance 3, no. 3 (September 1996): 237–67. http://dx.doi.org/10.1080/13504869600000012.

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40

Wang, Wei, Linyi Qian, and Wensheng Wang. "Hedging of contingent claims written on non traded assets under Markov-modulated models." Communications in Statistics - Theory and Methods 45, no. 12 (August 14, 2015): 3577–95. http://dx.doi.org/10.1080/03610926.2014.904355.

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41

Matsuda, Takeru, and Akimichi Takemura. "Game-theoretic derivation of upper hedging prices of multivariate contingent claims and submodularity." Japan Journal of Industrial and Applied Mathematics 37, no. 1 (November 1, 2019): 213–48. http://dx.doi.org/10.1007/s13160-019-00394-y.

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42

Geman, Hélyette, Nicole El Karoui, and Jean-Charles Rochet. "Changes of numéraire, changes of probability measure and option pricing." Journal of Applied Probability 32, no. 2 (June 1995): 443–58. http://dx.doi.org/10.2307/3215299.

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The use of the risk-neutral probability measure has proved to be very powerful for computing the prices of contingent claims in the context of complete markets, or the prices of redundant securities when the assumption of complete markets is relaxed. We show here that many other probability measures can be defined in the same way to solve different asset-pricing problems, in particular option pricing. Moreover, these probability measure changes are in fact associated with numéraire changes, this feature, besides providing a financial interpretation, permits efficient selection of the numéraire appropriate for the pricing of a given contingent claim and also permits exhibition of the hedging portfolio, which is in many respects more important than the valuation itself.The key theorem of general numéraire change is illustrated by many examples, among which the extension to a stochastic interest rates framework of the Margrabe formula, Geske formula, etc.
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43

Geman, Hélyette, Nicole El Karoui, and Jean-Charles Rochet. "Changes of numéraire, changes of probability measure and option pricing." Journal of Applied Probability 32, no. 02 (June 1995): 443–58. http://dx.doi.org/10.1017/s002190020010289x.

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The use of the risk-neutral probability measure has proved to be very powerful for computing the prices of contingent claims in the context of complete markets, or the prices of redundant securities when the assumption of complete markets is relaxed. We show here that many other probability measures can be defined in the same way to solve different asset-pricing problems, in particular option pricing. Moreover, these probability measure changes are in fact associated with numéraire changes, this feature, besides providing a financial interpretation, permits efficient selection of the numéraire appropriate for the pricing of a given contingent claim and also permits exhibition of the hedging portfolio, which is in many respects more important than the valuation itself. The key theorem of general numéraire change is illustrated by many examples, among which the extension to a stochastic interest rates framework of the Margrabe formula, Geske formula, etc.
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44

Pınar, Mustafa Ç. "Sharpe-ratio pricing and hedging of contingent claims in incomplete markets by convex programming." Automatica 44, no. 8 (August 2008): 2063–73. http://dx.doi.org/10.1016/j.automatica.2007.11.006.

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45

Meng, Qingxin, and Bo Wang. "Hedging American contingent claims with constrained portfolios under a higher interest rate for borrowing." Chaos, Solitons & Fractals 24, no. 2 (April 2005): 617–25. http://dx.doi.org/10.1016/j.chaos.2004.09.020.

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46

Di Tella, Paolo, Martin Haubold, and Martin Keller-Ressel. "Semi-static variance-optimal hedging in stochastic volatility models with Fourier representation." Journal of Applied Probability 56, no. 3 (September 2019): 787–809. http://dx.doi.org/10.1017/jpr.2019.41.

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AbstractWe introduce variance-optimal semi-static hedging strategies for a given contingent claim. To obtain a tractable formula for the expected squared hedging error and the optimal hedging strategy we use a Fourier approach in a multidimensional factor model. We apply the theory to set up a variance-optimal semi-static hedging strategy for a variance swap in the Heston model, which is affine, in the 3/2 model, which is not, and in a market model including jumps.
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47

BARSKI, MICHAŁ, and JERZY ZABCZYK. "COMPLETENESS OF BOND MARKET DRIVEN BY LÉVY PROCESS." International Journal of Theoretical and Applied Finance 13, no. 05 (August 2010): 635–56. http://dx.doi.org/10.1142/s0219024910005942.

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The completeness problem of the bond market model with the random factors determined by a Wiener process and Poisson random measure is studied. Hedging portfolios use bonds with maturities in a countable, dense subset of a finite time interval. It is shown that under natural assumptions the market is not complete unless the support of the Lévy measure consists of a finite number of points. Explicit constructions of contingent claims which cannot be replicated are provided.
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48

Kholodnyi, Valery A. "Valuation and hedging of European contingent claims on power with spikes: a non-Markovian approach." Journal of Engineering Mathematics 49, no. 3 (July 2004): 233–52. http://dx.doi.org/10.1023/b:engi.0000031203.43548.b6.

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49

Pınar, Mustafa Ç., Aslıhan Salih, and Ahmet Camcı. "Expected gain–loss pricing and hedging of contingent claims in incomplete markets by linear programming." European Journal of Operational Research 201, no. 3 (March 2010): 770–85. http://dx.doi.org/10.1016/j.ejor.2009.02.031.

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50

Wang, Bo, and Ruili Song. "The Application of backward stochastic differential equation with stopping time in hedging American contingent claims." Chaos, Solitons & Fractals 42, no. 5 (December 2009): 2629–34. http://dx.doi.org/10.1016/j.chaos.2009.03.170.

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