English (United Kingdom)

https://curated-unify.zendy.io/wp-json/zendy-region/v1/featured_content/oa?rat=en

https://curated-unify.zendy.io/wp-json/zendy-region/v1/highlighted_journal/

Global: Zendy Tools annual

Presents the keyphrase highlighting as premium feature

Keyphrase Highlighting

Presents the summarisation as premium feature

Summarisation

Insights

Presents the pdf analysis as premium feature

PDF Analysis

Presents the zaia usage as premium feature

ZAIA

Global: Zendy Tools monthly

Global: Zendy Plus monthly

Presents the access of premium content as premium feature

Premium Content

Global: Zendy Plus annual

Global: Zendy Free Plan

The question of pricing and hedging a given contingent claim has a uniquesolution in a complete market framework. When some incompleteness isintroduced, the problem becomes however more difficult. Several approaches havebeen adopted in the literature to provide a satisfactory answer to thisproblem, for a particular choice criterion. In this paper, in order to priceand hedge a non-tradable contingent claim, we first start with a (standard)utility maximization problem and end up with an equivalent risk measureminimization. This hedging problem can be seen as a particular case of a moregeneral situation of risk transfer between different agents, one of themconsisting of the financial market. In order to provide constructive answers tothis general optimal risk transfer problem, both static and dynamic approachesare considered. When considering a dynamic framework, our main purpose is tofind a trade-off between static and very abstract risk measures as we are moreinterested in tractability issues and interpretations of the dynamic riskmeasures we obtain rather than the ultimate general results. Therefore, afterintroducing a general axiomatic approach to dynamic risk measures, we relatethe dynamic version of convex risk measures to BSDEs.

Pricing, Hedging and Optimally Designing Derivatives Via Minimization of Risk Measures