As has been pointed out by a number of researchers, the normally calculated delta does not
minimize the variance of changes in the value of a trader's position. This is because there is …

Written by leading market risk academic, Professor Carol Alexander, Pricing, Hedging and
Trading Financial Instruments forms part three of the Market Risk Analysis four volume set …

Full article: A neural network approach to understanding implied volatility movements Skip to
Main Content Taylor and Francis Online homepage Browse Search Publish Login | Register Log …

The cryptocurrency market is volatile, non-stationary and non-continuous. Together with
liquid derivatives markets, this poses a unique opportunity to study risk management …

We analyze different types of guaranteed withdrawal benefits for life, the latest guarantee
feature within variable annuities. Besides an analysis of the impact of different product …

We analyze the impact of policyholder behavior on pricing, hedging and hedge efficiency of
variable annuities with guaranteed lifetime withdrawal benefits. We consider different …

We present regression-based Monte Carlo simulation algorithm for solving the stochastic
control models associated with pricing and hedging of the guaranteed lifelong withdrawal …

In this paper we analyse how the policyholders' surrender behaviour is influenced by
changes in various sources of risk impacting a variable annuity (VA) contract embedded with …

In this paper, we evaluate the performance of the ability of Markov-switching multifractal
(MSM), implied, GARCH, and historical volatilities to predict realized volatility for both the …

This article presents a quadratic hedging framework for a general class of discrete-time
affine multi-factor models and investigates the extent to which multi-component volatility …