Next Article in Journal / Special Issue
Stress Testing German Industry Sectors: Results from a Vine Copula Based Quantile Regression
Previous Article in Journal
Bubbles, Blind-Spots and Brexit
Article Menu

Export Article

Open AccessArticle
Risks 2017, 5(3), 36; doi:10.3390/risks5030036

A Robust Approach to Hedging and Pricing in Imperfect Markets

1
Institute for Financial and Actuarial Mathematics, University of Liverpool, Mathematical Sciences Building, Peach Street, Liverpool L69 7ZL, UK
2
Research Department, Federal Reserve Bank of Atlanta, 1000 Peachtree Street N.E., Atlanta, GA 30309-4470, USA
The views expressed here are the authors’ and not necessarily those of the Federal Reserve Bank of Atlanta or the Federal Reserve System.
*
Author to whom correspondence should be addressed.
Academic Editor: Lea Petrella
Received: 5 March 2017 / Revised: 13 July 2017 / Accepted: 15 July 2017 / Published: 18 July 2017
(This article belongs to the Special Issue Quantile Regression for Risk Assessment)
View Full-Text   |   Download PDF [405 KB, uploaded 29 September 2017]

Abstract

This paper proposes a model-free approach to hedging and pricing in the presence of market imperfections such as market incompleteness and frictions. The generality of this framework allows us to conduct an in-depth theoretical analysis of hedging strategies with a wide family of risk measures and pricing rules, and study the conditions under which the hedging problem admits a solution and pricing is possible. The practical implications of our proposed theoretical approach are illustrated with an application on hedging economic risk. View Full-Text
Keywords: imperfect markets; risk measures; hedging; pricing rule; quantile regression imperfect markets; risk measures; hedging; pricing rule; quantile regression
This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. (CC BY 4.0).

Scifeed alert for new publications

Never miss any articles matching your research from any publisher
  • Get alerts for new papers matching your research
  • Find out the new papers from selected authors
  • Updated daily for 49'000+ journals and 6000+ publishers
  • Define your Scifeed now

SciFeed Share & Cite This Article

MDPI and ACS Style

Assa, H.; Gospodinov, N. A Robust Approach to Hedging and Pricing in Imperfect Markets. Risks 2017, 5, 36.

Show more citation formats Show less citations formats

Note that from the first issue of 2016, MDPI journals use article numbers instead of page numbers. See further details here.

Related Articles

Article Metrics

Article Access Statistics

1

Comments

[Return to top]
Risks EISSN 2227-9091 Published by MDPI AG, Basel, Switzerland RSS E-Mail Table of Contents Alert
Back to Top