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

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
*
Author to whom correspondence should be addressed.
The views expressed here are the authors’ and not necessarily those of the Federal Reserve Bank of Atlanta or the Federal Reserve System.
Academic Editor: Lea Petrella
Risks 2017, 5(3), 36; https://doi.org/10.3390/risks5030036
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)
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
MDPI and ACS Style

Assa, H.; Gospodinov, N. A Robust Approach to Hedging and Pricing in Imperfect Markets. Risks 2017, 5, 36. https://doi.org/10.3390/risks5030036

AMA Style

Assa H, Gospodinov N. A Robust Approach to Hedging and Pricing in Imperfect Markets. Risks. 2017; 5(3):36. https://doi.org/10.3390/risks5030036

Chicago/Turabian Style

Assa, Hirbod, and Nikolay Gospodinov. 2017. "A Robust Approach to Hedging and Pricing in Imperfect Markets" Risks 5, no. 3: 36. https://doi.org/10.3390/risks5030036

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

Article Access Map by Country/Region

1
Back to TopTop