In reality, markets are incomplete, meaning that some payoffs cannot be replicated by
trading in marketed securities. The classic no-arbitrage theory of valuation in a complete …

This paper considers the problem of valuating and hedging life insurance contracts that are
subject to systematic mortality risk in the sense that the mortality intensity of all policy …

We develop a methodology for optimal design of financial instruments aimed to hedge some
forms of risk that is not traded on financial markets. The idea is to minimize the risk of the …

The aim herein is to analyze utility-based prices and hedging strategies. The analysis is
based on an explicitly solved example of a European claim written on a nontraded asset, in …

We prove results on bounded solutions to backward stochastic equations driven by random
measures. Those bounded BSDE solutions are then applied to solve different stochastic …

The question of pricing and hedging a given contingent claim has a unique solution in a
complete market framework. When some incompleteness is introduced, the problem …

The (subjective) indifference value of a payoff in an incomplete financial market is that
monetary amount which leaves an agent indifferent between buying or not buying the payoff …

We study the dynamics of the exponential utility indifference value process C (B; α) for a
contingent claim B in a semimartingale model with a general continuous filtration. We prove …

Ernst Eberlein Jan Kallsen Page 1 Springer Finance Ernst Eberlein Jan Kallsen Mathematical
Finance Page 2 Springer Finance Editorial Board Marco Avellaneda Giovanni Barone-Adesi …

We develop a methodology to optimally design a financial issue to hedge non-tradable risk
on financial markets. Economic agents assess their risk using monetary risk measure. The …