Malliavin Calculus in Finance: Theory and Practice aims to introduce the study of stochastic
volatility (SV) models via Malliavin Calculus. Malliavin calculus has had a profound impact …

Pricing Models of Volatility Products and Exotic Variance Derivatives summarizes most of
the recent research results in pricing models of derivatives on discrete realized variance and …

This book provides an analysis, under both discrete-time and continuous-time frameworks,
on the price dynamics of leveraged exchange-traded funds (LETFs), with emphasis on the …

A method is developed to determine the portfolio that maximizes the expected utility of an
agent that trades the difference between a perceived future price distribution of an asset and …

This paper presents a data-driven interpretable machine learning algorithm for semi-static
hedging of Exchange Traded options, considering transaction costs with efficient run-time …

We present the closed-form solution to the problem of hedging price and quantity risks for
energy retailers (ER), using financial instruments based on electricity price and weather …

We price and replicate a variety of claims written on the log price and quadratic variation of a
risky asset, modeled as a positive semimartingale, subject to stochastic volatility and jumps …

A risk‐averse agent hedges her exposure to a nontradable risk factor U using a correlated
traded asset S and accounts for the impact of her trades on both factors. The effect of the …

This paper analyzes a problem of optimal static hedging using derivatives in incomplete
markets. The investor is assumed to have a risk exposure to two underlying assets. The …

The static nature of the downside protection offered by a standard Put option can motivate
investors to use exotic option contracts like dynamic fund protection (DFP), which protects …