Since Lehman Brothers collapsed in 2008, tail-risk hedging has become an increasingly
important concern for investors. Traditional approaches, such as purchasing options or …

The AMRA project, carried out by a consortium including industrials and research partners,
aims at implementing an Augmented Reality (AR) system for mobile use in industrial …

In this paper, we implement a multi-variate extension of Dybvig (1988) Payoff Distribution
Model that can be used to replicate not only the marginal distribution of most hedge fund …

We propose an innovative approach for dynamic portfolio insurance that overcomes many
of the limitations of the earlier techniques. We transform the Payoff Distribution Model, …

We propose optimal mean-variance dynamic hedging strategies in discrete time under a
multivariate Gaussian regime-switching model. The methodology, which also performs pricing, …

In this article we study the price of an American style option based on hedging the underlying
assets in discrete time. Like its European style analog, the value of the option is not given …

We propose a methodology for pricing and hedging options that overcomes the main
drawbacks of the Black-Scholes-Merton model: unrealistic continuoustime hedging, constant …

This paper describes the system architecture set up by the consortium of the EUREKA
CELTIC BOSS project for enhancing the security of passengers inside commuter trains. The …

The derivation of the bi-variate Payoff Distribution model by Kat and Palaro (2005) represents
an interesting contribution to the performance evaluation and asset pricing literature. …