We provide cubature formulas for the calculation of derivatives of expected values in the spririt of Terry Lyons and Nicolas Victoir. In financial mathematics derivatives of option prices with respect to initial values, so called Greeks, are of particular importance as hedging parameters. The proof of existence of Cubature formulas for Greeks is based on an argument, which leads to the calculat...

We address the problem of hedging inventory risk for a short lifecycle or seasonal item when its demand is correlated with the price of a financial asset. We show how to construct optimal hedging transactions that minimize the variance of profit and increase the expected utility for a risk-averse decision-maker. We show that for a wide range of hedging strategies and utility functions, a risk-a...

I competitive wholesale electricity markets, regulated load-serving entities (LSEs) and marketers with default service contracts have obligations to serve fluctuating load at predetermined fixed prices while meeting their obligation through combinations of long-term contracts, wholesale purchases, and self-generation that are subject to volatile prices or opportunity cost. Hence, their net prof...

This paper studies an inverse problem of determining the implied volatility in the financial products linked with gold price, which has important application in financial derivatives pricing. Based on the total variation regularization strategy, the existence and necessary condition of the minimum for the control function are addressed, and the local uniqueness of the solution is also given by ...

Since Hobson’s seminal paper [17] the connection between model-independent pricing and the Skorokhod embedding problem has been a driving force in robust finance. We establish a general pricing-hedging duality for financial derivatives which are susceptible to the Skorokhod approach. Using Vovk’s approach to mathematical finance we derive a model-independent superreplication theorem in continuo...

Plenty of companies actively employ financial instruments to hedge looming risks. Although hedging may reduce risks such as exchange rate risk and potential price risk, is also likely make suffer from loss. Options, one the derivatives, bring holders rights instead obligation buy or sell underlying asset at a fixed price. In 2020, Yunnan Baiyao declared that group intended conduct stock buyback...

Purpose. The purpose of the article is to substantiate theoretical and methodological foundations economic feasibility intensifying processes financialization business model Ukrainian grain producers, in particular through formation futures market creation commodity exchange Ukraine. 
 Methodology / approach. In article, it clarified concept as one global trends development that provides d...

Since the future output of wind power generation is uncertain due to weather conditions, there an increasing need manage risks associated with businesses, which have been increasingly implemented in recent years. This study introduces multiple derivatives speed and temperature examines their effectiveness reducing (hedging) fluctuation risk cash flows attributed generation. Given diversificatio...