The Cost of Risk and Option Hedging in Incomplete Markets

Acknowledgments First of all I would like to express my gratitude to my promotor Prof. Arun Bagchi who offered me this PhD position. I thank him for his valuable scientific advice as well as for being very flexible and accommodating in all the practical matters. I would also like to thank my daily supervisor and assistant promotor Michel Vellekoop for his guidance, support and inspiring ideas through the whole period of my PhD project. I thank the members of my promotion committee: Prof. for their time and effort in reviewing my thesis and their valuable comments that very much improved the script. I thank Bastiaan de Geeter and Julien Gosme from Saen Options for their regular feedback and advise. I also thank Sfiss Financial Technologies and all people working there for giving me an opportunity to work in their office in Amsterdam. I also thank my colleagues from Systems, Signals and Control Group and FELab for making my working in the University enjoyable. I am grateful to my husband Alex Zilber not only for his love and moral support but also for some very useful research ideas. I would also like to thank my friends Maria Kholopova, Zaher Daher, Aafje Ouwehand, Maarten Hummel, Ivan Asinovsky and my sisters Sonia Minina and Olia Minina for being there for me and making my life pleasant and interesting. Finally I would like to thank my parents for their love and unconditional support.