Nongenetic variation in phenotypes, or bet-hedging, has been observed as a driver of drug resistance in both bacterial infections and cancers. Here, we study how bet-hedging emerges in genotype-phenotype (GP) mapping through a simple interaction model: a molecular switch. We use simple chemical reaction networks to implement stochastic switches that map gene products to phenotypes, and investig...

Five experiments investigated how people use categories to make inductions about objects whose categorisation is uncertain. Normatively, they should consider all the categories the object might be in and use a weighted combination of information from all the categories: bet-hedging. The experiments presented people with simple, artificial categories and asked them to make an induction about a n...

The paper introduces and studies hedging for game (Israeli) style extension of swing options considered as multiple exercise derivatives. Assuming that the underlying security can be traded without restrictions we derive a formula for valuation of multiple exercise options via classical hedging arguments. Introducing the notion of the shortfall risk for such options we study also partial hedgin...

We develop a flexible discrete-time hedging methodology that minimizes the expected value of any desired penalty function of the hedging error within a general regimeswitching framework. A numerical algorithm based on backward recursion allows for the sequential construction of an optimal hedging strategy. Numerical experiments comparing this and other methodologies show a relative expected pen...

The contribution of this paper is twofold. First, we exploit copula methodology, with two threshold GARCH models as marginals, to construct a bivariate copula-threshold-GARCH model, simultaneously capturing asymmetric nonlinear behaviour in univariate stock returns of spot and futures markets and bivariate dependency, in a flexible manner. Two elliptical copulas (Gaussian and Student’s-t) and t...

This paper proposes a swarm intelligence long-term hedging tool to support electricity producers in competitive electricity markets. This tool investigates the long-term hedging opportunities available to electric power producers through the use of contracts with physical (spot and forward) and financial (options) settlement. To find the optimal portfolio the producer risk preference is stated ...

In this paper we review the hedging of interest rate derivatives priced under a risk-neutral measure, and we compute self-financing hedging strategies for various derivatives using the Clark-Ocone formula.

Hedging strategies in bond markets are computed by martingale representation and the choice of a suitable of numeraire, based on the Clark-Ocone formula in a model driven by the dynamics of bond prices. Applications are given to the hedging of swaptions and other interest rate derivatives and we compare our approach to delta hedging when the underlying swap rate is modeled by a diffusion process.

We study how hedging a ects rm value and real investment activity. We obtain exogenous variation in access to e ective hedging instruments from the unexpected breakdown in the correlation of Canadian oil prices with the benchmark oil price used in NYMEX hedging contracts. Using a di erence-in-di erences framework we compare Canadian oil producers to their U.S. counterparts, who maintain access ...