TY - GEN A1 - Ankirchner, Stefan A1 - Imkeller, Peter T1 - Hedging with residual risk: a BSDE approach N2 - When managing energy or weather related risk often only imperfect hedging instruments are available. In the first part we illustrate problems arising with imperfect hedging by studying a toy model. We consider an airline’s problem with covering income risk due to fluctuating kerosene prices by investing into futures written on heating oil with closely correlated price dynamics. In the second part we outline recent results on exponential utility based cross hedging concepts. They highlight in a generalization of the Black-Scholes delta hedge formula to incomplete markets. Its derivation is based on a purely stochastic approach of utility maximization. It interprets stochastic control problems in the BSDE language, and profits from the power of the stochastic calculus of variations. KW - financial derivatives KW - hedging KW - minimal variance hedging KW - utility based pricing KW - BSDE KW - sub-quadratic growth KW - differentiability KW - stochastic calculus of variations KW - Malliavin calculus Y1 - 2009 UR - https://opus4.kobv.de/opus4-matheon/frontdoor/index/index/docId/646 UR - https://nbn-resolving.org/urn:nbn:de:0296-matheon-6465 ER -