Multi-period guarantees are often embedded in life insurance contracts. In this paper we consider the problem of hedging these multi-period guarantees in the pr

"We propose a framework à la Davis et al. (1993) and Whalley and Wilmott (1997) to study dynamic hedging strategies on portfolios of financial guarantees in th

We introduce a new class of strategies for hedging derivative securities taking into account transaction costs, assuming lognormal continuous-time prices for th