| Article ID: | iaor19951593 |
| Country: | Netherlands |
| Volume: | 55 |
| Issue: | 2 |
| Start Page Number: | 227 |
| End Page Number: | 251 |
| Publication Date: | Feb 1995 |
| Journal: | Stochastic Processes and Their Applications |
| Authors: | Musiela Marek |
| Keywords: | risk |
This article describes a general methodology that can be used for financial risk management. The approach is based on the model of Heath et al of term structure movements but deals with the case of incomplete market. Both domestic and foreign economies are investigated. Prices of various options are calculated using the forward measure introduced recently by El Karoui and Rochet.