Global hedging in incomplete markets

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The recent financial crisis highlighted the importance of sound risk management practices for financial institutions to avoid financial hardship and bankruptcy. The hedging of financial derivatives is a prime concern for financial institutions; these products entail complex risks which can lead to extreme losses in a short amount of time. My research program focuses on hedging procedures which apply in realistic incomplete market frameworks where risk cannot be completely eliminated. More precisely, my program aims at contributing to the development of a specific category of hedging schemes referred to as global hedging. Global hedging schemes minimize risk up to the maturity of the hedge. This represents a conceptual advantage over traditional myopic methods such as delta-hedging and local risk-minimization which only consider risk up to the next time period. This explains why global hedging methods were shown to exhibit a higher performance than their local counterparts, see François et al. (2012), Godin (2015) and Augustiniak et al. (2016).