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It is assumed that the jump intensity and the jump sizes are bounded. The problem is to hedge a contingent claim of the form \\(B_T = B(X_T,Y_T)\\) for some measurable function \\(B\\). Since the market is not complete, there does not exist a perfect hedge. The goal is to minimise an expected utility of the hedging error \\(E[u(W_T^\\theta - B_T)]\\). Here \\(u\\) is a utility function and  \\[  W_t^\\theta = w_0 + \\int_0^t \\theta_{r-}\\, d S_r \\]  is the wealth process for the trading strategy \\(\\{\\theta_t\\}\\).  In a first model, exponential utility \\(u(x) = 1-e^{-a x}\\) for some \\(a > 0\\) is investigated. In addition, \\(B_T = B(X_T)\\) does not depend on \\(Y_T\\). The problem is solved via the dynamic programming approach. An ansatz of the form \\(U(t,x,w) = e^{-a w} V(t,x)\\) reduces the corresponding Hamilton--Jacobi--Bellman equation to a linear equation with a final condition. It is shown that there is a measurable bounded solution, which gives the expected utility and the optimal strategy.  The general case is solved via a contraction method. Since the intensity of the jump process is bounded, the model can be embedded into a marked homogeneous Poisson process. By conditioning on the first event of the marked Poisson process, a contraction operator is obtained. The operator can be compared with a model where investment is allowed only until the \\(n\\)-th event. In the limit, the optimal utility and the optimal strategy are 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