Relevant bibliographies by topics / Commodity hedging

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  1. Journal articles
  2. Dissertations / Theses
  3. Books
  4. Book chapters
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Academic literature on the topic 'Commodity hedging'

Author: Grafiati
Published: 4 June 2021
Last updated: 4 February 2022

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Journal articles on the topic "Commodity hedging"

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Taušer, J., and R. Čajka. "Hedging techniques in commodity risk management." Agricultural Economics (Zemědělská ekonomika) 60, No. 4 (April 28, 2014): 174–82. http://dx.doi.org/10.17221/120/2013-agricecon.

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The article focuses on selected aspects of risk management in agricultural business with the aim to discuss and compare different hedging methods which are relevant for managing the commodity risks associated with agricultural production. The article provides a broader context for understanding the risks and possible responses to it and analyses four basic hedging strategies – commodity futures, forward contracts, options and option strategies. The substance, advantages and disadvantages of each hedging technique are pointed out and compared to each other with the conclusion that there is always some kind of trade-off between the advantages and disadvantages of the particular strategies. The farmers shall, therefore, consider both all aspects of the relevant strategies and their expectations, before they make the final decision which instruments to use.  
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Cashion, Daniel B. "Hedging Long-Term Commodity Risk." CFA Digest 33, no. 3 (August 2003): 41–42. http://dx.doi.org/10.2469/dig.v33.n3.1319.

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Borensztein, Eduardo, Damiano Sandri, and Olivier Jeanne. "Macro-Hedging for Commodity Exporters." IMF Working Papers 09, no. 229 (2009): 1. http://dx.doi.org/10.5089/9781451873764.001.

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KAUFFMAN, THOMAS D., and STEPHEN B. DOPPLER. "Hedging a Commodity Power Rate." Natural Resources Forum 10, no. 2 (May 1986): 173–79. http://dx.doi.org/10.1111/j.1477-8947.1986.tb00792.x.

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Veld-Merkoulova, Yulia V., and Frans A. de Roon. "Hedging long-term commodity risk." Journal of Futures Markets 23, no. 2 (December 19, 2002): 109–33. http://dx.doi.org/10.1002/fut.10060.

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Borensztein, Eduardo, Olivier Jeanne, and Damiano Sandri. "Macro-hedging for commodity exporters." Journal of Development Economics 101 (March 2013): 105–16. http://dx.doi.org/10.1016/j.jdeveco.2012.08.005.

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Conlon, Thomas, John Cotter, and Ramazan Gençay. "Commodity futures hedging, risk aversion and the hedging horizon." European Journal of Finance 22, no. 15 (April 15, 2015): 1534–60. http://dx.doi.org/10.1080/1351847x.2015.1031912.

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Gupta, Shashi, Himanshu Choudhary, and D. R. Agarwal. "Hedging Efficiency of Indian Commodity Futures." Paradigm 21, no. 1 (June 2017): 1–20. http://dx.doi.org/10.1177/0971890717700529.

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This article examines the hedge ratio and hedging effectiveness in agricultural (castor seed, guar seed) and non-agricultural (copper, nickel, gold, silver, natural gas and crude oil) commodities traded in National Commodity and Derivative Exchange (NCDEX) and Multi Commodity Exchange (MCX), respectively. Constant and dynamic hedge ratios are estimated by using ordinary least square (OLS), vector autoregression (VAR), vector error correction model (VECM) and vector autoregressive-multivariate generalized autoregressive conditional heteroskedasticity model (VAR-MGARCH). The results of constant as well as dynamic hedge ratios reveal that the Indian futures market provides higher hedging effectiveness in case of precious metal (65–75 per cent) compared to industrial metal and energy commodities (less than 50 per cent). Hedging effectiveness for castor seed and natural gas is even lower than 10 per cent. This study concluded that VECM and VAR-MGARCH both are providing higher hedging although VECM is providing the highest hedge ratio. It has been found that the next to near month futures provide better hedging effectiveness as compared to near month futures for crude oil and silver. It is recommended that the policy makers should pay attention towards the number of delivery centres, standard of quality of underlying assets and transaction costs in spot market.
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Frensidy, Budi, and Tasya Indah Mardhaniaty. "The Effect of Hedging with Financial Derivatives on Firm Value at Indonesia Stock Exchange." Economics and Finance in Indonesia 65, no. 1 (August 2, 2019): 20. http://dx.doi.org/10.47291/efi.v65i1.614.

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This study aims to analyze the effect of hedging for the risks of foreign currency, interest rate, and commodity price on firm value as measured by Tobin’s Q. The findings reveal that hedging with derivative instruments is insignificantly related to firm value but significantly varied in financial risks. Hedging for foreign currency risk has a significantly positive relation to firm value, while hedging for interest rate and commodity price risk has no relation. Furthermore, this study provides a novelty compared to previous studies in the utilization of the extent of hedging as the variable to measure the implementation of hedging.
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Thị Nhung, Nguyễn, Nguyen Nhu Ngan, Tran Thi Hong, and Nguyen Dinh Cuong. "Hedging with commodity futures: evidence from the coffee market in Vietnam." Investment Management and Financial Innovations 17, no. 4 (November 4, 2020): 61–75. http://dx.doi.org/10.21511/imfi.17(4).2020.06.

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In July 2018, the Vietnam Commodity Exchange (VNX) was transferred into the Mercantile Exchange of Vietnam (MXV) to hedge price risks through futures on international commodity exchanges. This research aimed to verify the efficiency of futures on ICE EU and ICE US under the perspective of hedging for Vietnamese coffee, determine optimal hedging ratios and the optimal number of each futures contract, and investigate the feasibility of introducing domestic commodity exchanges in Vietnam. Using the Vector Error Correction Model (VECM), the results show that (1) Robusta futures with expiration dates of January, March, May, and July on ICE EU are efficient hedging tools, but the adverse result is justified for Arabica futures on ICE US; (2) Robusta futures with the expiration date of January are the best in terms of risk management for Vietnamese coffee market; (3) optimal hedge ratio of Robusta futures of around 34% is much lower than ratios showed by previous researches; (4) in the short term, introducing coffee futures into the domestic commodity exchanges is still not feasible in the short term, but should be considered in the long term in Vietnam. This is the first study providing empirical evidence about the hedging role of futures contracts on ICE EU and ICE US, contributing to enrich the existing empirical evidence on the hedging role of futures for the agricultural sector.
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Dissertations / Theses on the topic "Commodity hedging"

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Tkachev, Ilya. "Hedging strategy for an option on commodity market." Thesis, Halmstad University, School of Information Science, Computer and Electrical Engineering (IDE), 2010. http://urn.kb.se/resolve?urn=urn:nbn:se:hh:diva-5393.

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In this work we consider the methods of pricing and hedging an option on the forward commodity market described by the multi-factor diffusion model. In the previous research there were presented explicit valuation formulas for standard European type options and simulation schemes for other types of options. However, hedging strategies were not developed in the available literature. Extending known results this work gives analytical formulas for the price of American, Asian and general European options. Moreover, for all these options hedging strategies are presented. Using these results the dynamics of the portfolio composed of options on futures with different maturities is studied on a commodity market.

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Kimura, Norifumi. "Hedging Default and Price Risks in Commodity Trading." Thesis, North Dakota State University, 2016. https://hdl.handle.net/10365/28055.

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Many risk factors exist in the commodity markets, especially those related to price and quantity. Recently, the risk of counterparty default has been increasing. The purpose of this study is to develop a portfolio-hedging model to hedge both price and default risks using exchange traded commodity futures and option contracts. Two approaches are taken to determine the optimal hedge ratios (HR) using futures and options: an analytical approach that mathematically derives closed-form mean-variance (E-V) maximizing solutions, and an empirical approach that uses stochastic optimization and Monte Carlo simulation under mean-value-at-risk (E-VaR) framework. Based on the analytical approach, we proved that utility-maximizing solutions exists. The empirical approach suggests that na?ve HR (HR of one) leads to a suboptimal result. The minimum-variance, E-V, and minimum VaR objective functions generated the same optimization results. Additionally, a copula is applied instead of a linear correlation, and resulted a higher put option HR.
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Nurmos, Ville, and Mattias Andersson. "Nordic electricity hedging : A comparison with other commodity market structures." Thesis, KTH, Tillämpad termodynamik och kylteknik, 2013. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-129188.

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This master thesis investigates and answers three fundamental questions regarding structural changes of a future market. This has been done by analysing and comparing three commodity markets with the Nordic electricity market. Examined commodity markets are LME steel billet, CME lean hogs and WTI & Brent crude oil. The report consists of a literature review with a theoretical background, CATWOE and a case analysis of each commodity market. The markets are thereafter analysed, compared and discussed regarding the research questions. It is concluded that the Nordic electricity market is in many ways comparable to other commodities, although it has some special characteristics. Key factors determining market success have been identified as (1) correlation between perceived risk and derivative risk, (2) trust for and experience of trading institutions and trading environment and (3) expectations. Based on the findings a new conceptual measure for market liquidity, Relative Market Liquidity, is introduced and discussed. The comparison in this thesis is based on the Nordic electricity market, but much of the results are applicable to other commodity markets. The thesis has been written during spring 2013 at the Royal Institute of Technology Department of Energy Technology in co-operation with Vattenfall AB.
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Havik, Jonathan, Emil Stendahl, and Andreas Soteriou. "Commodity Risk Management in The Airline Industry : A study from Europe." Thesis, Internationella Handelshögskolan, Högskolan i Jönköping, IHH, Företagsekonomi, 2016. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-30346.

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The airline industry is a major user of jet fuel and this constitutes a large component of the operating costs and is a risk coefficient for airlines. Several studies have been conducted on how oil price volatility affect stock prices and cash flows as well as how, in general, firms that uses derivatives experience lower stock returns volatility and stock s .The impact of oil price volatility on airline stock s and the impact of hedging on airline stock s have not been adequately examined, this paper fills this gap. By gathering daily frequency of oil spot prices to access the quarterly oil price volatility and stock s from 16 European airlines, we correlate quarterly oil price volatility to quarterly airline stock s as well as stock s and hedging percentages between 2010-2015, we reject the hypothesis that oil price volatility has an impact on airline stock s and that hedging reduces stock s. These findings therefore suggest that oil price volatility do not have a large impact on systematic risks or that hedging offset systematic risks. The findings are of interest to investors who want to make well informed investment decisions based on non-diversifiable equity risk since it has become popular for management recently to implement hedging policies to signal competency in risk management in order to attract investments.
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Meyer, Thomas O. "Effects of speculation and hedging in several commodity and financial futures markets /." Connect to resource, 1990. http://rave.ohiolink.edu/etdc/view.cgi?acc%5Fnum=osu1265633828.

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Moftah, Alghazali Idries Omran. "The hedging effectiveness of futures markets : evidence from commodity and stock markets." Thesis, University of Southampton, 2002. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.269586.

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Turner, Peter Alistair. "Determining the Optimal Commodity and Hedge Ratio for Cross-Hedging Jet Fuel." Thesis, North Dakota State University, 2014. https://hdl.handle.net/10365/27250.

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Airlines are exposed to risks in swings in the price of jet fuel. While there are many different options that they can use to hedge this risk, airlines often underutilize them. This study establishes the minimum variance hedge ratio for an airline wishing to hedge with futures, while also establishing the best cross-hedging asset. Airlines hedging with futures would create the most effective hedge by using 3-month maturity contracts of heating oil. 3- Month maturity contracts are slightly more effective as hedging tools than the next month, but beyond the 3-Month veil, increased maturity makes heating oil less effective as a cross hedging tool.
Upper Great Plains Transportation Institute (UGPTI)
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Meyer, Thomas Otto. "Effects of speculation and hedging in several commodity and financial futures markets." The Ohio State University, 1990. http://rave.ohiolink.edu/etdc/view?acc_num=osu1265633828.

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Oldeweme, Daniel Johannes. "Die Bilanzierung von Commodity-Hedges nach International Financial Reporting Standards (IFRS) /." St. Gallen : [s.n.], 2008. http://aleph.unisg.ch/hsgscan/hm00240573.pdf.

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Rowsell, John. "Comparative analysis of cash margin hedging strategies with commodity futures contracts and options." Thesis, Virginia Tech, 1987. http://hdl.handle.net/10919/45914.

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The performance of futures contracts and commodity options as hedging instruments were compared in a cash margin hedging framework for a 150 sow farrow to finish hog operation in southeastern Virginia. The expected cash margin (ECM) using corn soybean meal and hog futures were calculated daily from 1975 through 1982. The performance of options and futures were compared in 530 strategies that ranged from starit routine fixed margin hedging to strategies based on forecasted variable margins.


Master of Science
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Books on the topic "Commodity hedging"

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Reichling, Peter. Hedging mit Warenterminkontrakten. Bern: P. Haupt, 1991.

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Institute of Internal Auditors (U.K.), ed. Managing commodity risk: Using commodity futures and options. Chichester: Wiley, 2001.

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Exchanges, Reserve Bank of India Committee on Hedging through International Commodity. Report of the Committee on Hedging through International Commodity Exchanges. Mumbai: Reserve Bank of India, 1997.

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Claessens, Stijn. Hedging commodity price risks in Papua New Guinea. Washington, D.C. (1818 H St., NW, Washington 20433): International Economics Dept., World Bank, 1991.

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Scheuenstuhl, Gerhard. Hedging-Strategien zum Management von Preisänderungsrisiken. Bern: P. Haupt, 1992.

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Satyanarayan, Sudhakar. Hedging cotton price risk in Francophone African countries. Washington, DC: World Bank, 1993.

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Bobin, Christopher A. Agricultural options: Trading, risk management, and hedging. New York: Wiley, 1990.

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Cairns, Sinquefield Jeanne, ed. Inside the commodity option markets. New York: Wiley, 1985.

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Bittman, James B. Trading and hedging with agricultural futures and options. Columbia, MD: Marketplace Books, 2008.

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Crops, United States Congress House Committee on Agriculture Subcommittee on Risk Management and Specialty. Review the status of hedge-to-arrive contracts: Hearing before the Subcommittee on Risk Management and Specialty Crops and the Subcommittee on General Farm Commodities of the Committee on Agriculture, House of Representatives, One Hundred Fourth Congress, second session, July 24, 1996. Washington: U.S. G.P.O., 1996.

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Book chapters on the topic "Commodity hedging"

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Cesari, Giovanni, John Aquilina, Niels Charpillon, Zlatko Filipović, Gordon Lee, and Ion Manda. "Equity, Commodity, Inflation and FX Products." In Modelling, Pricing, and Hedging Counterparty Credit Exposure, 159–69. Berlin, Heidelberg: Springer Berlin Heidelberg, 2009. http://dx.doi.org/10.1007/978-3-642-04454-0_9.

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Alexander, Carol. "Hedging the Risk of an Energy Futures Portfolio." In Risk Management in Commodity Markets, 117–27. Chichester, West Sussex, UK: John Wiley & Sons, Ltd., 2012. http://dx.doi.org/10.1002/9781118467381.ch9.

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Ntamatungiro, Joseph. "Hedging Commodity Export Earnings with Futures and Option Contracts." In Commodity, Futures and Financial Markets, 35–58. Dordrecht: Springer Netherlands, 1991. http://dx.doi.org/10.1007/978-94-011-3354-8_2.

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Kallio, Markku, Matti Koivu, and Rudan Wang. "Currency Hedging for a Multi-national Firm." In Handbook of Recent Advances in Commodity and Financial Modeling, 297–320. Cham: Springer International Publishing, 2017. http://dx.doi.org/10.1007/978-3-319-61320-8_14.

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Bolandifar, Ehsan, and Zhong Chen. "The Optimal Hedging Strategy for Commodity Processors in Supply Chain." In Lecture Notes in Electrical Engineering, 27–34. Berlin, Heidelberg: Springer Berlin Heidelberg, 2015. http://dx.doi.org/10.1007/978-3-662-47200-2_4.

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Slobodianyk, Anna N., Nadiia P. Reznik, and George D. Abuselidze. "The Analysis of Hedging Instruments on the Exchange Commodity Market of Ukraine." In The Challenge of Sustainability in Agricultural Systems, 379–85. Cham: Springer International Publishing, 2021. http://dx.doi.org/10.1007/978-3-030-73097-0_42.

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Till, Hilary. "Hedging and Speculation: A Discussion on the Economic Role of Commodity Futures Markets (Including the Oil Markets)." In Perspectives on Energy Risk, 145–64. Berlin, Heidelberg: Springer Berlin Heidelberg, 2014. http://dx.doi.org/10.1007/978-3-642-41596-8_9.

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Peterson, Paul E. "Profit Margin Hedging and Inverse Hedging." In Commodity Derivatives, 111–24. Routledge, 2018. http://dx.doi.org/10.4324/9781315718439-9.

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Peterson, Paul E. "Hedging Enhancements." In Commodity Derivatives, 97–110. Routledge, 2018. http://dx.doi.org/10.4324/9781315718439-8.

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Peterson, Paul E. "Hedging with Options." In Commodity Derivatives, 206–29. Routledge, 2018. http://dx.doi.org/10.4324/9781315718439-16.

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Conference papers on the topic "Commodity hedging"

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Kleindorfer, Paul, and Enver Yucesan. "Managing commodity procurement risk through hedging." In 2013 Winter Simulation Conference - (WSC 2013). IEEE, 2013. http://dx.doi.org/10.1109/wsc.2013.6721414.

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"Misspecification in term structure models of commodity prices: Implications for hedging price risk." In 19th International Congress on Modelling and Simulation. Modelling and Simulation Society of Australia and New Zealand (MSSANZ), Inc., 2011. http://dx.doi.org/10.36334/modsim.2011.d14.suenaga.

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Reports on the topic "Commodity hedging"

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Borensztein, Eduardo, Olivier Jeanne, and Damiano Sandri. Macro-Hedging for Commodity Exporters. Cambridge, MA: National Bureau of Economic Research, October 2009. http://dx.doi.org/10.3386/w15452.

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Acharya, Viral, Lars Lochstoer, and Tarun Ramadorai. Limits to Arbitrage and Hedging: Evidence from Commodity Markets. Cambridge, MA: National Bureau of Economic Research, March 2011. http://dx.doi.org/10.3386/w16875.

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