Relevant bibliographies by topics / Fuel hedging

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  1. Journal articles
  2. Dissertations / Theses
  3. Books
  4. Book chapters
  5. Conference papers
  6. Reports

Academic literature on the topic 'Fuel hedging'

Author: Grafiati
Published: 4 June 2021
Last updated: 15 February 2022

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Journal articles on the topic "Fuel hedging"

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Korkeamäki, Timo, Eva Liljeblom, and Markus Pfister. "Airline fuel hedging and management ownership." Journal of Risk Finance 17, no. 5 (November 21, 2016): 492–509. http://dx.doi.org/10.1108/jrf-06-2016-0077.

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Purpose The purpose of this paper is to study the value effects of hedging in the airline industry during a period of high volatility and high fuel costs. The authors also study the determinants of hedging in the airline industry, most importantly whether managerial ownership affects airlines’ tendency to hedge their fuel price risk. Design/methodology/approach This study’s research design follows closely previous studies in the area. This allows comparison of the results of this study to those reported earlier, and thus the authors can draw conclusions about the effects of the different market conditions during the sample period. Findings The authors find a positive relationship between hedging and firm value, but the relationship is weaker than what is reported in prior studies. The result appears driven by the early part of the sample, whereas in the latter half of the sample, when uncertainty and fuel price are higher, the hedging premium is smaller. The authors also find that hedging premium is larger for firms that follow passive hedging strategies and that managerial ownership increases the firms’ degree of hedging. Originality/value This study provides new results on the old question of whether hedging generates value in the airline industry. The recent period of high volatility and high fuel prices makes this an interesting question to re-visit.
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Adams, Zeno, and Mathias Gerner. "Cross hedging jet-fuel price exposure." Energy Economics 34, no. 5 (September 2012): 1301–9. http://dx.doi.org/10.1016/j.eneco.2012.06.011.

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Lim, Siew Hoon, and Yongtao Hong. "Fuel hedging and airline operating costs." Journal of Air Transport Management 36 (April 2014): 33–40. http://dx.doi.org/10.1016/j.jairtraman.2013.12.009.

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Hu, Rong, Yi-bin Xiao, and Changmin Jiang. "Jet fuel hedging, operational fuel efficiency improvement and carbon tax." Transportation Research Part B: Methodological 116 (October 2018): 103–23. http://dx.doi.org/10.1016/j.trb.2018.07.012.

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Morrell, Peter, and William Swan. "Airline Jet Fuel Hedging: Theory and Practice." Transport Reviews 26, no. 6 (November 2006): 713–30. http://dx.doi.org/10.1080/01441640600679524.

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Berghöfer, Britta, and Brian Lucey. "Fuel hedging, operational hedging and risk exposure — Evidence from the global airline industry." International Review of Financial Analysis 34 (July 2014): 124–39. http://dx.doi.org/10.1016/j.irfa.2014.02.007.

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Franken, Jason R. V., Scott H. Irwin, and Philip Garcia. "Biodiesel hedging under binding renewable fuel standard mandates." Energy Economics 96 (April 2021): 105160. http://dx.doi.org/10.1016/j.eneco.2021.105160.

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Swidan, Hassan, Rico Merkert, and Oh Kang Kwon. "Designing optimal jet fuel hedging strategies for airlines – Why hedging will not always reduce risk exposure." Transportation Research Part A: Policy and Practice 130 (December 2019): 20–36. http://dx.doi.org/10.1016/j.tra.2019.09.014.

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Giambona, Erasmo, and Ye Wang. "Derivatives Supply and Corporate Hedging: Evidence from the Safe Harbor Reform of 2005." Review of Financial Studies 33, no. 11 (February 10, 2020): 5015–50. http://dx.doi.org/10.1093/rfs/hhaa015.

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Abstract This article analyzes the importance of supply-side fluctuations for corporate hedging. To establish a causal link, we exploit a regulatory change that allows derivatives counterparties to circumvent the Bankruptcy Code’s automatic stay: the Safe Harbor Reform of 2005. Following the reform-induced expansion in the availability of derivatives, fuel hedging by airlines nearing financial distress (those that benefited most from the reform) significantly increased in comparison with financially sound airlines. We find that the hedging propensity similarly increased in a general sample of nonfinancial firms. In line with theory, we also find that operating performance increased for the affected firms.
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Merkert, Rico, and Hassan Swidan. "Making Fuel Hedging a Meaningful Strategy - The Case of Airlines." Academy of Management Proceedings 2016, no. 1 (January 2016): 15808. http://dx.doi.org/10.5465/ambpp.2016.15808abstract.

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Dissertations / Theses on the topic "Fuel hedging"

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Shehadi, Charles A. III (Charles Anthony), and Michael R. Witalec. "How to utilize hedging and a fuel surcharge program to stabilize the cost of fuel." Thesis, Massachusetts Institute of Technology, 2010. http://hdl.handle.net/1721.1/61186.

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Thesis (M. Eng. in Logistics)--Massachusetts Institute of Technology, Engineering Systems Division, 2010.
Cataloged from PDF version of thesis.
Includes bibliographical references (p. 101-103).
This paper looks at some of these travails as well as the common tools used to approach a volatile priced commodity, diesel fuel. It focuses on the impacts of hedging for companies that are directly impacted through the consumption of diesel fuel in addition to companies that are indirectly impacted because they outsource their transportation. It examines the impact of a fuel surcharge and how it distributes risk throughout the supply chain. To complement the research, analysis was conducted in the form of a survey to benchmark the industry with respect to current practices of hedging and fuel surcharges, a sensitivity test of a fuel surcharge matrix to find its appropriate usage, and a simulation to provide guidance as to the appropriate strategy for hedging. Lessons learned from the survey flowed into the sensitivity testing and simulation. These three segments of analysis highlighted the problem of volatility, increasing cost, and inability to pass on the cost, proving the true pain of fuel in the market. Ultimately, the paper answers: How to utilize hedging and a fuel surcharge program to stabilize the cost of fuel? The survey showed the wide adoption of fuel surcharges, confirming the academic research. The sensitivity test proved the need to keep the escalator variable in line with a carrier's actual fuel efficiency and standardize for all carriers. The simulation recommended longer term derivatives. Putting this together, the fuel surcharge establishes stability for the carrier, at the risk of the shipper. The shipper must maintain that stability through its maintenance of the escalator in the fuel surcharge matrix. Additionally, the shipper should hedge fuel via long term derivatives to establish personal fuel cost stability, creating a competitive advantage and enabling the shipper to compete more effectively.
by Charles A. Shehadi, III and Michael R. Witalec.
M.Eng.in Logistics
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Schweitzer, Brandon Lee. "Jet Fuel Hedging and Modern Financial Theory in the U.S. Airline Industry." ScholarWorks, 2017. https://scholarworks.waldenu.edu/dissertations/3323.

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To counter the problem of the volatility of jet fuel prices within the United States, many financial managers of U.S. airlines use hedging as a financial tool to mitigate the risk of exposure to market price volatility. However, their efforts often lead to financial distress for their airlines. The purpose of this qualitative grounded theory study was to explore U.S. airline managers' use of financial hedging to reduce the risk of exposure from the volatility of jet fuel prices. The conceptual framework was Simkowitz's theory of modern finance, which concerns debt policy, dividend policy, and investment policy as they relate to financial decision making by upper management. The research questions addressed when, why, and how U.S. airline financial managers would consider the use of hedging as a financial tool to mitigate the risk in the purchase of jet fuel at times of lower jet fuel prices. Interviews with a purposive sample of 20 U.S. airline financial managers provided data for analysis and theory development of jet fuel hedging utilization in the U.S. airline industry. Data analysis using the constant comparative method enabled the development of a theory of jet fuel hedging utilization. Participants reported using over-the-counter derivatives purchasing strategies as a form of hedging to protect their airlines against spikes in jet fuel prices on the open market. Using study findings, managers may be able to reduce jet fuel operating costs in the U.S. airline industry. Implications for positive social change include potentially higher profits and more jobs as well as lower consumer prices.
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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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Haliplii, Rostislav. "Hedging in alternative aarkets." Thesis, Paris 1, 2020. http://www.theses.fr/2020PA01E059.

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La recherche faisant l'objet de cette thèse se concentre sur deux marchés alternatifs: les crypto­monnaies et les produits pétroliers. La plupart des marchés alternatifs sont loin d'être efficaces, et cela génère beaucoup de défis en termes de modélisation. Les modèles basés sur des distributions gaussiennes sont toujours le choix le plus populaire pour les analystes financiers quantitatifs et sont mis en œuvre même sur des marchés qui sont loin d'être efficients. Un cadre de modélisation solide pour l'alternative des actifs doit partir d'une distribution non gaussienne. Par conséquent, tout au long de cette thèse, le thème général de toutes les simulations et estimations est l'utilisation de l'hyperbolique généralisée distributions. Cette approche a une double justification. D'une part, il est essentiel pour développer un cadre quantitatif tranchant au-delà de l'univers gaussien, tester les performances du nouveau modèle dans des situations réelles. D'autre part, les marchés faisant l'objet de cette recherche (produits pétroliers et crypte-monnaies) n'ont ni les fondamentaux ni le comportement empirique qui pourraient justifier la modélisation traditionnelle
The research making the object of this thesis focuses on two alternative markets: cryptocurrencies and oil-distillates. Most alternative markets are far from being efficient, and this generates a lot of challenges in terms of modelling. Models based on Gaussian distributions are still the most popular choice for quantitative analysts and are implemented even in markets which are far from being efficient. A sound modelling framework for alternative assets should start from non-Gaussian distribution. Therefore, throughout this thesis, the overarching theme for ail simulations and estimations is the use of generalized hyperbolic distributions. This approach has a two-edged justification. On the one hand, it is critical to developing a fully-edged quantitative framework beyond the Gaussian universe, thereby testing the performance of the new mode! in real-life situations. On the other hand, the markets making the object of this research (oil distillates and crypto-currencies) have neither the fundamentals nor the empirical behaviour that could justify traditional modelling
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Falahee, Mara. "As the Price of Oil Decreases, Does Airline Profitability Increase?" Scholarship @ Claremont, 2016. http://scholarship.claremont.edu/scripps_theses/799.

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With a dramatic decrease in oil prices over the past few years, the opportunity for increased profitability within transportation companies has become a relevant topic of discussion. Oil is a commodity that influences the price of gas and jet fuel. As commodity prices, and oil prices in particular, have collapsed, one would expect transportation companies to benefit from a decrease in operating expenses and experience an increase in profitability. Through this thesis, I seek to prove that despite a dramatic decline in the price of oil, airline companies have not benefited due to their engagement in hedging activities, and therefore have not experienced an increase in profitability. My dataset includes a collection of operating expenses and operating profit for the four major domestic airline companies over the past seven years. These companies include Southwest, Delta, United, and American Airlines. I tested my hypothesis through regression analysis, and used fuel derivative gains or losses as the independent variable and operating profit as the dependent variable. Although my results are not significant, my analysis indicates that operating profit has, in fact, decreased through this recent period of declining oil prices, due to an increase in operating expenses through airline companies’ hedging activities.
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Felder, Frank Andrew. "Hedging natural gas price risk by electric utilities : a comparison of fuel switching to financial contracts." Thesis, Massachusetts Institute of Technology, 1994. http://hdl.handle.net/1721.1/28123.

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Bigdeli, Sam, and Petra Marcusson. "Oil exposure, hedging and firm value : A quantitative study on the U.S. airline industry." Thesis, Linnéuniversitetet, Institutionen för ekonomistyrning och logistik (ELO), 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:lnu:diva-75438.

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This thesis examines the impact of oil price fluctuations and jet fuel hedging on firm value before, during and after the subprime crisis. Four regressions are estimated with two different variables representing firm value; market return and market valuation. The result of this study shows that the airlines’ oil price exposure has substantially decreased over time and that jet fuel hedging does not add value for investors.
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Caetano, Bruno Manuel Matos. "Aplicação de estratégias de hedging com futuros no custo de combustível da Força Aérea Portuguesa." Master's thesis, Instituto Superior de Economia e Gestão, 2013. http://hdl.handle.net/10400.5/6308.

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Mestrado em Contabilidade, Fiscalidade e Finanças Empresariais
No quadro da atual conjuntura económica de elevada vulnerabilidade, a gestão do risco assume um papel relevante do ponto de vista organizacional. Neste sentido, o presente trabalho tem como objetivo apresentar e discutir a análise dos efeitos da aplicação de estratégias de hedging no custo com jet fuel da Força Aérea Portuguesa (FAP), através da utilização de futuros sobre o heating oil. A aplicação desta estratégia pretende minimizar a volatilidade do preço da matéria-prima bem como reduzir o custo total decorrente do aumento de valor do combustível nos mercados, aumentado desta forma a estabilidade orçamental. Assim, foi utilizada uma metodologia ex post facto baseada no preço pago em jet fuel pela FAP (JP8 e Jet A1), no período entre Abril de 2006 e Dezembro de 2011, considerando três cenários de hedging: aquisição de futuros anual, semestral, e trimestral. Para cada cenário foi estudada a percentagem de hedging ideal. Os resultados demonstram que, genericamente, uma cobertura total das necessidades de ambos os combustíveis através da compra de contratos de futuros do heating oil permitiria uma poupança e uma menor volatilidade no preço de combustível. A aquisição anual de futuros revelou-se a opção mais consistente no quadro da gestão de risco aqui analisada, dado que permitiria uma poupança total de 7,356 milhões ao longo dos seis anos do estudo, demonstrando que a aplicação de estratégias de hedging poderia ter-se afigurado uma alternativa viável no contexto da FAP. Estes resultados revelam-se congruentes com dados de estudos internacionais desenvolvidos quer no sector público quer no privado.
Under the current economic situation of high vulnerability, risk management plays an important role in organizations. In this sense, the objective of this research is to present and discuss the analysis of the implementation of jet fuel hedging strategies in Portuguese Air Force (PoAF), through the use of heating oil futures. The application of such strategies aims to reduce the volatility of monthly purchase price and reduce the total cost resulting from sudden upturn in jet prices, thereby increasing budgetary stability. Thus, was used an ex post facto methodology based in price paid for jet fuel (JP8 and Jet A1) in the period from April 2006 to December 2011, considering three hedging scenarios: cover twelve, six and three months ahead. For each scenario was studied the optimal hedging position. The results show that, generally, full coverage of jet fuel needs by purchasing heating oil futures contracts allow savings and less volatility in the price of fuel. The annual cover proved to be the more consistent strategy in the risk management analysis as it would have provided savings of 7,356 million over the six years of the study, showing that PoAF would have benefited from undertaking a hedging position. These results are consistent with data from international studies developed either in the private or public sector.
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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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Rocha, Raquel Mafra. "Fuel hedging e o impacto cambial : uma análise sobre os custos operacionais das companhias aéreas IAG e Finnair." Master's thesis, Instituto Superior de Economia e Gestão, 2019. http://hdl.handle.net/10400.5/20107.

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Mestrado em Contabilidade, Fiscalidade e Finanças Empresariais
A indústria aérea tem se deparado com a crescente volatilidade que tem existido no mercado do petróleo, uma vez que afeta os seus custos, tendo o combustível um peso de cerca de 30% dos custos operacionais da indústria. Esta situação leva ao uso de várias estratégias de gestão do risco do combustível por parte das companhias aéreas, com o objetivo de redução dos custos do combustível e eliminação da volatilidade dos preços de mercado. Face a situação atual nos mercados, este trabalho visa analisar os custos operacionais de duas companhias aéreas, a IAG e a Finnair. Tem o objetivo de estudar a evolução das receitas e dos custos que as organizações incorreram com as atuais estratégias de hedging do combustível e da taxa de câmbio para assim poder comparar os resultados obtidos pelas diferentes estratégias utilizadas e identificar qual das duas foi a mais eficiente. Iniciamos o estudo através de uma análise da estatística descritiva dos custos e receitas operacionais de cada empresa, recorrendo a medidas standard da aviação. Posteriormente, recorremos a regressões lineares para estudar o impacto do preço do petróleo e como o câmbio interfere no custo unitário do combustível, utilizando variáveis de controlo nas regressões.
The Aviation industry as struggled against the increased volatility that exists in the oil market, affecting its costs, with the fuel weighing 30% in the industries operational costs. This situation leads to the adoption of several risk management strategies for fuel by aviation companies with the goal of fuel cost reduction and thus mitigating the volatility in market prices. In light of current market situation, this work aims to study the operational costs of two airlines, IAG and Finnair, the goal is to check the evolution of their costs an revenues against their hedging strategies for both fuel and currency exchange and thus comparing results achieved by both airlines and find the most efficient one. The study began with a statistical analysis of operational costs and revenue for both entities using standard aviation metrics and later integrating linear regressions to study the impact of oil (price) and currency exchange rate in the cost of fuel, control variables were also used.
info:eu-repo/semantics/publishedVersion
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Books on the topic "Fuel hedging"

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Dafir, Simo M., and Vishnu N. Gajjala. Fuel Hedging and Risk Management. Chichester, UK: John Wiley & Sons, Ltd, 2016. http://dx.doi.org/10.1002/9781119026747.

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Kevin, DeCorla-Souza, Science Applications International Corporation, Transit Cooperative Research Program, United States. Federal Transit Administration, Transit Development Corporation, and National Research Council (U.S.). Transportation Research Board, eds. Guidebook for evaluating fuel purchasing strategies for public transit agencies. Washington, D.C: Transportation Research Board, 2012.

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Gajjala, Vishnu N., and Simo M. Dafir. Fuel Hedging and Risk Management: Strategies for Airlines, Shippers and Other Consumers. Wiley & Sons, Incorporated, John, 2016.

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Gajjala, Vishnu N., and Simo M. Dafir. Fuel Hedging and Risk Management: Strategies for Airlines, Shippers and Other Consumers. Wiley & Sons, Incorporated, John, 2016.

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Dafir, S. Mohamed. Fuel hedging and risk management: Strategies for airlines, shippers and other consumers. 2016.

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Björk, Tomas. Arbitrage Theory in Continuous Time. Oxford University Press, 2019. http://dx.doi.org/10.1093/oso/9780198851615.001.0001.

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The fourth edition of this textbook on pricing and hedging of financial derivatives, now also including dynamic equilibrium theory, continues to combine sound mathematical principles with economic applications. Concentrating on the probabilistic theory of continuous time arbitrage pricing of financial derivatives, including stochastic optimal control theory and optimal stopping theory, the book is designed for graduate students in economics and mathematics, and combines the necessary mathematical background with a solid economic focus. It includes a solved example for every new technique presented, contains numerous exercises, and suggests further reading in each chapter. All concepts and ideas are discussed, not only from a mathematics point of view, but the mathematical theory is also always supplemented with lots of intuitive economic arguments. In the substantially extended fourth edition Tomas Björk has added completely new chapters on incomplete markets, treating such topics as the Esscher transform, the minimal martingale measure, f-divergences, optimal investment theory for incomplete markets, and good deal bounds. There is also an entirely new part of the book presenting dynamic equilibrium theory. This includes several chapters on unit net supply endowments models, and the Cox–Ingersoll–Ross equilibrium factor model (including the CIR equilibrium interest rate model). Providing two full treatments of arbitrage theory—the classical delta hedging approach and the modern martingale approach—the book is written in such a way that these approaches can be studied independently of each other, thus providing the less mathematically oriented reader with a self-contained introduction to arbitrage theory and equilibrium theory, while at the same time allowing the more advanced student to see the full theory in action.
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Book chapters on the topic "Fuel hedging"

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Vasigh, Bijan, and Zane C. Rowe. "Airline fuel hedging practice." In Foundations of Airline Finance, 473–515. Third edition. | Abingdon, Oxon ; New York, NY : Routledge, 2019.: Routledge, 2019. http://dx.doi.org/10.4324/9780429429293-11.

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"Developing Fuel Hedging Strategies." In Fuel Hedging and Risk Management, 55–75. Chichester, UK: John Wiley & Sons, Ltd, 2016. http://dx.doi.org/10.1002/9781119026747.ch3.

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"Applied Fuel Hedging - Case Studies." In Fuel Hedging and Risk Management, 253–76. Chichester, UK: John Wiley & Sons, Ltd, 2016. http://dx.doi.org/10.1002/9781119026747.ch10.

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"Fuel Hedging and Counterparty Risk." In Fuel Hedging and Risk Management, 191–217. Chichester, UK: John Wiley & Sons, Ltd, 2016. http://dx.doi.org/10.1002/9781119026747.ch7.

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"Exotic Hedging and Volatility Dynamics." In Fuel Hedging and Risk Management, 141–90. Chichester, UK: John Wiley & Sons, Ltd, 2016. http://dx.doi.org/10.1002/9781119026747.ch6.

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Vasigh, Bijan, Ken Fleming, and Liam Mackay. "Fuel Hedging and Risk Management." In Foundations of Airline Finance, 309–37. Routledge, 2017. http://dx.doi.org/10.4324/9781351158046-11.

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"Advanced Hedging and Forward Curve Dynamics." In Fuel Hedging and Risk Management, 113–40. Chichester, UK: John Wiley & Sons, Ltd, 2016. http://dx.doi.org/10.1002/9781119026747.ch5.

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"Bibliography." In Fuel Hedging and Risk Management, 277–80. Chichester, UK: John Wiley & Sons, Ltd, 2016. http://dx.doi.org/10.1002/9781119026747.biblio.

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"Energy Commodities and Price Formation." In Fuel Hedging and Risk Management, 1–21. Chichester, UK: John Wiley & Sons, Ltd, 2016. http://dx.doi.org/10.1002/9781119026747.ch1.

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"Major Energy Consumers and the Rationale for Fuel Hedging." In Fuel Hedging and Risk Management, 23–54. Chichester, UK: John Wiley & Sons, Ltd, 2016. http://dx.doi.org/10.1002/9781119026747.ch2.

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Conference papers on the topic "Fuel hedging"

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Fei, Fan, Junjie Liu, and Qiuhong Song. "Fuel Hedging and Optimal Energy Management." In 2019 IEEE International Conference on Energy Internet (ICEI). IEEE, 2019. http://dx.doi.org/10.1109/icei.2019.00089.

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Kantor, J., and P. Mousaw. "Optimal hedging for flexible fuel energy conversion networks." In 2010 American Control Conference (ACC 2010). IEEE, 2010. http://dx.doi.org/10.1109/acc.2010.5531045.

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Huang, Xin, and Duan Li. "A Two-level Reinforcement Learning Algorithm for Ambiguous Mean-variance Portfolio Selection Problem." In Twenty-Ninth International Joint Conference on Artificial Intelligence and Seventeenth Pacific Rim International Conference on Artificial Intelligence {IJCAI-PRICAI-20}. California: International Joint Conferences on Artificial Intelligence Organization, 2020. http://dx.doi.org/10.24963/ijcai.2020/624.

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Traditional modeling on the mean-variance portfolio selection often assumes a full knowledge on statistics of assets' returns. It is, however, not always the case in real financial markets. This paper deals with an ambiguous mean-variance portfolio selection problem with a mixture model on the returns of risky assets, where the proportions of different component distributions are assumed to be unknown to the investor, but being constants (in any time instant). Taking into consideration the updates of proportions from future observations is essential to find an optimal policy with active learning feature, but makes the problem intractable when we adopt the classical methods. Using reinforcement learning, we derive an investment policy with a learning feature in a two-level framework. In the lower level, the time-decomposed approach (dynamic programming) is adopted to solve a family of scenario subcases where in each case the series of component distributions along multiple time periods is specified. At the upper level, a scenario-decomposed approach (progressive hedging algorithm) is applied in order to iteratively aggregate the scenario solutions from the lower layer based on the current knowledge on proportions, and this two-level solution framework is repeated in a manner of rolling horizon. We carry out experimental studies to illustrate the execution of our policy scheme.
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Reports on the topic "Fuel hedging"

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DEFENSE BUSINESS BOARD WASHINGTON DC. Fuel Hedging Task Group. Fort Belvoir, VA: Defense Technical Information Center, March 2004. http://dx.doi.org/10.21236/ada525975.

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