Relevant bibliographies by topics / Hedging Finance

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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 'Hedging Finance'

Author: Grafiati
Published: 4 June 2021
Last updated: 31 July 2024

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Journal articles on the topic "Hedging Finance"

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Hamdi, Haykel, and Jihed Majdoub. "Risk-sharing finance governance: Islamic vs conventional indexes option pricing." Managerial Finance 44, no. 5 (May 14, 2018): 540–50. http://dx.doi.org/10.1108/mf-05-2017-0199.

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Purpose Risk governance has an important influence on the hedging performances in option pricing and portfolio hedging in both discrete and dynamic case for both conventional and Islamic indexes. The paper aims to discuss these issues. Design/methodology/approach This paper explores option pricing and portfolio hedging in a discrete and dynamic case with transaction costs. Monte Carlo simulations are applied to both conventional and Islamic indexes in US and UK markets. Simulations show that conventional and Islamic assets do not exhibit the same price and portfolio hedging strategy governance
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Stentoft, Lars. "Computational Finance." Journal of Risk and Financial Management 13, no. 7 (July 4, 2020): 145. http://dx.doi.org/10.3390/jrfm13070145.

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The field of computational finance is evolving ever faster. This book collects a number of novel contributions on the use of computational methods and techniques for modelling financial asset prices, returns, and volatility, and on the use of numerical methods for pricing, hedging, and risk management of financial instruments.
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Roig Hernando, Jaume. "Humanizing Finance by Hedging Property Values." Journal of Risk and Financial Management 9, no. 2 (June 10, 2016): 5. http://dx.doi.org/10.3390/jrfm9020005.

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Cong, Jianfa, Ken Seng Tan, and Chengguo Weng. "VAR-BASED OPTIMAL PARTIAL HEDGING." ASTIN Bulletin 43, no. 3 (July 29, 2013): 271–99. http://dx.doi.org/10.1017/asb.2013.19.

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AbstractHedging is one of the most important topics in finance. When a financial market is complete, every contingent claim can be hedged perfectly to eliminate any potential future obligations. When the financial market is incomplete, the investor may eliminate his risk exposure by superhedging. In practice, both hedging strategies are not satisfactory due to their high implementation costs, which erode the chance of making any profit. A more practical and desirable strategy is to resort to the partial hedging, which hedges the future obligation only partially. The quantile hedging of Föllmer
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Buehler, H., L. Gonon, J. Teichmann, and B. Wood. "Deep hedging." Quantitative Finance 19, no. 8 (February 21, 2019): 1271–91. http://dx.doi.org/10.1080/14697688.2019.1571683.

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Madan, Dilip B. "Adapted hedging." Annals of Finance 12, no. 3-4 (November 9, 2016): 305–34. http://dx.doi.org/10.1007/s10436-016-0282-8.

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TSUZUKI, YUKIHIRO. "ON OPTIMAL SUPER-HEDGING AND SUB-HEDGING STRATEGIES." International Journal of Theoretical and Applied Finance 16, no. 06 (September 2013): 1350038. http://dx.doi.org/10.1142/s0219024913500386.

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This paper proposes optimal super-hedging and sub-hedging strategies for a derivative on two underlying assets without any specification of the underlying processes. Moreover, the strategies are free from any model of the dependency between the underlying asset prices. We derive the optimal pricing bounds by finding a joint distribution under which the derivative price is equal to the hedging portfolio's value; the portfolio consists of liquid derivatives on each of the underlying assets. As examples, we obtain new super-hedging and sub-hedging strategies for several exotic options such as qua
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Sun, Youfa, George Yuan, Shimin Guo, Jianguo Liu, and Steven Yuan. "Does model misspecification matter for hedging? A computational finance experiment based approach." International Journal of Financial Engineering 02, no. 03 (September 2015): 1550023. http://dx.doi.org/10.1142/s2424786315500231.

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To assess whether the model misspecification matters for hedging accuracy, we carefully select six increasingly complicated asset models, i.e., the Black–Scholes (BS) model, the Merton (M) model, the Heston (H) model, the Heston jump-diffusion (HJ) model, the double Heston (dbH) model and the double Heston jump-diffusion (dbHJ) model, and then impartially evaluate their performances in mitigating the risk of an option, under a controllable experimental market. In experiments, the ℙ measure asset paths are piecewisely simulated by a hybrid-model (including the Black–Scholes-type and the (double
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Korn, Olaf, and Marc Oliver Rieger. "Hedging with regret." Journal of Behavioral and Experimental Finance 22 (June 2019): 192–205. http://dx.doi.org/10.1016/j.jbef.2019.03.002.

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Bates, David S. "Hedging the smirk." Finance Research Letters 2, no. 4 (December 2005): 195–200. http://dx.doi.org/10.1016/j.frl.2005.08.004.

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Dissertations / Theses on the topic "Hedging Finance"

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Lindholm, Love. "Calibration and Hedging in Finance." Licentiate thesis, KTH, Numerisk analys, NA, 2014. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-156077.

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This thesis treats aspects of two fundamental problems in applied financial mathematics: calibration of a given stochastic process to observed marketprices on financial instruments (which is the topic of the first paper) and strategies for hedging options in financial markets that are possibly incomplete (which is the topic of the second paper). Calibration in finance means choosing the parameters in a stochastic process so as to make the prices on financial instruments generated by the process replicate observed market prices. We deal with the so called local volatility model which is one of
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Nance, Deana R. (Deana Reneé). "The Determinants of Off-Balance-Sheet Hedging in the Value-Maximizing Firm: an Empirical Analysis." Thesis, University of North Texas, 1988. https://digital.library.unt.edu/ark:/67531/metadc331494/.

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The observed use (and indeed tremendous growth in volume) of forward contracts, futures, options, and swaps as hedges against interest rate risk, foreign exchange risk, and commodity price risk indicates that hedging does add value to the firm. The purpose this research was to empirically examine the value of off-balance-sheet hedging. The benefits of off-balance-sheet hedging were found to accrue from reducing (1) taxes, (2) expected financial distress costs, and (3) agency costs. Taxes. Hedging reduces the firm's tax liability by reducing the variability in taxable income. The value of hedgi
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Yick, Ho-yin. "Theories on derivative hedging." Click to view the E-thesis via HKUTO, 2004. http://sunzi.lib.hku.hk/hkuto/record/B30703530.

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Ogg, Richard. "Hedging volatility: different perspectives compared." Master's thesis, Faculty of Commerce, 2020. http://hdl.handle.net/11427/32900.

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The accuracy of the Black and Scholes (1973) delta and vega neutral portfolio for a vanilla option was compared to a benchmark set by the Heston (1993) model in a stochastic volatility environment. The Black-Scholes portfolio was implemented using a fixed volatility and by implying volatility from the market. Additionally, a portfolio based on the Dupire (1994) local volatility model was also compared. It was found that a portfolio consisting of two short maturity options with matching maturities was best hedged by the Black-Scholes model when using implied volatility. This result was not main
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Yick, Ho-yin, and 易浩然. "Theories on derivative hedging." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2004. http://hub.hku.hk/bib/B30703530.

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Haria, Krisan. "New developments in hedging in finance and insurance." Thesis, Imperial College London, 2007. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.441279.

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Ziervogel, Graham. "Hedging performance of interest-rate models." Master's thesis, University of Cape Town, 2016. http://hdl.handle.net/11427/20482.

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This dissertation is a hedging back-study which assesses the effectiveness of interest- rate modelling and the hedging of interest-rate derivatives. Caps that trade in the Johannesburg swap market are hedged using two short-rate models, namely the Hull and White (1990) one-factor model and the subsequent Hull and White (1994) two-factor extension. This is achieved by using the equivalent Gaussian additive-factor models (G1++ and G2++) outlined by Brigo and Mercurio (2007). The hedges are constructed using different combinations of theoretical zero-coupon bonds. A flexible factor hedging method
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Kauppila, M. (Mikko). "Hedge fund tail risk:performance and hedging mechanisms." Master's thesis, University of Oulu, 2014. http://urn.fi/URN:NBN:fi:oulu-201412042095.

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The goal of this master’s thesis is to understand the performance implications of hedge fund’s tail risk, and the mechanisms of how some funds achieve lower tail risk. The current evidence on the performance implications is mixed, with most empirical hedge fund studies suggesting higher returns to higher risk. This is not obvious since the goal of skillful hedge fund managers is to deliver positive risk-adjusted returns, and indeed a few studies do report higher returns to lower risk. The issue is further complicated by the evidence of asset-level low-risk anomalies, which could create a low-s
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Zheng, Wendong. "Hedging and pricing of constant maturity swap derivatives /." View abstract or full-text, 2009. http://library.ust.hk/cgi/db/thesis.pl?MATH%202009%20ZHENG.

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Mavuso, Melusi Manqoba. "Mean-variance hedging in an illiquid market." Master's thesis, University of Cape Town, 2015. http://hdl.handle.net/11427/15595.

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Consider a market consisting of two correlated assets: one liquidly traded asset and one illiquid asset that can only be traded at time 0. For a European derivative written on the illiquid asset, we find a hedging strategy consisting of a constant (time 0) holding in the illiquid asset and dynamic trading strategies in the liquid asset and a riskless bank account that minimizes the expected square replication error at maturity. This mean-variance optimal strategy is first found when the liquidly traded asset is a local martingale under the real world probability measure through an application
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Books on the topic "Hedging Finance"

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Rheinländer, Thorsten. Hedging derivatives. New Jersey: World Scientific, 2011.

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Haughey, Brian J. Hedging Irish Options. Dublin: University College Dublin, 1990.

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Miller, Sennholz Lyn, and Helstrom Carl O, eds. Options hedging handbook. Cedar Falls, IA: Center for Futures Education, 1985.

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Eades, Simon. Options, hedging & arbitrage. London: McGraw-Hill, 1992.

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

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Miron, Paul. Pricing and hedging swaps. London: Euromoney Books, 1991.

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Rozanov, Andrew, and Ryan McRandal. Tail risk hedging. London: Risk Books, 2014.

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Merrick, John J. Hedging with mispriced futures. [Philadelphia]: Federal Reserve Bank of Philadelphia, 1987.

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Langowski, Larry. Hedging mortgage servicing rights. Chicago: Market and Product Development, Chicago Board of Trade, 1999.

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Orol, Ronald D. Extreme value hedging: How activist hedge fund managers are taking on the world. Hoboken, N.J: Wiley, 2008.

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Book chapters on the topic "Hedging Finance"

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Connor, Gregory. "Hedging." In Finance, 164–71. London: Palgrave Macmillan UK, 1989. http://dx.doi.org/10.1007/978-1-349-20213-3_18.

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Eberlein, Ernst, and Jan Kallsen. "Mean-Variance Hedging." In Springer Finance, 595–615. Cham: Springer International Publishing, 2019. http://dx.doi.org/10.1007/978-3-030-26106-1_12.

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Newbery, David M. "Futures Markets, Hedging and Speculation." In Finance, 145–52. London: Palgrave Macmillan UK, 1989. http://dx.doi.org/10.1007/978-1-349-20213-3_15.

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Hatherley, Anthony. "Hedging Asymmetric Dependence." In Asymmetric Dependence in Finance, 110–32. Chichester, UK: John Wiley & Sons Ltd, 2018. http://dx.doi.org/10.1002/9781119288992.ch5.

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Härri, Matthias. "Electricity Trading with Derivative Instruments: Speculation, Hedging, or Speculative Hedging?" In Finance in Crises, 159–75. Cham: Springer Nature Switzerland, 2023. http://dx.doi.org/10.1007/978-3-031-48071-3_11.

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Davis, Mark H. A., Walter Schachermayer, and Robert G. Tompkins. "Installment Options and Static Hedging." In Mathematical Finance, 130–39. Basel: Birkhäuser Basel, 2001. http://dx.doi.org/10.1007/978-3-0348-8291-0_12.

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Willsher, Richard. "Currency Risk and Hedging Techniques." In Export Finance, 139–42. London: Palgrave Macmillan UK, 1995. http://dx.doi.org/10.1007/978-1-349-13980-4_16.

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Lee, Raymond S. T. "Quantum Trading and Hedging Strategy." In Quantum Finance, 119–58. Singapore: Springer Singapore, 2019. http://dx.doi.org/10.1007/978-981-32-9796-8_6.

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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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Bielecki, Tomasz R., and Stéphane Crépey. "Dynamic Hedging of Counterparty Exposure." In Inspired by Finance, 47–71. Cham: Springer International Publishing, 2014. http://dx.doi.org/10.1007/978-3-319-02069-3_3.

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Conference papers on the topic "Hedging Finance"

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Kurmanova, L. "Hedging Market Risks." In International Conference on Finance, Entrepreneurship and Technologies in Digital Economy. European Publisher, 2021. http://dx.doi.org/10.15405/epsbs.2021.03.28.

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Gao, Kang, Stephen Weston, Perukrishnen Vytelingum, Namid Stillman, Wayne Luk, and Ce Guo. "Deeper Hedging: A New Agent-based Model for Effective Deep Hedging." In ICAIF '23: 4th ACM International Conference on AI in Finance. New York, NY, USA: ACM, 2023. http://dx.doi.org/10.1145/3604237.3626913.

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Florianová, Hana. "THE PORTFOLIO SELECTION FOR A HEDGING STRATEGY." In 7th Economics & Finance Conference, Tel Aviv. International Institute of Social and Economic Sciences, 2017. http://dx.doi.org/10.20472/efc.2017.007.001.

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Costa, O. L. V., A. C. Maiali, and A. de C. Pinto. "Mean-variance hedging strategies in discrete time and continuous state space." In COMPUTATIONAL FINANCE 2006. Southampton, UK: WIT Press, 2006. http://dx.doi.org/10.2495/cf060111.

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Fukasawa, Masaaki. "Conservative Delta Hedging under Transaction Costs." In Proceedings of the International Workshop on Finance 2011. WORLD SCIENTIFIC, 2012. http://dx.doi.org/10.1142/9789814407335_0004.

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Daluiso, Roberto, Marco Pinciroli, Michele Trapletti, and Edoardo Vittori. "CVA Hedging with Reinforcement Learning." In ICAIF '23: 4th ACM International Conference on AI in Finance. New York, NY, USA: ACM, 2023. http://dx.doi.org/10.1145/3604237.3626852.

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Murray, Phillip, Ben Wood, Hans Buehler, Magnus Wiese, and Mikko Pakkanen. "Deep Hedging: Continuous Reinforcement Learning for Hedging of General Portfolios across Multiple Risk Aversions." In ICAIF '22: 3rd ACM International Conference on AI in Finance. New York, NY, USA: ACM, 2022. http://dx.doi.org/10.1145/3533271.3561731.

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Tong, Anh, Thanh Nguyen-Tang, Dongeun Lee, Toan M. Tran, and Jaesik Choi. "SigFormer: Signature Transformers for Deep Hedging." In ICAIF '23: 4th ACM International Conference on AI in Finance. New York, NY, USA: ACM, 2023. http://dx.doi.org/10.1145/3604237.3626841.

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Grépat, J. "On the Limit Behavior of Option Hedging Sets under Transaction Costs." In International Workshop on Finance 2012. WORLD SCIENTIFIC, 2014. http://dx.doi.org/10.1142/9789814571647_0004.

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Vittori, Edoardo, Michele Trapletti, and Marcello Restelli. "Option hedging with risk averse reinforcement learning." In ICAIF '20: ACM International Conference on AI in Finance. New York, NY, USA: ACM, 2020. http://dx.doi.org/10.1145/3383455.3422532.

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Reports on the topic "Hedging Finance"

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Arif, Muhammad, Muhammad Abubakr Naeem, Saqib Farid, Rabindra Nepal, and Tooraj Jamasb. Diversifier or More? Hedge and Safe Haven Properties of Green Bonds During COVID-19. Copenhagen School of Energy Infrastructure, 2021. http://dx.doi.org/10.22439/csei.pb.010.

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The COVID-19 pandemic represents a global case of the fragility of the financial markets and vulnerability of natural disasters and exceptional risks. Against the backdrop of the COVID-19 pandemic, this study explores the ‘hedging’ and ‘safe-haven’ potential of green bonds for conventional equity, fixed income, commodity, and forex investments. Our results show that the green bond index could serve as a diversifier asset for medium- and long-term equity investors. It can also serve as a hedging and safe haven instrument for currency and commodity investments. This study is the first to provide
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León, John Jairo, Leandro Gaston Andrian, and Jorge Mondragón. Optimal Commodity Price Hedging. Banco Interamericano de Desarrollo, December 2022. http://dx.doi.org/10.18235/0004649.

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The dependence of many countries in the region on oil exports makes them vulnerable to oil price volatility. In particular, the sharp declines observed between 2014 and 2016 show how public finances weakened with significant debt increases in these countries. A strategy to mitigate the effect of sharp falls in oil prices would allow oil exporting countries to suffer a smaller impact on their public finances. This paper shows that using put options to insure against oil price hikes lowers public debt and fiscal deficits.
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