Relevant bibliographies by topics / Hedging models

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  1. Journal articles
  2. Dissertations / Theses
  3. Books
  4. Book chapters
  5. Conference papers
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Academic literature on the topic 'Hedging models'

Author: Grafiati
Published: 4 June 2021
Last updated: 1 February 2022

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Journal articles on the topic "Hedging models"

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BRODÉN, MATS, and PETER TANKOV. "TRACKING ERRORS FROM DISCRETE HEDGING IN EXPONENTIAL LÉVY MODELS." International Journal of Theoretical and Applied Finance 14, no. 06 (2011): 803–37. http://dx.doi.org/10.1142/s0219024911006760.

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We analyze the errors arising from discrete readjustment of the hedging portfolio when hedging options in exponential Lévy models, and establish the rate at which the expected squared error goes to zero when the readjustment frequency increases. We compare the quadratic hedging strategy with the common market practice of delta hedging, and show that for discontinuous option pay-offs the latter strategy may suffer from very large discretization errors. For options with discontinuous pay-offs, the convergence rate depends on the underlying Lévy process, and we give an explicit relation between t
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Di Tella, Paolo, Martin Haubold, and Martin Keller-Ressel. "Semi-static variance-optimal hedging in stochastic volatility models with Fourier representation." Journal of Applied Probability 56, no. 3 (2019): 787–809. http://dx.doi.org/10.1017/jpr.2019.41.

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AbstractWe introduce variance-optimal semi-static hedging strategies for a given contingent claim. To obtain a tractable formula for the expected squared hedging error and the optimal hedging strategy we use a Fourier approach in a multidimensional factor model. We apply the theory to set up a variance-optimal semi-static hedging strategy for a variance swap in the Heston model, which is affine, in the 3/2 model, which is not, and in a market model including jumps.
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El Euch, Omar, and Mathieu Rosenbaum. "Perfect hedging in rough Heston models." Annals of Applied Probability 28, no. 6 (2018): 3813–56. http://dx.doi.org/10.1214/18-aap1408.

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Y. Uppal, Jamshed, and Syeda Rabab Mudakkar. "Mitigating Vulnerability to Oil Price Risk— Applicability of Risk Models to Pakistan’s Energy Problem." Pakistan Development Review 53, no. 3 (2014): 293–308. http://dx.doi.org/10.30541/v53i3pp.293-308.

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The paper examines the prospects of reducing the price risk of Pakistan’s oil imports through hedging in the oil futures market. The paper evaluates the ex-ante cross hedge strategies over the 1990–2013 period using 1–4 months futures NYMEX in order to see how to reduce price risk? Our results indicate that in all cases except one, ex-ante hedging would have been effective in reducing price risk. We provide quantitative estimates of the return/risk tradeoffs from hedging Pakistan’s oil imports, and find that futures hedging offers the country significant risk-reduction potential. Keywords: Ris
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HELL, PHILIPP, THILO MEYER-BRANDIS, and THORSTEN RHEINLÄNDER. "CONSISTENT FACTOR MODELS FOR TEMPERATURE MARKETS." International Journal of Theoretical and Applied Finance 15, no. 04 (2012): 1250027. http://dx.doi.org/10.1142/s0219024912500276.

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We propose an approach for pricing and hedging weather derivatives based on including forward looking information about the temperature available to the market. This is achieved by modeling temperature forecasts by a finite dimensional factor model. Temperature dynamics are then inferred in the short end. In analogy to interest rate theory, we establish conditions which guarantee consistency of a factor model with the martingale dynamics of temperature forecasts. Finally, we consider a specific two-factor model and examine in more detail pricing and hedging of weather derivatives in this conte
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Horvath, Blanka, Josef Teichmann, and Žan Žurič. "Deep Hedging under Rough Volatility." Risks 9, no. 7 (2021): 138. http://dx.doi.org/10.3390/risks9070138.

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We investigate the performance of the Deep Hedging framework under training paths beyond the (finite dimensional) Markovian setup. In particular, we analyse the hedging performance of the original architecture under rough volatility models in view of existing theoretical results for those. Furthermore, we suggest parsimonious but suitable network architectures capable of capturing the non-Markoviantity of time-series. We also analyse the hedging behaviour in these models in terms of Profit and Loss (P&L) distributions and draw comparisons to jump diffusion models if the rebalancing frequen
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Liu, Qingfu, Michael T. Chng, and Dongxia Xu. "Hedging Industrial Metals With Stochastic Volatility Models." Journal of Futures Markets 34, no. 8 (2014): 704–30. http://dx.doi.org/10.1002/fut.21671.

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Biagini, Francesca, Paolo Guasoni, and Maurizio Pratelli. "Mean-Variance Hedging for Stochastic Volatility Models." Mathematical Finance 10, no. 2 (2000): 109–23. http://dx.doi.org/10.1111/1467-9965.00084.

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Kallsen, Jan, and Richard Vierthauer. "Quadratic hedging in affine stochastic volatility models." Review of Derivatives Research 12, no. 1 (2009): 3–27. http://dx.doi.org/10.1007/s11147-009-9034-5.

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Augustyniak, Maciej, Alexandru Badescu, and Zhiyu Guo. "Lattice-based hedging schemes under GARCH models." Quantitative Finance 21, no. 5 (2021): 697–710. http://dx.doi.org/10.1080/14697688.2020.1865559.

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Dissertations / Theses on the topic "Hedging models"

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Fu, Jun, and 付君. "Asset pricing, hedging and portfolio optimization." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2012. http://hub.hku.hk/bib/B48199345.

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Starting from the most famous Black-Scholes model for the underlying asset price, there has been a large variety of extensions made in recent decades. One main strand is about the models which allow a jump component in the asset price. The first topic of this thesis is about the study of jump risk premium by an equilibrium approach. Different from others, this work provides a more general result by modeling the underlying asset price as the ordinary exponential of a L?vy process. For any given asset price process, the equity premium, pricing kernel and an equilibrium option pricing for
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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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Antczak, Magdalena, and Marta Leniec. "Pricing and Hedging of Defaultable Models." Thesis, Högskolan i Halmstad, Tillämpad matematik och fysik (MPE-lab), 2011. http://urn.kb.se/resolve?urn=urn:nbn:se:hh:diva-16052.

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Modelling defaultable contingent claims has attracted a lot of interest in recent years, motivated in particular by the Late-2000s Financial Crisis. In several papers various approaches on the subject have been made. This thesis tries to summarize these results and derive explicit formulas for the prices of financial derivatives with credit risk. It is divided into two main parts. The first one is devoted to the well-known theory of modelling the default risk while the second one presents the results concerning pricing of the defaultable models that we obtained ourselves.
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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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Vocke, Carsten. "Hedging with multi-factor interest rate models /." [St. Gallen] : [s.n.], 2005. http://www.gbv.de/dms/zbw/503121223.pdf.

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Ward, Ian. "Hedging & calibration for credit risk models." Thesis, Imperial College London, 2009. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.501765.

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Zhou, Yu. "Option pricing and hedging in jump diffusion models." Thesis, Uppsala University, Department of Mathematics, 2010. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-125733.

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Vierthauer, Richard [Verfasser]. "Hedging in affine stochastic volatility models / Richard Vierthauer." Kiel : Universitätsbibliothek Kiel, 2010. http://d-nb.info/1020001178/34.

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Payne, M. K. "Hedging and trading models for currency options portfolios." Thesis, Imperial College London, 1991. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.296907.

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Nogueira, Leonardo Martins. "Hedging options with local and stochastic volatility models." Thesis, University of Reading, 2006. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.435713.

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Books on the topic "Hedging models"

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Rheinländer, Thorsten. Hedging derivatives. World Scientific, 2011.

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

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Black, Fischer. Equilibrium exchange rate hedging. National Bureau of Economic Research, 1989.

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Wei, Shang-Jin. Currency hedging and goods trade. National Bureau of Economic Research, 1998.

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1952-, Rutkowski Marek, ed. Credit risk: Modeling, valuation and hedging. Springer, 2002.

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Froot, Kenneth. Currency hedging over long horizons. National Bureau of Economic Research, 1993.

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Lustig, Hanno. Fiscal hedging and the yield curve. National Bureau of Economic Research, 2005.

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Lustig, Hanno. Fiscal hedging and the yield curve. National Bureau of Economic Research, 2005.

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Rosenberg, Joshua. Option hedging using empirical pricing kernels. National Bureau of Economic Research, 1997.

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Vukina, Tomislaw. State-space forecasting approach to optimal intertemporal hedging. University of Rhode Island, Dept. of Resource Economics, 1992.

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Book chapters on the topic "Hedging models"

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Deutsch, Hans-Peter. "Hedging." In Derivatives and Internal Models. Palgrave Macmillan UK, 2002. http://dx.doi.org/10.1057/9780230502109_13.

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Deutsch, Hans-Peter. "Hedging." In Derivatives and Internal Models. Palgrave Macmillan UK, 2004. http://dx.doi.org/10.1057/9781403946089_13.

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Deutsch, Hans-Peter. "Hedging." In Derivatives and Internal Models. Palgrave Macmillan UK, 2009. http://dx.doi.org/10.1057/9780230234758_12.

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Deutsch, Hans-Peter, and Roland Eller. "Hedging." In Derivatives and Internal Models. Palgrave Macmillan UK, 1999. http://dx.doi.org/10.1007/978-1-349-14979-7_6.

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Deutsch, Hans-Peter, and Mark W. Beinker. "Hedging." In Derivatives and Internal Models. Springer International Publishing, 2019. http://dx.doi.org/10.1007/978-3-030-22899-6_12.

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Nagurney, Anna, and Stavros Siokos. "International Models with Hedging." In Financial Networks. Springer Berlin Heidelberg, 1997. http://dx.doi.org/10.1007/978-3-642-59066-5_12.

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Nagurney, Anna, and Stavros Siokos. "Static Single Country Hedging Models." In Financial Networks. Springer Berlin Heidelberg, 1997. http://dx.doi.org/10.1007/978-3-642-59066-5_7.

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Cesari, Giovanni, John Aquilina, Niels Charpillon, Zlatko Filipović, Gordon Lee, and Ion Manda. "Simulation Models." In Modelling, Pricing, and Hedging Counterparty Credit Exposure. Springer Berlin Heidelberg, 2009. http://dx.doi.org/10.1007/978-3-642-04454-0_3.

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Gouriéroux, Christian. "Efficient Portfolios and Hedging Portfolios." In ARCH Models and Financial Applications. Springer New York, 1997. http://dx.doi.org/10.1007/978-1-4612-1860-9_7.

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Copeland, Laurence, and Yanhui Zhu. "Hedging Effectiveness in the Index Futures Market." In Nonlinear Financial Econometrics: Forecasting Models, Computational and Bayesian Models. Palgrave Macmillan UK, 2011. http://dx.doi.org/10.1057/9780230295223_6.

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Conference papers on the topic "Hedging models"

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Yamada, Yuji. "Optimal Hedging with Additive Models." In Proceedings of the KIER–TMU International Workshop on Financial Engineering 2010. WORLD SCIENTIFIC, 2011. http://dx.doi.org/10.1142/9789814366038_0011.

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CECI, C. "OPTION HEDGING FOR HIGH FREQUENCY DATA MODELS." In Selected Contributions from the 8th SIMAI Conference. WORLD SCIENTIFIC, 2007. http://dx.doi.org/10.1142/9789812709394_0021.

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Yamada, Yuji. "Optimal hedging for multivariate derivatives based on additive models." In 2011 American Control Conference. IEEE, 2011. http://dx.doi.org/10.1109/acc.2011.5990828.

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Gruenwald, Benjamin C., Daniel Wagner, Tansel Yucelen, and Jonathan A. Muse. "An LMI-Based Hedging Approach to Model Reference Adaptive Control With Actuator Dynamics." In ASME 2015 Dynamic Systems and Control Conference. American Society of Mechanical Engineers, 2015. http://dx.doi.org/10.1115/dscc2015-9894.

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Although model reference adaptive control has been used in numerous applications to achieve system performance without excessive reliance on dynamical system models, the presence of actuator dynamics can seriously limit the stability and the achievable performance of adaptive controllers. In this paper, an linear matrix inequalities-based hedging approach is developed and evaluated for model reference adaptive control of uncertain dynamical systems in the presence of actuator dynamics. The hedging method modifies the ideal reference model dynamics in order to allow correct adaptation that does
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Yamada, Yuji. "Optimal hedging of path-dependent basket options with additive models." In 2015 54th IEEE Conference on Decision and Control (CDC). IEEE, 2015. http://dx.doi.org/10.1109/cdc.2015.7402375.

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Bielecki, Tomasz R., Monique Jeanblanc, and Marek Rutkowski. "Hedging of Credit Derivatives in Models with Totally Unexpected Default." In Proceedings of the 5th Ritsumeikan International Symposium. WORLD SCIENTIFIC, 2006. http://dx.doi.org/10.1142/9789812774637_0002.

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Liu, S. D., J. B. Jian, and Y. Y. Wang. "Optimal dynamic hedging of electricity futures based on copula-GARCH models." In EM). IEEE, 2010. http://dx.doi.org/10.1109/ieem.2010.5674323.

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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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Morrison, James R., and P. R. Kumar. "Linear Programming Performance Bounds for Markov Chains With Polyhedrally Translation Invariant Probabilities and Applications to Unreliable Manufacturing Systems and Enhanced Wafer Fab Models." In ASME 2002 International Mechanical Engineering Congress and Exposition. ASMEDC, 2002. http://dx.doi.org/10.1115/imece2002-39274.

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Our focus is on a class of Markov chains which have a polyhedral translation invariance property for the transition probabilities. This class can be used to model several applications of interest which feature complexities not found in usual models of queueing networks, for example failure prone manufacturing systems which are operating under hedging point policies, or enhanced wafer fab models featuring batch tools and setups or affine index policies. We present a new family of performance bounds which is more powerful both in expressive capability as well as the quality of the bounds than so
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Soldatenko, Sergei, Sergei Soldatenko, Genrikh Alekseev, Genrikh Alekseev, Alexander Danilov, and Alexander Danilov. "A MODELING SYSTEM FOR CLIMATE CHANGE RISK ASSESSMENT, MANAGEMENT AND HEDGING IN COASTAL AREAS." In Managing risks to coastal regions and communities in a changing world. Academus Publishing, 2017. http://dx.doi.org/10.21610/conferencearticle_58b4315ae4ac9.

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Every aspect of human operations faces a wide range of risks, some of which can cause serious consequences. By the start of 21st century, mankind has recognized a new class of risks posed by climate change. It is obvious, that the global climate is changing, and will continue to change, in ways that affect the planning and day to day operations of businesses, government agencies and other organizations and institutions. The manifestations of climate change include but not limited to rising sea levels, increasing temperature, flooding, melting polar sea ice, adverse weather events (e.g. heatwav
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Reports on the topic "Hedging models"

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Engle, Robert, and Joshua Rosenberg. Hedging Options in a GARCH Environment: Testing the Term Structure of Stochastic Volatility Models. National Bureau of Economic Research, 1994. http://dx.doi.org/10.3386/w4958.

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Rincón-Torres, Andrey Duván, Kimberly Rojas-Silva, and Juan Manuel Julio-Román. The Interdependence of FX and Treasury Bonds Markets: The Case of Colombia. Banco de la República, 2021. http://dx.doi.org/10.32468/be.1171.

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We study the interdependence of FX and Treasury Bonds (TES) markets in Colombia. To do this, we estimate a heteroskedasticity identified VAR model on the returns of the COP/USD exchange rate (TRM) and bond prices, as well as event-analysis models for return volatilities, number of quotes, quote volume, and bid/ask spreads. The data under analysis consists of 5-minute intraday bid/ask US dollar prices and bond quotes, for an assortment of bond species. For these species we also have the number of bid/ask quotes as well as their volume. We found, also, that the exchange rate conveys information
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Bertsimas, Dimitris, Leonid Kogan, and Andrew Lo. Pricing and Hedging Derivative Securities in Incomplete Markets: An E-Aritrage Model. National Bureau of Economic Research, 1997. http://dx.doi.org/10.3386/w6250.

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