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Relevant bibliographies by topics / Hedging models / Dissertations / Theses

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Dissertations / Theses on the topic 'Hedging models'

Author: Grafiati

Published: 4 June 2021

Last updated: 1 February 2022

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1

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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2

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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3

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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4

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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5

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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6

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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7

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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8

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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9

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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10

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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11

Manzini, Muzi Charles. "Stochastic Volatility Models for Contingent Claim Pricing and Hedging." Thesis, University of the Western Cape, 2008. http://etd.uwc.ac.za/index.php?module=etd&action=viewtitle&id=gen8Srv25Nme4_8197_1270517076.

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<p>The present mini-thesis seeks to explore and investigate the mathematical theory and concepts that underpins the valuation of derivative securities, particularly European plainvanilla options. The main argument that we emphasise is that novel models of option pricing, as is suggested by Hull and White (1987) [1] and others, must account for the discrepancy observed on the implied volatility &ldquo<br>smile&rdquo<br>curve. To achieve this we also propose that market volatility be modeled as random or stochastic as opposed to certain standard option pricing models such as Black-Scholes, in wh

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12

Mobbs, David. "Calibrating and hedging in multi-dimensional option pricing models." Thesis, Imperial College London, 2006. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.436339.

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13

Chen, Zhanyu. "Pricing and hedging exotic options in stochastic volatility models." Thesis, London School of Economics and Political Science (University of London), 2013. http://etheses.lse.ac.uk/822/.

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This thesis studies pricing and hedging barrier and other exotic options in continuous stochastic volatility models. Classical put-call symmetry relates the price of puts and calls under a suitable dual market transform. One well-known application is the semi-static hedging of path-dependent barrier options with European options. This, however, in its classical form requires the price process to observe rather stringent and unrealistic symmetry properties. In this thesis, we provide a general self-duality theorem to develop pricing and hedging schemes for barrier options in stochastic volatili

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14

Bopoto, Kudakwashe. "Pricing and hedging variance swaps using stochastic volatility models." Diss., University of Pretoria, 2019. http://hdl.handle.net/2263/73185.

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In this dissertation, the price of variance swaps under stochastic volatility models based on the work done by Barndorff-Nielsen and Shepard (2001) and Heston (1993) is discussed. The choice of these models is as a result of properties they possess which position them as an improvement to the traditional Black-Scholes (1973) model. Furthermore, the popularity of these models in literature makes them particularly attractive. A lot of work has been done in the area of pricing variance swaps since their inception in the late 1990’s. The growth in the number of variance contracts written ca

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15

Spitz, David Evan. "Optimization models for foreign exchange rate hedging using currency options." Thesis, Massachusetts Institute of Technology, 1989. http://hdl.handle.net/1721.1/33479.

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16

Kollar, Jozef. "Optimal Martingale measures and hedging in models driven by Levy processes." Thesis, Heriot-Watt University, 2011. http://hdl.handle.net/10399/2508.

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Our research falls into a broad area of pricing and hedging of contingent claims in incomplete markets. In the rst part we introduce the L evy processes as a suitable class of processes for nancial modelling purposes. This in turn causes the market to become incomplete in general and therefore the martingale measure for the pricing/hedging purposes has to be chosen by introducing some subjective criteria. We study several such criteria in the second section for a general stochastic volatility model driven by L evy process, leading to minimal martingale measure, variance-optimal, or the more ge

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17

Pang, Long-fung. "Semi-static hedging of guarantees in variable annuities under exponential lévy models." Click to view the E-thesis via HKUTO, 2010. http://sunzi.lib.hku.hk/hkuto/record/B43572224.

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18

Shi, Yuan, and 石园. "A portfolio approach to procurement planning and risk hedging under uncertainty." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2010. http://hub.hku.hk/bib/B44905051.

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19

Pang, Long-fung, and 彭朗峯. "Semi-static hedging of guarantees in variable annuities under exponential lévy models." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2010. http://hub.hku.hk/bib/B43572224.

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20

Graziani, Greta. "Hedging Error in CVA : Impact of inconsistency between simulation and pricing models." Thesis, KTH, Matematisk statistik, 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-229722.

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The aim of this thesis is to investigate thehedging error in Credit Value Adjustment (CVA) produced by using a model forthe simulation of the risk factors different from the one used in the pricingof the derivative contract. The hypothesis is that this inconsistency betweensimulation and pricing models affects the CVA leading to an error in thehedging of credit counterparty risk. When computing the CVA, market factors aresimulated forward in time and the portfolio is priced in each scenario toobtain the Expected Positive Exposure (EPE). To hedge the market risk of CVA weuse a dynamic Delta-hed

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21

Heinzl, Thomas. "Dynamic hedging strategies and option pricing in bond market models with transaction costs /." Bamberg, 2000. http://aleph.unisg.ch/hsgscan/hm00006553.pdf.

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22

Poomimars, Ponladesh. "The performance of dynamic covariance models in portfolio allocation, hedging and risk management." Thesis, University of Birmingham, 2002. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.395728.

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23

Ni, Jian, and 倪剑. "Commodity procurement risk management using futures contracts: a dynamic financial hedging approach withmultistage rebalancing." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2011. http://hub.hku.hk/bib/B46587949.

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24

Bosserhoff, Frank [Verfasser]. "Portfolio selection, delta hedging and robustness in Brownian and jump-diffusion models / Frank Bosserhoff." Ulm : Universität Ulm, 2020. http://d-nb.info/1206248602/34.

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25

Burgos, Andrés C. "Information-theoretic models of communication in biological systems." Thesis, University of Hertfordshire, 2017. http://hdl.handle.net/2299/19509.

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This thesis aims to find general principles governing the behaviour of biological systems, with a particular emphasis in the communicational (social) aspect of these systems. Communication between biological entities plays a major role in their evolution, enabling them to exchange information about their environment and thereby improving their chances of survival. Communication also plays a pivotal role in the organisation of populations of organisms, clearly observed in social insects, but present also at least in bacteria, plants, fungi, animals and humans. It is also theorised that the gene

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26

Liao, Mingwei, and 廖明瑋. "Futures hedging on both procurement risk and sales risk under correlated prices and demand." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2014. http://hdl.handle.net/10722/206683.

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The profitability of a manufacturer could be largely affected by underlying uncertainties embedded in the fast-changing business environment. Random factors, such as input material price at the procurement end or output product price and demand at the sales end, might produce significant risks. Effective financial hedging therefore needs to be taken to mitigate these risk exposures. Although it is common to use commodity futures to control the risks at either end separately, little has been done on the hedging of these risk exposures in an integrated manner. Therefore, this study aims to devel

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27

Holilal, Amiel. "Choice of one factor interest rate term structure models for pricing and hedging Bermudan swaptions." Master's thesis, University of Cape Town, 2011. http://hdl.handle.net/11427/12619.

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Includes bibliographical references<br>This paper revisits pricing and hedging differences presented by Z. Guan, et. al., 2008 from a South African context. The Asset Liabilities Management (ALM) departments in large financial institutions are plagued by a number of problems. Among them is the choice of interest rate model for managing the risks associated with mortgage (home loan) repay-ments. This paper will address these problems by comparing various one-factor models, including Hull-White, Black-Karasinski and CIR models for the pricing and hedging of long-term Bermudan Swaptions which re

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28

Jung, Dosub. "The model risk of option pricing models when volatility is stochastic : a Monte Carlo simulation approach /." free to MU campus, to others for purchase, 2000. http://wwwlib.umi.com/cr/mo/fullcit?p9974644.

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29

Borak, Szymon. "Dynamic semiparametric factor models." Doctoral thesis, Humboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät, 2008. http://dx.doi.org/10.18452/15802.

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Hochdimensionale Regressionsprobleme, die sich dynamisch entwickeln, sind in zahlreichen Bereichen der Wissenschaft anzutreffen. Die Dynamik eines solchen komplexen Systems wird typischerweise mittels der Zeitreiheneigenschaften einer geringen Anzahl von Faktoren analysiert. Diese Faktoren wiederum sind mit zeitinvarianten Funktionen von explikativen Variablen bewichtet. Diese Doktorarbeit beschäftigt sich mit einem dynamischen semiparametrischen Faktormodell, dass nichtparametrische Bewichtungsfunktionen benutzt. Zu Beginn sollen kurz die wichtigsten statistischen Methoden diskutiert

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30

Gleeson, Cameron Banking &amp Finance Australian School of Business UNSW. "Pricing and hedging S&P 500 index options : a comparison of affine jump diffusion models." Awarded by:University of New South Wales. School of Banking and Finance, 2005. http://handle.unsw.edu.au/1959.4/22379.

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This thesis examines the empirical performance of four Affine Jump Diffusion models in pricing and hedging S&P 500 Index options: the Black Scholes (BS) model, Heston???s Stochastic Volatility (SV) model, a Stochastic Volatility Price Jump (SVJ) model and a Stochastic Volatility Price-Volatility Jump (SVJJ) model. The SVJJ model structure allows for simultaneous jumps in price and volatility processes, with correlated jump size distributions. To the best of our knowledge this is the first empirical study to test the hedging performance of the SVJJ model. As part of our research we derive the S

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31

Kulak, Jan Peter. "An Empirical Analysis of the Gaussian and the Double-t Copula Models for Pricing and Hedging Index CDOs." St. Gallen, 2006. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/04607867001/$FILE/04607867001.pdf.

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32

Whitehead, Peter Malcolm Scot. "On the choice and implementation of models for the pricing and hedging of interest rate contingent claims." Thesis, Imperial College London, 1999. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.325338.

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33

Stengl, Benjamin. "Testing Futures Pricing Models An Empirical Study /." St. Gallen, 2006. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/01654516001/$FILE/01654516001.pdf.

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34

Wang, Yuanfang. "Alternative measures of volatility in agricultural futures markets." Connect to this title online, 2005. http://rave.ohiolink.edu/etdc/view?acc%5Fnum=osu1111610770.

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Thesis (Ph. D.)--Ohio State University, 2005.<br>Title from first page of PDF file. Document formatted into pages; contains ix, 121 p.; also includes graphics (some col.) Includes bibliographical references (p. 114-121). Available online via OhioLINK's ETD Center

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35

Sah, Nadim [Verfasser], Peter [Akademischer Betreuer] Bank, and Rüdiger [Akademischer Betreuer] Frey. "Hedging in nonlinear models of illiquid financial markets / Nadim Sah. Gutachter: Peter Bank ; Rüdiger Frey. Betreuer: Peter Bank." Berlin : Technische Universität Berlin, 2014. http://d-nb.info/1066550603/34.

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36

Martines-Filho, Joao G. "Pre-harvest marketing strategies for corn and soybeans: a comparison of optimal hedging models and market advisory service recommendations." The Ohio State University, 1996. http://rave.ohiolink.edu/etdc/view?acc_num=osu1248380053.

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37

Martines, Filho João Gomes. "Pre-harvest marketing strategies for corn and soybeans : a comparison of optimal hedging models and market advisory service recommendations /." The Ohio State University, 1996. http://rave.ohiolink.edu/etdc/view?acc_num=osu1487936356160445.

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38

Harms, Cord [Verfasser], and Rüdiger [Akademischer Betreuer] Kiesel. "Application of Structural Electricity Models - From Parameter Estimation and Parameter Risk to an Implied Hedging Framework / Cord Harms ; Betreuer: Rüdiger Kiesel." Duisburg, 2017. http://d-nb.info/1136270213/34.

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39

Liu, Guochun. "Value at risk models for a nonlinear hedged portfolio." Link to electronic thesis, 2004. http://www.wpi.edu/Pubs/ETD/Available/etd-0430104-155045.

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40

Hepperger, Peter Thomas Verfasser], Claudia [Akademischer Betreuer] Klüppelberg, Rüdiger [Akademischer Betreuer] [Kiesel, and Fred Espen [Akademischer Betreuer] Benth. "Pricing and Hedging under High-Dimensional Jump-Diffusion Models using Partial Differential Equations / Peter Thomas Hepperger. Gutachter: Claudia Klüppelberg ; Rüdiger Kiesel ; Fred Espen Benth. Betreuer: Claudia Klüppelberg." München : Universitätsbibliothek der TU München, 2011. http://d-nb.info/1013436199/34.

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41

Szklo, Renato Salem. "Detectando não-linearidades nos retornos dos fundos multimercados." reponame:Repositório Institucional do FGV, 2007. http://hdl.handle.net/10438/284.

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Made available in DSpace on 2008-05-13T13:47:35Z (GMT). No. of bitstreams: 1 2235.pdf: 287767 bytes, checksum: fa47b402b80359b85773581138f77c99 (MD5) Previous issue date: 2007-05-24<br>The recent literature shows that an array of strategies used by hedge funds generates non-linear returns. Following the methodology proposed in Agarwal and Naik (2004), this article shows a number of Brazilian hedge funds presents result that are similar to the Bovespa put and call strategy. Using a factor model, we introduce an index based on the options performance, therefore we can show this especific var

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42

Santos, Rafael Fernandes. "Análise das alternativas de proteção cambial para uma empresa multinacional do setor químico atuando no Brasil: uma discussão sobre modelo de proteção cambial com enfoque em custo para as operações de uma empresa importadora." reponame:Repositório Institucional do FGV, 2017. http://hdl.handle.net/10438/18053.

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Submitted by Rafael Fernandes Santos (fernandes.s.rafa@gmail.com) on 2017-03-17T18:37:53Z No. of bitstreams: 1 RAFAEL FERNANDES REVISÃO v5 Arthur.pdf: 1011335 bytes, checksum: 84d175672e25f360d8a50ee49efed09c (MD5)<br>Approved for entry into archive by Fabiana da Silva Segura (fabiana.segura@fgv.br) on 2017-03-17T18:39:15Z (GMT) No. of bitstreams: 1 RAFAEL FERNANDES REVISÃO v5 Arthur.pdf: 1011335 bytes, checksum: 84d175672e25f360d8a50ee49efed09c (MD5)<br>Made available in DSpace on 2017-03-20T11:04:27Z (GMT). No. of bitstreams: 1 RAFAEL FERNANDES REVISÃO v5 Arthur.pdf: 1011335 bytes, c

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43

Elder, John. "Hedging strategies for financial derivatives." Thesis, University of Oxford, 2002. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.275325.

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44

Balshaw, Lloyd Stanley. "Model Misspecification and the Hedging of Exotic Options." Master's thesis, University of Cape Town, 2018. http://hdl.handle.net/11427/28437.

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Asset pricing models are well established and have been used extensively by practitioners both for pricing options as well as for hedging them. Though Black-Scholes is the original and most commonly communicated asset pricing model, alternative asset pricing models which incorporate additional features have since been developed. We present three asset pricing models here - the Black-Scholes model, the Heston model and the Merton (1976) model. For each asset pricing model we test the hedge effectiveness of delta hedging, minimum variance hedging and static hedging, where appropriate. The option

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45

Johansson, Carl-Johan. "Model risk in a hedging perspective." Thesis, KTH, Matematik (Inst.), 2011. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-31515.

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46

Sundqvist, Greger. "Model risk in a hedging perspective." Thesis, KTH, Matematik (Inst.), 2011. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-31517.

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47

Bego, Marcelo da Silva. "Three essays on agricultural markets." reponame:Repositório Institucional do FGV, 2017. http://hdl.handle.net/10438/18066.

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Submitted by Marcelo Bego (marcelo.bego@gmail.com) on 2017-03-21T14:14:52Z No. of bitstreams: 1 Three Essays on Agricultural Markets - Marcelo S. Bego.pdf: 1207964 bytes, checksum: 33f8f4a9215ea6404b2dcbd5c0538a0e (MD5)<br>Approved for entry into archive by Pamela Beltran Tonsa (pamela.tonsa@fgv.br) on 2017-03-21T14:58:27Z (GMT) No. of bitstreams: 1 Three Essays on Agricultural Markets - Marcelo S. Bego.pdf: 1207964 bytes, checksum: 33f8f4a9215ea6404b2dcbd5c0538a0e (MD5)<br>Made available in DSpace on 2017-03-21T16:13:42Z (GMT). No. of bitstreams: 1 Three Essays on Agricultural Markets - M

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48

Filipová, Silvie. "Zhodnocení finanční situace podniku a návrhy na zlepšení." Master's thesis, Vysoké učení technické v Brně. Fakulta podnikatelská, 2017. http://www.nusl.cz/ntk/nusl-319182.

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This diploma thesis is focused on the financial health of the company, whose business is based on distribution of racing class ships all over the world. The main goal of the diploma thesis is to evaluate the financial situation of the company and to propose ways to improve it. At first, the thesis deals with the theoretical basis of the company's economic analysis. Then these theoretical starting points for the company are practically applied. Consequently, according to the results, the economic situation of the company is interpreted and measures have been proposed to ensure a positive financ

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49

Sae, Hon Sung Victor. "Hedging no modelo com processo de Poisson composto." Universidade Federal de São Carlos, 2015. https://repositorio.ufscar.br/handle/ufscar/7092.

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Submitted by Caroline Periotto (carol@ufscar.br) on 2016-09-09T19:56:20Z No. of bitstreams: 1 DissVSHS.pdf: 882234 bytes, checksum: f08aea79440ba666e616318257bbdec9 (MD5)<br>Approved for entry into archive by Marina Freitas (marinapf@ufscar.br) on 2016-09-13T14:05:42Z (GMT) No. of bitstreams: 1 DissVSHS.pdf: 882234 bytes, checksum: f08aea79440ba666e616318257bbdec9 (MD5)<br>Approved for entry into archive by Marina Freitas (marinapf@ufscar.br) on 2016-09-13T14:05:49Z (GMT) No. of bitstreams: 1 DissVSHS.pdf: 882234 bytes, checksum: f08aea79440ba666e616318257bbdec9 (MD5)<br>Made available in

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Sung, Victor Sae Hon. "Hedging no modelo com processo de Poisson composto." Universidade de São Paulo, 2015. http://www.teses.usp.br/teses/disponiveis/104/104131/tde-11012017-103139/.

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Interessado em fazer com que o seu capital gere lucros, o investidor ao optar por negociar ativos, fica sujeito aos riscos econômicos de qualquer negociação, pois não existe uma certeza quanto a valorização ou desvalorização de um ativo. Eis que surge o mercado futuro, em que é possível negociar contratos a fim de se proteger (hedge) dos riscos de perdas ou ganhos excessivos, fazendo com que a compra ou venda de ativos, seja justa para ambas as partes. O objetivo deste trabalho consiste em estudar os processos de Lévy de puro salto de atividade finita, também conhecido como modelo de Poisson c

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