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Dissertations / Theses on the topic 'Hedging'

Author: Grafiati
Published: 4 June 2021
Last updated: 25 July 2025

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1

Sushko, Tatiana. "Hedging Errors for Static Hedging Strategies." Thesis, Norges teknisk-naturvitenskapelige universitet, Institutt for samfunnsøkonomi, 2011. http://urn.kb.se/resolve?urn=urn:nbn:no:ntnu:diva-13513.

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Loucks, Julie. "Static Hedging." Thesis, Uppsala University, Department of Mathematics, 2010. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-125734.

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3

Lewis, Ty. "Hedging of Volatility." Thesis, Uppsala universitet, Analys och sannolikhetsteori, 2014. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-224881.

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4

Schulmerich, Marco. "Ausfallbasiertes Hedging von Finanzderivaten /." Wiesbaden : Dt. Univ.-Verl, 2002. http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&doc_number=009777231&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA.

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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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6

Falgert, Gustaf, Andreas Jensen, and Filip Lundkvist. "Fastighetsterminer : Hedging Spekulation Arbitrage." Thesis, Stockholm University, School of Business, 2006. http://urn.kb.se/resolve?urn=urn:nbn:se:su:diva-6505.

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7

Shin, On-Myung. "Portfolio Diversifikation und Hedging /." Lohmar [u. a.] : Eul-Verl, 2003. http://www.gbv.de/dms/zbw/362368791.pdf.

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8

Jangenstål, Lovisa. "Hedging Interest Rate Swaps." Thesis, KTH, Matematisk statistik, 2015. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-169390.

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This thesis investigates hedging strategies for a book of interest rate swaps of the currencies EUR and SEK. The aim is to minimize the variance of the portfolio and keep the transaction costs down. The analysis is performed using historical simulation for two different cases. First, with the real changes of the forward rate curve and the discount curve. Then, with principal component analysis to reduce the dimension of the changes in the curves. These methods are compared with a method using the principal component variance to randomize new principal components.<br>Den här uppsatsen undersöke
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9

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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10

Parapoulis, Panagiotis. "Hedging foreign currency options." Thesis, University of Reading, 1992. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.317577.

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Alkhamis, Mohammad Bader, and Mohammad Bader Alkhamis. "Litigation Risk and Hedging." Diss., The University of Arizona, 2016. http://hdl.handle.net/10150/621281.

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Firms operating in the United States face important litigation risk, yet little is known on how this risk affects financial decisions. I use a natural experiment to explore the effect of litigation risk on firms' hedging behavior. I find that firms are more likely to use financial derivatives following an exogenous increase in litigation risk. This finding is stronger in the subset of firms with higher distress costs, lower credit ratings, and higher legal concerns. My results imply that litigation risk can at least partially explain the use of financial derivatives.
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12

Larsson, John. "Hedging of Weather Derivatives." Thesis, Uppsala universitet, Tillämpad matematik och statistik, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-413720.

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13

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 a
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14

Müller, Monika. "Risikominimierendes Hedging von Kreditderivaten /." Hamburg : Kovač, 2008. http://d-nb.info/990562166/04.

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15

Seyller, Thomas C. "The value of hedging /." May be available electronically:, 2008. http://proquest.umi.com/login?COPT=REJTPTU1MTUmSU5UPTAmVkVSPTI=&clientId=12498.

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16

Wanga, Godwill George. "Hedging Exchange Rate Risks." ScholarWorks, 2017. https://scholarworks.waldenu.edu/dissertations/3373.

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Risks associated with fluctuating exchange rates affect investment cost and investor profitability. Approximately 50% of firms in emerging markets have significant exposure to fluctuating exchange rates. Grounded in principal-agent theory (PAT), the purpose of this case study was to explore hedging strategies to mitigate risks of fluctuating exchange rates. The population comprised a census sampling of 12 bank hedgers (risk managers and controllers) in Dar es Salaam in Tanzania, East Africa. Data collection involved semistructured interviews, casual observations of the work environment, and an
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17

Player, Pellby Ellen. "Hedging in Political Discourse : An Analysis of Hedging in an American City Council." Thesis, Högskolan i Gävle, Avdelningen för humaniora, 2013. http://urn.kb.se/resolve?urn=urn:nbn:se:hig:diva-14603.

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This thesis seeks to investigate the usage of hedges in political discourse in the Tampa City Council for the purpose of examining whether or not women hedge more than men in this area. An analysis of the occurrence of hedges illustrated that women hedged more than men for various purposes in this meeting. These occurrences mostly involved the epistemic modal function and shields which indicate uncertainty about the utterance and certainty about the utterance respectively. The results also illustrate how political discourse is still an area dominated by men in the sense that men had significan
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18

Chen, Xiaoyi. "Parametric and Non-parametric Option Hedging and Estimation Based on Hedging Error Minimization." The Ohio State University, 2020. http://rave.ohiolink.edu/etdc/view?acc_num=osu1606825135996737.

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19

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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20

Jakutis, Aurimas. "Mutual fund's currency risk hedging." Bachelor's thesis, Lithuanian Academic Libraries Network (LABT), 2009. http://vddb.library.lt/obj/LT-eLABa-0001:E.02~2008~D_20090403_124219-25175.

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Mutual funds currency risk management is analyzed in this bachelor paper. It aims to analyze hedging by currency forward and options under different hedge ratios and various durations of the contracts. Afterwards the outcome is compared to non-hedging. After comparing hedging on six emerging markets equity indexes, it is concluded, that fund managers should hedge not all the time, but only when they expect foreign currency to depreciate. It is shown that forward contracts are better means than options for currency risk insurance purposes. Moreover, it is demonstrated that hedging with the shor
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21

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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22

Davis, Mark, Walter Schachermayer, and Robert G. Tompkins. "Installment options and static hedging." SFB Adaptive Information Systems and Modelling in Economics and Management Science, WU Vienna University of Economics and Business, 2001. http://epub.wu.ac.at/1584/1/document.pdf.

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An installment option is a European option in which the premium, instead of being paid up-front, is paid in a series of installments. If all installments are paid the holder receives the exercise value, but the holder has the right to terminate payments on any payment date, in which case the option lapses with no further payments on either side. We discuss pricing and risk management for these options, in particular the use of static hedges to obtain both no-arbitrage pricing bounds and very effective hedging strategies with almost no vega risk. (author's abstract)<br>Series: Report Series SFB
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23

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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24

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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25

Stolbov, Anatoly. "Volatility Smile and Delta Hedging." Master's thesis, Vysoká škola ekonomická v Praze, 2014. http://www.nusl.cz/ntk/nusl-206214.

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The thesis describes and applies two parametric option pricing models which partially ease the well-known discrepancy between real world and Black-Scholes model. Stochastic volatility and jumps encompassed by Heston and SVJ models explain implied volatility smile and its heterogeneous term-structure. Both models are calibrated to market data observed for EURUSD currency options on January 23, 2015. While SVJ model provided a better fit for the market, especially for mid-term expiry smile curvature, its estimated risk-neutral parameters were unrealistic comparing with their counterparts under s
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26

Monteiro, Wagner Oliveira. "Dynamic hedging in Markov regimes." reponame:Repositório Institucional do FGV, 2008. http://hdl.handle.net/10438/2182.

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Made available in DSpace on 2010-04-20T20:58:04Z (GMT). No. of bitstreams: 4 2006 - Wagner_Oliveira_ Monteiro_02_10_2008.pdf.jpg: 17677 bytes, checksum: 012a0852290fa51f423a5a8ec7534ea5 (MD5) 2006 - Wagner_Oliveira_ Monteiro_02_10_2008.pdf: 450170 bytes, checksum: ea37b352c4028dd1c20da87d3f3badf2 (MD5) 2006 - Wagner_Oliveira_ Monteiro_02_10_2008.pdf.txt: 55718 bytes, checksum: 579a00e43cb84159205c5d87713ad640 (MD5) license.txt: 4884 bytes, checksum: de2d265ed2868529ac27feb118588da8 (MD5) Previous issue date: 2008-10-02T00:00:00Z<br>This dissertation proposes a bivariate markov switching
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27

Wiese, Anke. "Hedging stochastischer Verpflichtungen in zeitstetigen Modellen /." Karlsruhe : VVW, 1998. http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&doc_number=008066751&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA.

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28

Aldén, Joakim. "Hedging Rule Discussions : A study on hedging and emoticons in an online board game discussion forum." Thesis, Högskolan Dalarna, Engelska, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:du-30536.

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In everyday language, people tend to speak in a non-committing fashion when making claims, either to save their own face or to save another person’s face. In linguistics, this is called hedging, with common words and expressions such as probably, assume and I don’t know often revealing that a hedging speech act has been performed. In computer-mediated communication, Skovholt et al. (2014) discovered that emoticons, rather than signaling the sender’s emotions, were used to hedge. This study aims to further investigate the matter by looking at how users on a board game forum hedge when speaking
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29

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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30

Wan, Chung-kum. "Cross hedging of foreign exchange risk." Click to view the E-thesis via HKUTO, 2000. http://sunzi.lib.hku.hk/hkuto/record/B31954741.

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31

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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32

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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33

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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34

Iroume, Awe Andrés Guillermo. "Progressive hedging aplicado a coordinación hidrotérmica." Tesis, Universidad de Chile, 2013. http://www.repositorio.uchile.cl/handle/2250/114109.

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El problema de Coordinación Hidrotérmica busca encontrar la operación óptima para un Sistema Eléctrico Mixto, combinando en la solución los efectos de las etapas futuras así como los efectos que la hidrología tiene en la operación del sistema. Los Sistemas Eléctricos mixtos corresponden a aquellos sistemas en los que operan tanto centrales de generación hidráulicas, geotérmicos, térmicas y eólicas entre otras. Un ejemplo de estos sistemas es el Sistema Interconectado Central (SIC) chileno, que en particular tiene una alta presencia de centrales hidráulicas y térmicas, en el cual en un año pro
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35

Gould, John. "The joint hedging and leverage decision." University of Western Australia. School of Economics and Commerce, 2008. http://theses.library.uwa.edu.au/adt-WU2009.0038.

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The validating roles of hedging and leverage as value-adding corporate strategies arise from their beneficial manipulation of deadweight market impositions such as taxes and financial distress costs. These roles may even be symbiotic in their value-adding effects, but they are antithetic in their effects on company risk. This study's modelling analysis indicates that hedging and leverage do interact for net benefit to company value; for sensible base-case exogenous parameters, the optimal (value-maximising) joint hedging and leverage strategy increases company value by about 4.0% compared to t
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36

Venkaramanan, Aanand. "Pricing and hedging multi-asset options." Thesis, University of Reading, 2009. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.515767.

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37

Wan, Chung-kum, and 尹頌琴. "Cross hedging of foreign exchange risk." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2000. http://hub.hku.hk/bib/B31954741.

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38

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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39

Errington, Roger E. (Roger Edmund). "Hedging risk in commercial real estate." Thesis, Massachusetts Institute of Technology, 1995. http://hdl.handle.net/1721.1/65982.

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40

Lu, Yang-Cheng, and 盧陽正. "On Measuring the Hedging Contribution and Hedging Effectiveness and A Study of Hedging Strategy." Thesis, 1995. http://ndltd.ncl.edu.tw/handle/74863456432145120272.

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博士<br>國立交通大學<br>管理科學研究所<br>83<br>Extending the work of Ederington(1979) and Anderson and Danthine (1981), we examine the problem of hedging multi- assets with multi-futures contracts under discretionary hedging theory. Chapter 2 discuss the measure of hedging contribution through canonical correlation analysis from the market point of view. Upon deriving the hedging effectiveness, a test statistic and its asymptotic distribution is derived through Monte Carlo simulation to measure the sign
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Chung, Wen Liang, and 鍾文亮. "The determinants of hedging and the hedging''s value." Thesis, 1996. http://ndltd.ncl.edu.tw/handle/66943342228386860993.

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42

Huang, Meng-Huei, and 黃孟慧. "The Research on Hedging Strategies of Warrants from Hedging Costs." Thesis, 2001. http://ndltd.ncl.edu.tw/handle/48289625993364322762.

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碩士<br>淡江大學<br>財務金融學系<br>89<br>Title of Thesis: The Research on Hedging Total Pages:81 Strategies of Warrants from Hedging Costs Name of Institute: Tamkang University ,Graduate Institute of Money, Banking and Finance Graduate Date : June,2001 DegreeConferred:Master Name of Student:Meng-Huei Huang Advisor：Dr. Wen-Liang Hsieh ABSTRACT Warrant gives investors the privilege of buying underlying assets at exercise price in special period. The issuing institution of warrant
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Chang, Tsung-Tsao, and 張宗載. "Currency Basket Hedging." Thesis, 2006. http://ndltd.ncl.edu.tw/handle/64144541102431632047.

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碩士<br>國立臺灣大學<br>財務金融學研究所<br>94<br>Abstract In the present modern age, international businesses are tied more closely. Many global companies usually trade from one country to another, so “foreign exchange hedge” has become a key strategy to control the foreign exchange risk. In the following context, I plan to provide a new method (currency basket hedging model) to reduce or improve the “foreign exchange hedge cost” which most companies have met so far. With the “currency basket hedging model”, empirical analysis shows that this strategy is inexpensive. Averagely, instead of NDF, the currenc
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Chen, Yen-An, and 陳彥安. "Hedging Lease Liability." Thesis, 2018. http://ndltd.ncl.edu.tw/handle/u84f6e.

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碩士<br>國立臺灣大學<br>會計學研究所<br>106<br>The shipping business in Taiwan have used operating lease to acquire fixed asset for a long time. By the off-balance-sheet effects of operating lease, Leasee’s business could improve financial and operating performance. However, as the implementation of IFRS 16 in 2019, all leases should be recognized as right-of-use asset and lease liability except for short term lease and lower value asset. The elimination of the off-balance-sheet effects of operating lease not only influence the financial performance of leasee but causing the risk about fair value of lease l
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TSENG, RUI-LIN, and 曾睿霖. "The Relevance of Hedging Factors and Hedging Tools in Taiwan Electronics Industry." Thesis, 2016. http://ndltd.ncl.edu.tw/handle/95368956158229313911.

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碩士<br>中國文化大學<br>財務金融學系<br>104<br>Subject to the increase of the liberalization of financial markets, the performance of the business is significantly related to the market risk. Therefore, the company usually utilized high financial leverage of derivatives to hedge the risk. When the company chose different hedging instruments to faced a variety of exchange rate risk, therefore we employ the Multinomial Logistic-AHP to analyze the impact of various derivatives. Hence, the research summarized by the literature relevant factors affecting managers selected exchange rate hedging instruments, furth
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Cachola, Marta Filipa de Almeida. "Dynamic hedging - comparing alternative hedging approaches for an interest rate derivatives portfolio." Master's thesis, 2013. http://hdl.handle.net/10362/120366.

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In this study, we compare a widely used delta-hedging strategy with a more complex delta-gamma-hedging approach when applied to an interest rate derivatives portfolio composed of interest rate swaps, caps, floors and swaptions. In order to replicate the portfolio, we use market traded futures contracts on German bunds with two different maturities, 15-and 30-years. Even though a delta-gamma-hedging should always be more accurate than a simple delta-hedging, we reveal a practical situation where that does not appear to happen. We s
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47

Lo, Wei, and 羅薇. "Hedging Effectiveness of Crude Oil Hedging Portfolio：Application of GARCH-EVT-Copula Model." Thesis, 2018. http://ndltd.ncl.edu.tw/handle/6j22j6.

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碩士<br>淡江大學<br>管理科學學系碩士班<br>106<br>The global market has a large demand of energy. Crude oil is one of important resources in economic activities. Because crude oil returns exists volatility clustering, fat-tail and dependence structure changes of tail behavior from extreme events, hedging plays an important role for producers. The study examined West Texas Intermediate crude oil spot and futures. The rolling-window method is used to study the hedging portfolio of West Texas Intermediate crude oil spot and futures by using GARCH-EVT-Copula model. Then, Comparing Normal distribution with Student
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48

Chen, Yi-Jen Elaine. "The mathematics of hedging." Thesis, 2009. http://hdl.handle.net/2152/ETD-UT-2009-12-590.

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Possessing the knowledge to hedge energy price risks properly is essential and crucial for running a long-term business. In the past, many hedging instruments have been invented and widely used. By using these derivatives, decision makers reduce the price risk to a certain degree. To apply these hedging instruments to the perfect hedging strategies correctly, it is necessary to be familiar with these tools in the first place. This work introduces the financial tools widely applied in hedging, including forward contracts, futures, swaps and options. It also introduces the hedging strategies
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49

WU, KUAN-MIN, and 吳冠旻. "Corporate Hedging and Mergers." Thesis, 2017. http://ndltd.ncl.edu.tw/handle/2hej3m.

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碩士<br>國立暨南國際大學<br>財務金融學系<br>105<br>Using the data of U.S mergers over the period 1992 to 2013, this study examines the effects of corporate hedging policy on merger’s acquisition decisions, including the timing of merger, payment method, complexity of a deal, relative size, announcement return, and post-merger long-term performance. Empirical results indicate that (i) hedging firms are less likely to merge in the merger wave, make a cash offer, undertake larger deals, take less time to complete the deal, and lead to a better operating performance than non-hedging firms, (ii) hedging acquirers
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LIU, KAI-HAO, and 劉鎧豪. "Religion and Corporate Hedging." Thesis, 2017. http://ndltd.ncl.edu.tw/handle/2x88z4.

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碩士<br>國立暨南國際大學<br>財務金融學系<br>105<br>This is the study to bridge the relationship between religion and corporate hedging. Using the S&P 1500 non-financial and non-public utility firms over the period from 2000 to 2015, this study examines the impacts of regional religion on corporate hedging behavior, including hedging willingness and hedging extent. The findings show that firms headquarters located in high religion areas tend to have significant lower hedging willingness and hedging extent. The significant negative relationship between local religion and corporate hedging is robustness under di
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