Log in

Relevant bibliographies by topics / Optimal Hedging

Contents

Dissertations / Theses

Academic literature on the topic 'Optimal Hedging'

Author: Grafiati

Published: 9 March 2023

Last updated: 10 March 2023

Create a spot-on reference in APA, MLA, Chicago, Harvard, and other styles

Select a source type:

Consult the lists of relevant articles, books, theses, conference reports, and other scholarly sources on the topic 'Optimal Hedging.'

Next to every source in the list of references, there is an 'Add to bibliography' button. Press on it, and we will generate automatically the bibliographic reference to the chosen work in the citation style you need: APA, MLA, Harvard, Chicago, Vancouver, etc.

You can also download the full text of the academic publication as pdf and read online its abstract whenever available in the metadata.

Dissertations / Theses on the topic "Optimal Hedging"

1

Chen, Fei. "Essays on Optimal Hedging in Financial Markets." Thesis, University of Reading, 2010. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.533745.

Full text

APA, Harvard, Vancouver, ISO, and other styles

2

Xu, Weijun Banking &amp Finance Australian School of Business UNSW. "Optimal hedging strategy in stock index future markets." Awarded by:University of New South Wales. Banking & Finance, 2009. http://handle.unsw.edu.au/1959.4/43728.

Full text

Abstract:

In this thesis we search for optimal hedging strategy in stock index futures markets by providing a comprehensive comparison of variety types of models in the related literature. We concentrate on the strategy that minimizes portfolio risk, i.e., minimum variance hedge ratio (MVHR) estimated from a range of time series models with different assumptions of market volatility. There are linear regression models assuming time-invariant volatility; GARCH-type models capturing time-varying volatility, Markov regime switching (MRS) regression models assuming state-varying volatility, and MRS-GARCH mo

APA, Harvard, Vancouver, ISO, and other styles

3

Oosterhof, Casper Martijn. "Essays on corporate risk management and optimal hedging." [S.l. : [Groningen : s.n.] ; University Library Groningen] [Host], 2006. http://irs.ub.rug.nl/ppn/298196808.

Full text

APA, Harvard, Vancouver, ISO, and other styles

4

Li, Yanmin. "Optimal hedging under transaction costs and implied trees." Thesis, University of Warwick, 2003. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.418116.

Full text

APA, Harvard, Vancouver, ISO, and other styles

5

Kamgaing, Moyo Clinsort. "Optimal hedging under price, quantity and exchange rate uncertainty." Thesis, Massachusetts Institute of Technology, 1986. http://hdl.handle.net/1721.1/37696.

Full text

Abstract:

Thesis (M.S.)--Massachusetts Institute of Technology, Sloan School of Management, 1986.<br>MICROFICHE COPY AVAILABLE IN ARCHIVES AND DEWEY<br>Bibliography: leaf 46.<br>by Moyo Clinsort Kamgaing.<br>M.S.

APA, Harvard, Vancouver, ISO, and other styles

6

Ndounkeu, Ludovic Tangpi. "Optimal cross hedging of Insurance derivatives using quadratic BSDEs." Thesis, Stellenbosch : Stellenbosch University, 2011. http://hdl.handle.net/10019.1/17950.

Full text

Abstract:

Thesis (MSc)--Stellenbosch University, 2011.<br>ENGLISH ABSTRACT: We consider the utility portfolio optimization problem of an investor whose activities are influenced by an exogenous financial risk (like bad weather or energy shortage) in an incomplete financial market. We work with a fairly general non-Markovian model, allowing stochastic correlations between the underlying assets. This important problem in finance and insurance is tackled by means of backward stochastic differential equations (BSDEs), which have been shown to be powerful tools in stochastic control. To lay stress on t

APA, Harvard, Vancouver, ISO, and other styles

7

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.

Full text

Abstract:

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

APA, Harvard, Vancouver, ISO, and other styles

8

Savina, Oksana Yurievna. "On optimal hedging and redistribution of catastrophe risk in insurance." Thesis, London School of Economics and Political Science (University of London), 2008. http://etheses.lse.ac.uk/2041/.

Full text

Abstract:

The purpose of the thesis is to analyse the management of various forms of risk that affect entire insurance portfolios and thus cannot be eliminated by increasing the number of policies, like catastrophes, financial market events and fluctuating insurance risk conditions. Three distinct frameworks are employed. First, we study the optimal design of a catastrophe-related index that an insurance company may use to hedge against catastrophe losses in the incomplete market. The optimality is understood in terms of minimising the remaining risk as proposed by Follmer and Schweizer. We compare seve

APA, Harvard, Vancouver, ISO, and other styles

9

Sayle, James Hughes. "Optimal hedging strategies for early-planted soybeans in the South." Master's thesis, Mississippi State : Mississippi State University, 2007. http://library.msstate.edu/etd/show.asp?etd=etd-06192007-141148.

Full text

APA, Harvard, Vancouver, ISO, and other styles

10

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

Full text

Abstract:

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

APA, Harvard, Vancouver, ISO, and other styles

More sources

We offer discounts on all premium plans for authors whose works are included in thematic literature selections. Contact us to get a unique promo code!