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Tesi sul tema "Hedging Finance"

Autore: Grafiati

Pubblicato: 4 giugno 2021

Ultima modifica: 31 luglio 2024

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1

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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2

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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3

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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4

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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5

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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6

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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7

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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8

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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9

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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10

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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11

Bhamani, Feroz. "Hedging Interest-Rate Options Using Principal Components Analysis." Master's thesis, University of Cape Town, 2018. http://hdl.handle.net/11427/29250.

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It is often a goal of the risk management of a portfolio of interest rate sensitive instruments to minimize the impact of movements in market rates on the value of the portfolio. This can be done by considering the sensitivity of the portfolio to each of the market rates that are used to bootstrap a yield curve. However, this is likely to lead to an excessive amount of trading due to an investment in a large number of hedging securities. As an alternative, we consider using principal components analysis (PCA) to condense most of the variability in the market rates into a much smaller number of

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12

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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13

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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14

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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15

Ilerisoy, Mahmut Sa-Aadu Jarjisu. "Hedging out the mark-to market volatility for structured credit portfolios." Iowa City : University of Iowa, 2009. http://ir.uiowa.edu/etd/381.

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16

Yan, Chi-kwan, and 顔志軍. "The hedging role of options and futures with mismatched currencies." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2000. http://hub.hku.hk/bib/B31954728.

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17

Yan, Chi-kwan. "The hedging role of options and futures with mismatched currencies." Hong Kong : University of Hong Kong, 2000. http://sunzi.lib.hku.hk/hkuto/record.jsp?B23425076.

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18

Paletta, Tommaso. "Computational methods for pricing and hedging derivatives." Thesis, University of Kent, 2015. https://kar.kent.ac.uk/49180/.

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In this thesis, we propose three new computational methods to price financial derivatives and construct hedging strategies under several underlying asset price dynamics. First, we introduce a method to price and hedge European basket options under two displaced processes with jumps, which are capable of accommodating negative skewness and excess kurtosis. The new approach uses Hermite polynomial expansion of a standard normal variable to match the first m moments of the standardised basket return. It consists of Black-and-Scholes type formulae and its improvement on the existing methods is two

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19

Choi, Myoung Shik. "An alternative hedging instrument for minor currencies : the multiple futures contract hedge /." free to MU campus, to others for purchase, 2003. http://wwwlib.umi.com/cr/mo/fullcit?p3091912.

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20

Spilda, Juraj. "On sources of risk in quadratic hedging and incomplete markets." Thesis, City, University of London, 2017. http://openaccess.city.ac.uk/18527/.

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This thesis is divided into three chapters, each dealing with a different aspect of market incompleteness and its consequences on quadratic hedging strategies and hedging errors. The first chapter studies the effects of market incompleteness due to discrete time trading. We derive the asymptotics (in trading frequency) of the quadratic hedging error of a digital option and obtain a correction to the classical granularity formula, showing that for discontinuous payoffs, the second order term driven by the Cash Gamma remains highly significant. We also show that the discrete-time quadratic hedgi

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21

Lu, Yu Hang. "Hedging and volatility of Hang Seng Index." Thesis, University of Macau, 2006. http://umaclib3.umac.mo/record=b1676381.

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22

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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23

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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Abstract (sommario):

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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24

Rahman, Mohammad N. "Examining exchange rate exposure, hedging and executive compensation in US manufacturing Industry." ScholarWorks@UNO, 2013. http://scholarworks.uno.edu/td/1664.

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In essay one, my primary objective is to see the sensitivity of foreign exchange rate risk on firm performance in US manufacturing industry and examine if the hedging help reduce the foreign exchange rate risk. I am particularly interested in manufacturing industry because of the nature of business operation of manufacturing firms. Manufacturing firms in US are not only exposed to foreign exchange fluctuation from sales and revenue but also are exposed to foreign exchange rate risk for procurement, placement and investment. I find that the firms with extreme foreign exchange rate risk exposure

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25

Argesanu, George Nicolae. "Risk analysis and hedging and incomplete markets." Connect to this title online, 2004. http://rave.ohiolink.edu/etdc/view?acc%5Fnum=osu1079923360.

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Thesis (Ph. D.)--Ohio State University, 2004.<br>Title from first page of PDF file. Document formatted into pages; contains x, 86 p.; also includes graphics Includes bibliographical references (p. 84-86). Available online via OhioLINK's ETD Center

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26

Josias, Craig L. "Hedging future uncertainty a framework for obsolescence prediction, proactive mitigation and management /." Amherst, Mass. : University of Massachusetts Amherst, 2009. http://scholarworks.umass.edu/open_access_dissertations/12/.

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27

Hou, Zhaoxu. "A robust approach to pricing-hedging duality and related problems in mathematical finance." Thesis, University of Oxford, 2016. https://ora.ox.ac.uk/objects/uuid:4a21584a-f898-43ac-bfa5-914fec17961e.

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In this thesis, we pursue a robust approach to pricing and hedging problems in mathematical finance. The general goal of this approach is to develop a pricing and hedging theory, which is based mainly on the market information than on a specific probabilistic belief about the future evolution of the risky assets. Motivated by the notion of prediction set in Mykland (2003), we include in our framework modelling beliefs through a set of paths to be considered, e.g. super-replication of a contingent claim is required only for paths falling in the given set. Our framework thus interpolates between

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28

Cheung, Timothy Ka Hei Accounting Australian School of Business UNSW. "Patterns in returns reported by hedge funds: strategic use of variance and avoidance of reporting small losses." Awarded by:University of New South Wales. School of Accounting, 2005. http://handle.unsw.edu.au/1959.4/25191.

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This study examines systematic patterns in returns reported by hedge funds for the period from 1989 to 2003. Two patterns are examined: strategic changes in returns variance in the second half of the year and the avoidance of reporting small losses. The hedge fund industry has grown rapidly during the 1990s. Despite this rapid growth, and the large amount of investment in hedge funds, hedge funds are less regulated than other forms of investment. Given the lower level of regulation and the assumed ability of hedge fund managers to influence both investment policy and the estimation of value fo

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29

Yang, Wenling. "M-GARCH Hedge Ratios And Hedging Effectiveness In Australian Futures Markets." Thesis, Edith Cowan University, Research Online, Perth, Western Australia, 2000. https://ro.ecu.edu.au/theses/1530.

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This study deals with the estimation of the optimal hedge ratios using various econometric models. Most of the recent papers have demonstrated that the conventional ordinary least squares (OLS) method of estimating constant hedge ratios is inappropriate, other more complicated models however seem to produce no more efficient hedge ratios. Using daily AOIs and SPI futures on the Australian market, optimal hedge ratios are calculated from four different models: the OLS regression model, the bivariate vector autoaggressive model (BVAR), the error-correction model (ECM) and the multivariate diagon

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30

Gupta, Alok. "A Bayesian approach to financial model calibration, uncertainty measures and optimal hedging." Thesis, University of Oxford, 2010. http://ora.ox.ac.uk/objects/uuid:6158b433-20b6-4f8b-9199-895ced574330.

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In this thesis we address problems associated with financial modelling from a Bayesian point of view. Specifically, we look at the problem of calibrating financial models, measuring the model uncertainty of a claim and choosing an optimal hedging strategy. Throughout the study, the local volatility model is used as a working example to clarify the proposed methods. This thesis assumes a prior probability density for the unknown parameter in a model we try to calibrate. The prior probability density regularises the ill-posedness of the calibration problem. Further observations of market prices

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31

Sumawong, Anannit. "Risk management of energy derivatives : hedging and margin requirements." Thesis, University of Sussex, 2014. http://sro.sussex.ac.uk/id/eprint/53818/.

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Abstract (sommario):

The recent growth of exchanges has generated large trading platforms for investors. The largest of these institutions, the Intercontinental Exchange and the Chicago Mercantile Exchange group are now responsible for clearing trades for the majority of investors worldwide and are perhaps, as large commercial banks are, too big to fail. This has attracted attention from international regulating bodies to impose strict risk management standards on the exchanges to ensure financial stability. In this thesis, we identify first, that an investor in the market is strongly affected by margins set by th

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32

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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33

Spoida, Peter. "Robust pricing and hedging beyond one marginal." Thesis, University of Oxford, 2014. http://ora.ox.ac.uk/objects/uuid:0315824b-52f7-4e44-9ac6-0a688c49762c.

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Abstract (sommario):

The robust pricing and hedging approach in Mathematical Finance, pioneered by Hobson (1998), makes statements about non-traded derivative contracts by imposing very little assumptions about the underlying financial model but directly using information contained in traded options, typically call or put option prices. These prices are informative about marginal distributions of the asset. Mathematically, the theory of Skorokhod embeddings provides one possibility to approach robust problems. In this thesis we consider mostly robust pricing and hedging problems of Lookback options (options writte

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34

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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35

McCarron, Sean. "Reducing exchange rate risk and exposure: The value of foreign exchange currency hedging strategies." CSUSB ScholarWorks, 2004. https://scholarworks.lib.csusb.edu/etd-project/2534.

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The topic researched for this project will be foreigh exchange hedging; the available forms, the uses, the procedures, and the value. This project will expand beyond the typical research and examine the value of hedging through the use of different foreign exchang currency trading strategies to small multinationational corporations.

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36

Popovic, Ray. "Parameter estimation error: a cautionary tale in computational finance." Diss., Georgia Institute of Technology, 2010. http://hdl.handle.net/1853/34731.

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We quantify the effects on contingent claim valuation of using an estimator for the volatility of a geometric Brownian motion (GBM) process. That is, we show what difficulties can arise when failing to account for estimation risk. Our working problem uses a direct estimator of volatility based on the sample standard deviation of increments from the underlying Brownian motion. After substituting into the GBM the direct volatility estimator for the true, but unknown, value of the parameter sigma, we derive the resulting marginal distribution of the approximated GBM. This allows us to derive post

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37

Wu, Jichun 1961. "A sampling-based stochastic programming algorithm and its applications to currency option hedging." Diss., The University of Arizona, 1997. http://hdl.handle.net/10150/289666.

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This dissertation is intended to study the stochastic optimization of a dynamical currency option hedging process and presents a sampling-based scenario aggregation algorithm which can be used to solve the optimal currency option hedging model. First, we review various financial applications of stochastic programming modeling techniques in the literature and examine traditional option hedging and valuation methods in finance. Next, we analyze the uncertain factors in currency exchange and discuss how to generate scenarios and scenario tree for financial optimization methods. We examine the adv

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38

Haji, Mohamad Zubir Ahmad Shauqi Bin. "The tracking, profitability and inflation risk hedging performance of gold ETFs in the UK during 2004-2014." Thesis, University of Birmingham, 2018. http://etheses.bham.ac.uk//id/eprint/7999/.

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Abstract (sommario):

Gold ETFs are relatively new instruments that were introduced only recently. Consequently, there are many things that are not known about them. Such things include whether the gold ETFs track physical gold prices, and returns, well in the UK, whether the introduction of the gold ETFs in the UK affected the gold mutual funds in the country and whether the gold ETFs hedged, or can hedge inflation. We find that tracking performance of every gold ETF categories is different. Further, individual tracking performance of every gold ETF differs despite of having similar underlying asset. The best indi

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39

Lipp, Tobias. "Numerical methods for optimization in finance : optimized hedges for options and optimized options for hedging." Paris 6, 2012. http://www.theses.fr/2012PA066104.

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Cette thèse porte sur l'optimisation en finance par des méthodes numériques. La thèse se présente en deux parties. Dans la première partie, nous proposons une méthode numérique pour calculer une stratégie de trading pour la couverture d'un produit financier dérivé avec plusieurs instruments de couverture. Le cadre mathématique sous-jacent est la minimisation du risque local en temps discret. La méthode combine la simulation de Monte-Carlo et la régression des moindres carrés - analogue à la méthode de Longstaff et Schwartz. Nous l'appliquons à deux exemples particuliers. Les instruments de cou

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40

Suchanecki, Michael. "The pricing and hedging of barrier options and their applications in finance and life insurance /." [S.l. : s.n.], 2008. http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&doc_number=016517756&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA.

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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.

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42

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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43

Cho, Young-Hye. "Time-varying betas and market microstructures in option markets /." Diss., Connect to a 24 p. preview or request complete full text in PDF format. Access restricted to UC campuses, 2000. http://wwwlib.umi.com/cr/ucsd/fullcit?p9981964.

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44

Ho, Ka Wai. "The power of hedging against inflation with real estate : the Hong Kong experience." Thesis, University of Macau, 2006. http://umaclib3.umac.mo/record=b1676383.

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45

Capitani, Daniel Henrique Dario. "Viabilidade de implantação de um contrato futuro de arroz no Brasil." Universidade de São Paulo, 2013. http://www.teses.usp.br/teses/disponiveis/11/11132/tde-15052013-102802/.

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Abstract (sommario):

O arroz é uma commodity de grande importância para o agronegócio brasileiro e alimento essencial para garantir a segurança alimentar de população de baixa renda do país. Porém, diferentemente de outras commodities de similar ou maior importância, o arroz não possui um contrato futuro em bolsa que auxilie seus agentes a uma melhor gestão do risco de preços. Neste sentido, este trabalho avaliou a viabilidade de implantação de um contrato futuro de arroz no Brasil. Para isso, a presente pesquisa foi dividida em três capítulos distintos. O primeiro avalia as condições primárias necessárias para a

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46

Kaya, Orcun. "Static Hedging Strategies For Barrier Options And Their Robustness To Model Risk." Master's thesis, METU, 2007. http://etd.lib.metu.edu.tr/upload/2/12608763/index.pdf.

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Abstract (sommario):

With the rapid increase in the usage of barrier options on the OTC markets, pricing and especially hedging of these exotic instruments became an important field of research. This paper aims to explain, apply and compare current methods used for pricing and hedging barrier options with a simulation approach. An overview of most popular methods for pricing and hedging is presented in the first part, followed by application of these pricing methods and comparing the performances of different dynamic and static hedging techniques in Black-Scholes environment by simulation in the second part. In th

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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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Abstract (sommario):

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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48

Cottrell, Paul Edward. "Dynamically Hedging Oil and Currency Futures Using Receding Horizontal Control and Stochastic Programming." ScholarWorks, 2015. https://scholarworks.waldenu.edu/dissertations/293.

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Abstract (sommario):

There is a lack of research in the area of hedging future contracts, especially in illiquid or very volatile market conditions. It is important to understand the volatility of the oil and currency markets because reduced fluctuations in these markets could lead to better hedging performance. This study compared different hedging methods by using a hedging error metric, supplementing the Receding Horizontal Control and Stochastic Programming (RHCSP) method by utilizing the London Interbank Offered Rate with the Levy process. The RHCSP hedging method was investigated to determine if improved hed

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Viswanathan, Karthik. "Formulating hedging strategies for financial risk mitigation in competitive U.S. electricity markets." Diss., Rolla, Mo. : University of Missouri-Rolla [sic] [Missouri University of Science and Technology], 2008. http://scholarsmine.mst.edu/thesis/pdf/Viswanathan_09007dcc8047876c.pdf.

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Abstract (sommario):

Thesis (M.S.)--Missouri University of Science and Technology, 2008.<br>Degree granted by Missouri University of Science and Technology, formerly known as the University of Missouri-Rolla. Vita. The entire thesis text is included in file. Title from title screen of thesis/dissertation PDF file (viewed March 31, 2008) Includes bibliographical references (p. 42-44).

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Wanntorp, Henrik. "Optimal Stopping and Model Robustness in Mathematical Finance." Doctoral thesis, Uppsala : Department of Mathematics, Uppsala University, 2008. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-9516.

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