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Articoli di riviste sul tema "Hedging Finance"

Autore: Grafiati

Pubblicato: 4 giugno 2021

Ultima modifica: 31 luglio 2024

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1

Hamdi, Haykel, and Jihed Majdoub. "Risk-sharing finance governance: Islamic vs conventional indexes option pricing." Managerial Finance 44, no. 5 (May 14, 2018): 540–50. http://dx.doi.org/10.1108/mf-05-2017-0199.

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Purpose Risk governance has an important influence on the hedging performances in option pricing and portfolio hedging in both discrete and dynamic case for both conventional and Islamic indexes. The paper aims to discuss these issues. Design/methodology/approach This paper explores option pricing and portfolio hedging in a discrete and dynamic case with transaction costs. Monte Carlo simulations are applied to both conventional and Islamic indexes in US and UK markets. Simulations show that conventional and Islamic assets do not exhibit the same price and portfolio hedging strategy governance

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2

Stentoft, Lars. "Computational Finance." Journal of Risk and Financial Management 13, no. 7 (July 4, 2020): 145. http://dx.doi.org/10.3390/jrfm13070145.

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The field of computational finance is evolving ever faster. This book collects a number of novel contributions on the use of computational methods and techniques for modelling financial asset prices, returns, and volatility, and on the use of numerical methods for pricing, hedging, and risk management of financial instruments.

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3

Roig Hernando, Jaume. "Humanizing Finance by Hedging Property Values." Journal of Risk and Financial Management 9, no. 2 (June 10, 2016): 5. http://dx.doi.org/10.3390/jrfm9020005.

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4

Cong, Jianfa, Ken Seng Tan, and Chengguo Weng. "VAR-BASED OPTIMAL PARTIAL HEDGING." ASTIN Bulletin 43, no. 3 (July 29, 2013): 271–99. http://dx.doi.org/10.1017/asb.2013.19.

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AbstractHedging is one of the most important topics in finance. When a financial market is complete, every contingent claim can be hedged perfectly to eliminate any potential future obligations. When the financial market is incomplete, the investor may eliminate his risk exposure by superhedging. In practice, both hedging strategies are not satisfactory due to their high implementation costs, which erode the chance of making any profit. A more practical and desirable strategy is to resort to the partial hedging, which hedges the future obligation only partially. The quantile hedging of Föllmer

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5

Buehler, H., L. Gonon, J. Teichmann, and B. Wood. "Deep hedging." Quantitative Finance 19, no. 8 (February 21, 2019): 1271–91. http://dx.doi.org/10.1080/14697688.2019.1571683.

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6

Madan, Dilip B. "Adapted hedging." Annals of Finance 12, no. 3-4 (November 9, 2016): 305–34. http://dx.doi.org/10.1007/s10436-016-0282-8.

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7

TSUZUKI, YUKIHIRO. "ON OPTIMAL SUPER-HEDGING AND SUB-HEDGING STRATEGIES." International Journal of Theoretical and Applied Finance 16, no. 06 (September 2013): 1350038. http://dx.doi.org/10.1142/s0219024913500386.

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This paper proposes optimal super-hedging and sub-hedging strategies for a derivative on two underlying assets without any specification of the underlying processes. Moreover, the strategies are free from any model of the dependency between the underlying asset prices. We derive the optimal pricing bounds by finding a joint distribution under which the derivative price is equal to the hedging portfolio's value; the portfolio consists of liquid derivatives on each of the underlying assets. As examples, we obtain new super-hedging and sub-hedging strategies for several exotic options such as qua

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8

Sun, Youfa, George Yuan, Shimin Guo, Jianguo Liu, and Steven Yuan. "Does model misspecification matter for hedging? A computational finance experiment based approach." International Journal of Financial Engineering 02, no. 03 (September 2015): 1550023. http://dx.doi.org/10.1142/s2424786315500231.

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To assess whether the model misspecification matters for hedging accuracy, we carefully select six increasingly complicated asset models, i.e., the Black–Scholes (BS) model, the Merton (M) model, the Heston (H) model, the Heston jump-diffusion (HJ) model, the double Heston (dbH) model and the double Heston jump-diffusion (dbHJ) model, and then impartially evaluate their performances in mitigating the risk of an option, under a controllable experimental market. In experiments, the ℙ measure asset paths are piecewisely simulated by a hybrid-model (including the Black–Scholes-type and the (double

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9

Korn, Olaf, and Marc Oliver Rieger. "Hedging with regret." Journal of Behavioral and Experimental Finance 22 (June 2019): 192–205. http://dx.doi.org/10.1016/j.jbef.2019.03.002.

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10

Bates, David S. "Hedging the smirk." Finance Research Letters 2, no. 4 (December 2005): 195–200. http://dx.doi.org/10.1016/j.frl.2005.08.004.

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11

Chen, Chaoyi, Ziyang Liao, Menghan Shi, and Peizi Zhang. "Through analyzing differences between four risk hedge methods to help companies choose a suitable strategy in different financial situation." BCP Business & Management 35 (December 31, 2022): 60–64. http://dx.doi.org/10.54691/bcpbm.v35i.3227.

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Hedging risk is an essential section of finance for all investors, especially in the times where uncertainty occurs every time. covid-19 has hit the global market heavily since 2020, promoting the importance of hedging risk significantly. This essay generally introduces 4 fundamental methods of hedging risk, including the Arbitrage strategy, alpha strategy, neutral strategy and event-driven strategy. It mainly focusses on their origins, the economics and finance theory of each format and the reality problems occurred in application. At the same time, the advantages and drawback of each methods

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12

ARAI, TAKUJI. "$\mathcal{L}^p$-PROJECTIONS OF RANDOM VARIABLES AND ITS APPLICATION TO FINANCE." International Journal of Theoretical and Applied Finance 11, no. 08 (December 2008): 869–88. http://dx.doi.org/10.1142/s0219024908005068.

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The aim of this paper is to give an extension of the mean-variance hedging problem to the [Formula: see text]-setting, where 1 < p < ∞. Remark that the mean-variance hedging is corresponding to the case where p = 2. Firstly, we prove that the unique existence of the optimal hedging strategy in the [Formula: see text]-sense, which is the [Formula: see text]-projection of the underlying contingent claim onto a suitable space of stochastic integrations. Next, we obtain its feedback representation under some additional assumptions. Moreover, the valuation problem induced by the [Formula: see

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13

Hoelscher, Seth A. "Voluntary hedging disclosure and corporate governance." Review of Accounting and Finance 19, no. 1 (June 10, 2019): 5–29. http://dx.doi.org/10.1108/raf-01-2018-0001.

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Purpose This paper aims to investigate the implications of governance quality on a firm’s information environment in the context of voluntary changes in hedging disclosures made by oil and gas companies. Design/methodology/approach The research utilizes a Factiva-guided search to hand-collect public disclosures related to changes in hedging policies along with the hand collection of financial derivatives positions and operational hedging contracts data using 10-K filings. The paper addresses self-selection bias, which typically plagues voluntary disclosure studies, by implementing a Heckman (1

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14

TAKAHASHI, AKIHIKO, YUKIHIRO TSUZUKI, and AKIRA YAMAZAKI. "HEDGING EUROPEAN DERIVATIVES WITH THE POLYNOMIAL VARIANCE SWAP UNDER UNCERTAIN VOLATILITY ENVIRONMENTS." International Journal of Theoretical and Applied Finance 14, no. 04 (June 2011): 485–505. http://dx.doi.org/10.1142/s021902491100670x.

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This paper proposes a new hedging scheme of European derivatives under uncertain volatility environments, in which a weighted variance swap called the polynomial variance swap is added to the Black-Scholes delta hedging for managing exposure to volatility risk. In general, under these environments one cannot hedge the derivatives completely by using dynamic trading of only an underlying asset owing to volatility risk. Then, for hedging uncertain volatility risk, we design the polynomial variance, which can be dependent on the level of the underlying asset price. It is shown that the polynomial

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15

ZAKAMOULINE, VALERI. "THE BEST HEDGING STRATEGY IN THE PRESENCE OF TRANSACTION COSTS." International Journal of Theoretical and Applied Finance 12, no. 06 (September 2009): 833–60. http://dx.doi.org/10.1142/s0219024909005488.

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Considerable theoretical work has been devoted to the problem of option pricing and hedging with transaction costs. A variety of methods have been suggested and are currently being used for dynamic hedging of options in the presence of transaction costs. However, very little was done on the subject of an empirical comparison of different methods for option hedging with transaction costs. In a few existing studies the different methods are compared by studying their empirical performances in hedging only a plain-vanilla short call option. The reader is tempted to assume that the ranking of the

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16

Korkeamäki, Timo, Eva Liljeblom, and Markus Pfister. "Airline fuel hedging and management ownership." Journal of Risk Finance 17, no. 5 (November 21, 2016): 492–509. http://dx.doi.org/10.1108/jrf-06-2016-0077.

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Purpose The purpose of this paper is to study the value effects of hedging in the airline industry during a period of high volatility and high fuel costs. The authors also study the determinants of hedging in the airline industry, most importantly whether managerial ownership affects airlines’ tendency to hedge their fuel price risk. Design/methodology/approach This study’s research design follows closely previous studies in the area. This allows comparison of the results of this study to those reported earlier, and thus the authors can draw conclusions about the effects of the different marke

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17

Alghalith, Moawia. "Input hedging: generalizations." Journal of Risk Finance 8, no. 3 (May 29, 2007): 309–12. http://dx.doi.org/10.1108/15265940710750521.

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18

WILCOX, JARROD. "Better Dynamic Hedging." Journal of Risk Finance 2, no. 4 (March 2001): 5–15. http://dx.doi.org/10.1108/eb043471.

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19

RODRÍGUEZ, JESÚS F. "HEDGING SWING OPTIONS." International Journal of Theoretical and Applied Finance 14, no. 02 (March 2011): 295–312. http://dx.doi.org/10.1142/s021902491100636x.

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We study models for electricity pricing and derivatives in the context of a deregulated market setting. In particular we value swing options, since these are the electricity derivatives that attract the most attention from market participants. These are American style options in that they allow for multiple exercises subject to a set of constraints on the consumption process. Through the use of a penalty function, we generalize the problem by allowing for the consumption restrictions to be broken. We characterize the price function as a stochastic optimal control problem, and show that the opt

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20

OBŁÓJ, JAN, and FRÉDÉRIK ULMER. "PERFORMANCE OF ROBUST HEDGES FOR DIGITAL DOUBLE BARRIER OPTIONS." International Journal of Theoretical and Applied Finance 15, no. 01 (February 2012): 1250003. http://dx.doi.org/10.1142/s0219024911006516.

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We analyze the performance of robust hedging strategies of digital double barrier options of Cox and Obłój (2011) against that of traditional hedging methods such as delta and delta/vega hedging. Digital double barrier options are financial derivative contracts which pay out a fixed amount on the condition that the underlying asset remains within or breaks into a range defined by two distinct barrier levels. We perform the analysis in hypothetical forward markets driven by models with stochastic volatility and jumps, calibrated to the AUD/USD foreign exchange rate market. Our findings are stri

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21

Møller, T. "On Valuation and Risk Management at the Interface of Insurance and Finance." British Actuarial Journal 8, no. 4 (October 1, 2002): 787–827. http://dx.doi.org/10.1017/s1357321700003913.

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ABSTRACTThis paper reviews methods for hedging and valuation of insurance claims with an inherent financial risk, with special emphasis on quadratic hedging approaches and indifference pricing principles and their applications in insurance. It thus addresses aspects of the interplay between finance and insurance, an area which has gained considerable attention during the past years, in practice as well as in theory. Products combining insurance risk and financial risk have gained considerable market shares. Special attention is paid to unit-linked life insurance contracts, and it is demonstrat

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22

Horikawa, Hiroaki, and Kei Nakagawa. "Relationship between deep hedging and delta hedging: Leveraging a statistical arbitrage strategy." Finance Research Letters 62 (April 2024): 105101. http://dx.doi.org/10.1016/j.frl.2024.105101.

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23

Schnabel, Jacques A. "Hedging and debt overhang: a conceptual note." Journal of Risk Finance 16, no. 2 (March 16, 2015): 164–69. http://dx.doi.org/10.1108/jrf-10-2014-0140.

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Purpose – This paper aims to examine the nexus between hedging, which reduces the volatility of corporate assets, and the anomaly of debt overhang, whereby corporate management is motivated to reject positive net present value (NPV) projects. The question of whether hedging ameliorates or aggravates debt overhang is addressed. Design/methodology/approach – The Black–Scholes isomorphism between common shares and call options is exploited to determine the allocation of a project’s NPV between debt- and stock-holders. The effect of hedging on this NPV-partitioning is then gauged to determine the

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24

LIU, WEN-QIONG, and WEN-LI HUANG. "HEDGING OF SYNTHETIC CDO TRANCHES WITH SPREAD AND DEFAULT RISK BASED ON A COMBINED FORECASTING APPROACH." International Journal of Theoretical and Applied Finance 22, no. 02 (March 2019): 1850057. http://dx.doi.org/10.1142/s0219024918500577.

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Hedging of credit derivatives, especially the Collateralized Debt Obligations (CDOs), is the prerequisite of risk management in financial market. Since both spread risk and default risk exist, the models in existing literature resort to the incomplete-market theory to derive the hedging strategies. From another point of view, the construction of hedging strategies of CDO might be regarded as the process of forecasting the changes in value of CDO by the changes in value of hedging instruments. Based on this idea, this paper proposes an alternative hedging approach via the combined forecasting a

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25

Fard, Farzad Alavi, Firmin Doko Tchatoka, and Sivagowry Sriananthakumar. "Maximum Entropy Evaluation of Asymptotic Hedging Error under a Generalised Jump-Diffusion Model." Journal of Risk and Financial Management 14, no. 3 (February 28, 2021): 97. http://dx.doi.org/10.3390/jrfm14030097.

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In this paper we propose a maximum entropy estimator for the asymptotic distribution of the hedging error for options. Perfect replication of financial derivatives is not possible, due to market incompleteness and discrete-time hedging. We derive the asymptotic hedging error for options under a generalised jump-diffusion model with kernel bias, which nests a number of very important processes in finance. We then obtain an estimation for the distribution of hedging error by maximising Shannon’s entropy subject to a set of moment constraints, which in turn yields the value-at-risk and expected s

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26

Augustyniak, Maciej, Alexandru Badescu, and Mathieu Boudreault. "On the Measurement of Hedging Effectiveness for Long-Term Investment Guarantees." Journal of Risk and Financial Management 16, no. 2 (February 10, 2023): 112. http://dx.doi.org/10.3390/jrfm16020112.

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Although the finance literature has devoted a lot of research into the development of advanced models for improving the pricing and hedging performance, there has been much less emphasis on approaches to measure dynamic hedging effectiveness. This article discusses a statistical framework based on regression analysis to measure the effectiveness of dynamic hedges for long-term investment guarantees. The importance of taking model risk into account is emphasized. The difficulties in reducing hedging risk to an appropriately low level lead us to propose a new perspective on hedging, and recogniz

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27

Wei, Peihwang, Li Xu, and Bei Zeng. "Corporate hedging, firm focus and firm size: the case of REITs." Managerial Finance 43, no. 3 (March 13, 2017): 313–30. http://dx.doi.org/10.1108/mf-05-2016-0134.

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Purpose The purpose of this paper is to investigate the substitutability of corporate hedging and diversification in the real estate investment trusts (REITs) industry. The authors hypothesize that, relative to diversified firms, focused firms are more likely to be associated with hedging. The role of firm size is also analyzed. Design/methodology/approach The logistic regression approach is utilized to analyze the probability of hedging and the panel regression approach is used to examine the amount of hedging. Findings The authors find that, relative to diversified firms, firms focused on a

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28

Lee, Cheng-Few, Kehluh Wang, and Yan Long Chen. "Hedging and Optimal Hedge Ratios for International Index Futures Markets." Review of Pacific Basin Financial Markets and Policies 12, no. 04 (December 2009): 593–610. http://dx.doi.org/10.1142/s0219091509001769.

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This empirical study utilizes four static hedging models (OLS Minimum Variance Hedge Ratio, Mean-Variance Hedge Ratio, Sharpe Hedge Ratio, and MEG Hedge Ratio) and one dynamic hedging model (bivariate GARCH Minimum Variance Hedge Ratio) to find the optimal hedge ratios for Taiwan Stock Index Futures, S&P 500 Stock Index Futures, Nikkei 225 Stock Index Futures, Hang Seng Index Futures, Singapore Straits Times Index Futures, and Korean KOSPI 200 Index Futures. The effectiveness of these ratios is also evaluated. The results indicate that the methods of conducting optimal hedging in different

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Zhang, Lu, Difang Wan, Wenhu Wang, Chen Shang, and Fang Wan. "Incentive mechanisms and hedging effectiveness – an experimental study." China Finance Review International 8, no. 3 (August 20, 2018): 332–52. http://dx.doi.org/10.1108/cfri-06-2017-0077.

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PurposeThe purpose of this paper is to analyze the role of four different incentives in improving hedging effectiveness and propose an alternative regulatory mechanism for China’s futures market.Design/methodology/approachThe research method that this study uses is a laboratory experiment, and this study follows the basic norms of experimental research. In addition, this paper designs and conducts a game experiment between hedgers and futures brokerage firms (FBFs) under different incentive mechanisms.FindingsBy analyzing the experimental data, it is found that compared with other incentive me

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لمحنط, عائشة. "التحوط كأداة لإدارة مخاطر التمویل الزراعي في البنوك الإسلامیة". Finance and Business Economies Review 2, № 3 (21 вересня 2018): 444–65. http://dx.doi.org/10.58205/fber.v2i3.670.

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This paper focuses on the study of hedging as an instrument to manage the risks ofagricultural finance in Islamic banks. The study refers to the most important forms ofIslamic finance, which are used to fund the agricultural sector, both vegetable andanimal, either those that are specialized in financing the agricultural sector or otherformulas that can be used by Islamic banks in the funding of agricultural activities. Themain risks associated with agricultural financing are highlighted too. The study ends withthe presentation of the most important mechanisms proposed to hedge the risks ofagr

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MELNIKOV, ALEXANDER, and YULIYA ROMANYUK. "EFFICIENT HEDGING AND PRICING OF EQUITY-LINKED LIFE INSURANCE CONTRACTS ON SEVERAL RISKY ASSETS." International Journal of Theoretical and Applied Finance 11, no. 03 (May 2008): 295–323. http://dx.doi.org/10.1142/s0219024908004816.

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The paper uses the efficient hedging methodology in order to optimally price and hedge equity-linked life insurance contracts whose payoff depends on the performance of several risky assets. In particular, we consider a policy which pays the maximum of the values of n risky assets at some maturity date T, provided that the policyholder survives to T. Such contracts incorporate financial risk, which stems from the uncertainty about future prices of the underlying financial assets, and insurance risk, which arises from the policyholder's mortality. We show how efficient hedging can be used to mi

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Lee, Cheng-Few, Fu-Lai Lin, and Mei-Ling Chen. "International Hedge Ratios for Index Futures Market: A Simultaneous Equations Approach." Review of Pacific Basin Financial Markets and Policies 13, no. 02 (June 2010): 203–13. http://dx.doi.org/10.1142/s0219091510001913.

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The main purpose of this paper is to investigate hedge ratios in terms of the international index futures markets. Instead of looking at hedging in a single market, we construct a simultaneous equations system to study the index hedging in the light of the cross-country linkage and interaction. The three-stage least squares (3SLS) estimating procedure is then applied to CAC40 and FTSE100 indices over the period 1990–2008. The empirical results indicate that the cross-country hedging strategy in both markets is feasible and the investors can bring down the holding position in own futures market

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ARMSTRONG, JOHN, TEEMU PENNANEN, and UDOMSAK RAKWONGWAN. "PRICING INDEX OPTIONS BY STATIC HEDGING UNDER FINITE LIQUIDITY." International Journal of Theoretical and Applied Finance 21, no. 06 (September 2018): 1850044. http://dx.doi.org/10.1142/s0219024918500449.

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We develop a model for indifference pricing in derivatives markets, where price quotes have bid–ask spreads and finite quantities. The model quantifies the dependence of the prices and hedging portfolios on an investor’s views, risk preferences and financial position as well as on the price quotes. Computational techniques of convex optimization allow for fast computation of the hedging portfolios and prices as well as sensitivities with respect to various model parameters. We illustrate the techniques by pricing and hedging of exotic derivatives on S&P index using call and put options, fo

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Powers, Michael R. "Diversification, hedging, and “pacification”." Journal of Risk Finance 11, no. 5 (November 9, 2010): 441–45. http://dx.doi.org/10.1108/15265941011092031.

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Crépey, Stéphane. "Delta-hedging vega risk?" Quantitative Finance 4, no. 5 (October 2004): 559–79. http://dx.doi.org/10.1080/14697680400000038.

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Cousin, Areski, Stéphane Crépey, and Yu Hang Kan. "Delta-hedging correlation risk?" Review of Derivatives Research 15, no. 1 (June 22, 2011): 25–56. http://dx.doi.org/10.1007/s11147-011-9068-3.

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Jarrow, Robert A. "Hedging in a HJM model." Finance Research Letters 7, no. 1 (March 2010): 8–13. http://dx.doi.org/10.1016/j.frl.2009.10.002.

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Rahman, Aisyah Abdul, and Raudha Md Ramli. "Islamic Cross Currency Swap (ICCS): hedging against currency fluctuations." Emerald Emerging Markets Case Studies 5, no. 4 (July 14, 2015): 1–12. http://dx.doi.org/10.1108/eemcs-09-2014-0215.

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Abstract (sommario):

Subject areaThe case is suitable for use in the topics related to the functions and roles of hedging and the Islamic derivatives/hedging instruments.Study level/applicabilityThe case is designed for undergraduate students, taking courses in Islamic Banking, Islamic Finance and Risk Management for Islamic Banking Institutions.Case overviewThis case describes the theory and application of Islamic Cross Currency Swap (ICCS) in the market. Having this understanding enables case analysts to understand the functions and roles of hedging and the Islamic derivatives or hedging instruments of ICCS comp

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I. Ivanov, Stoyu. "Analysis of the impact of improved market trading efficiency on the speculation-hedging relation." Journal of Risk Finance 15, no. 2 (March 17, 2014): 180–94. http://dx.doi.org/10.1108/jrf-11-2013-0077.

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Purpose – In this study, the author aims to examine the behavior of QQQ options at the time of the QQQ move from AMEX to NASDAQ on December 1, 2004. The author addresses the questions: is there a relation between hedging and speculation, if such a relation exists considering the improvement in market trading efficiency after the QQQ move did the relation between speculative demand for options and hedging demand for options strengthen at the time of the QQQ move, if such a relation exists does hedging activity follow speculative activity. Design/methodology/approach – The author uses the fact t

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Vazifedan, Mehdi, and Qiji Jim Zhu. "No-Arbitrage Principle in Conic Finance." Risks 8, no. 2 (June 19, 2020): 66. http://dx.doi.org/10.3390/risks8020066.

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In a one price economy, the Fundamental Theorem of Asset Pricing (FTAP) establishes that no-arbitrage is equivalent to the existence of an equivalent martingale measure. Such an equivalent measure can be derived as the normal unit vector of the hyperplane that separates the attainable gain subspace and the convex cone representing arbitrage opportunities. However, in two-price financial models (where there is a bid–ask price spread), the set of attainable gains is not a subspace anymore. We use convex optimization, and the conic property of this region to characterize the “no-arbitrage” princi

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Cherrat, El Amine, Snehal Raj, Iordanis Kerenidis, Abhishek Shekhar, Ben Wood, Jon Dee, Shouvanik Chakrabarti, et al. "Quantum Deep Hedging." Quantum 7 (November 29, 2023): 1191. http://dx.doi.org/10.22331/q-2023-11-29-1191.

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Quantum machine learning has the potential for a transformative impact across industry sectors and in particular in finance. In our work we look at the problem of hedging where deep reinforcement learning offers a powerful framework for real markets. We develop quantum reinforcement learning methods based on policy-search and distributional actor-critic algorithms that use quantum neural network architectures with orthogonal and compound layers for the policy and value functions. We prove that the quantum neural networks we use are trainable, and we perform extensive simulations that show that

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Shanker, Latha. "Margin Requirements and Hedging Effectiveness: An Analysis in a Risk-Return Framework." Journal of Accounting, Auditing & Finance 7, no. 3 (July 1992): 379–93. http://dx.doi.org/10.1177/0148558x9200700311.

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The wave of innovation that swept the field of finance in the last fifteen years has resulted in the creation of different instruments that could serve effectively as substitutes in performing different functions. One important function, that of hedging risk, may be performed by futures and options. The regulations of the markets in which these instruments trade are important determinants of the competitiveness of the different substitutes. One such important regulation is that of the margin requirement of futures and options markets. This paper studies the effect of an increase in the margin

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Zou, Leyu. "Option pricing and risk hedging for Apple." BCP Business & Management 32 (November 22, 2022): 189–95. http://dx.doi.org/10.54691/bcpbm.v32i.2887.

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The Black Sholes Merton (BSM) model is one of the fundamental stochastics models in quantitative finance and the Merton Jump diffusion (MJ) model. This paper examines how BSM, and MJ behave on the European pricing based on 10 options chosen for Apple Inc, with BSM using RRS, SSE, and Historical Volatility, and MJ using SSE as calibration methods. Then delta-neutral hedging strategy is performed using the BSM on the historical data collected from the concessive 10 days. The BSM with RRS and SSE when pricing should be preferred, and the results are similar. The MJ and the BSM using Historical Vo

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Kouvelis, Panos, Xiaole Wu, and Yixuan Xiao. "Cash Hedging in a Supply Chain." Management Science 65, no. 8 (August 2019): 3928–47. http://dx.doi.org/10.1287/mnsc.2017.2997.

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We study hedging cash-flow risks in a supply chain where firms invest internal funds to improve production efficiencies. We offer a decomposition framework to capture the cost-reduction and flexibility effect of hedging. It allows us to understand how a firm’s hedging choice depends on its supply chain partner’s decision, and how such interaction is affected by supply chain characteristics such as market size, cash-flow volatility, and correlation. When firms’ cash flows are independent of each other, they are more likely to hedge with a larger market size. When cash flows are correlated, the

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Chernenko, Sergey, and Michael Faulkender. "The Two Sides of Derivatives Usage: Hedging and Speculating with Interest Rate Swaps." Journal of Financial and Quantitative Analysis 46, no. 6 (June 1, 2011): 1727–54. http://dx.doi.org/10.1017/s0022109011000391.

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AbstractExisting cross-sectional findings on nonfinancial firms’ use of derivatives that are usually interpreted as the result of hedging may alternatively be due to speculation. Panel data examinations can distinguish between derivatives practices that endure over time and are therefore more likely to result from hedging, and those that are more transient, thus more consistent with speculation. Our decomposition results indicate that hedging of interest rate risk is concentrated among high-investment firms, consistent with costly external finance. Simultaneously, firms appear to use interest

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Brenner, Menachem, Ernest Y. Ou, and Jin E. Zhang. "Hedging volatility risk." Journal of Banking & Finance 30, no. 3 (March 2006): 811–21. http://dx.doi.org/10.1016/j.jbankfin.2005.07.015.

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Pagli, John M. "Convertible Securities Hedging." Journal of Alternative Investments 2, no. 4 (March 31, 2000): 42–49. http://dx.doi.org/10.3905/jai.2000.318976.

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Bhaduri, Ranjan, Gunter Meissner, and James Youn. "Hedging Liquidity Risk." Journal of Alternative Investments 10, no. 3 (December 31, 2007): 80–90. http://dx.doi.org/10.3905/jai.2007.700226.

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Albuquerque, Rui. "Optimal currency hedging." Global Finance Journal 18, no. 1 (January 2007): 16–33. http://dx.doi.org/10.1016/j.gfj.2006.09.002.

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Lai, Yihao, Wei-Shih Chung, and Jiaming Chen. "Hedging performance and the heterogeneity among market participants." Studies in Economics and Finance 36, no. 3 (July 26, 2019): 395–407. http://dx.doi.org/10.1108/sef-04-2018-0102.

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Abstract (sommario):

Purpose This paper aims to apply the heterogeneous autoregressive model of realized volatility (HAR-RV) model to minimum-variance hedge ratio estimation and compares the hedging performance of presenting a model with that of a conventional rolling ordinary-least-square (OLS) hedging model. Moreover, this paper empirically analyzes the relationship between hedging performance and the heterogeneity of investors with different trading frequency in forming the expectation for the spot volatility, futures volatility and the covariance in the market. Design/methodology/approach Use HAR-RV to form ex

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