Hedging strategies
Mean-variance hedging strategies in discrete time and continuous state space
... for hedging purposes, ...comparing hedging strategies suggested by the optimal self-financing mean-variance hedging proposed in this paper and that by the Black and Scholes (B&S) [5] ...
10
Hedging strategy for the bond liquidation group
... macro hedging and reverse repo transactions afterwards; 2) the macro hedge (against market risk) in this case was made with German Bunds futures, but it depends on each case; 3) Overall, the hedging ...
33
Currency hedging in emerging market investments
... risk. Hedging currency exposure could help mitigate those risks but it at what cost? It is indeed shown that hedging levels have different impacts on performance but also on the volatility associated with ...
20
Pricing double barrier options on homogeneous diffusions: a Neumann series of Bessel functions representation
... In summary, our method can be considered as an alternative powerful computational tool for pricing DBKO options. Since we are able to quickly construct the whole value function and not just the price, we can easily ...
20
Measuring hedging performance of futures for non main european indices
... cross hedging with the most liquid future ...cross hedging and that the choice of the optimal hedging model and optimal future contracts to apply depends on the hedging effectiveness measure ...
52
Pricing and hedging of oil futures : a unifying approach
... hedging strategies. Under ideal model conditions and time continuous hedging the corresponding strategies would all result in riskless hedged ...some hedging error is introduced even ...
51
Rev. adm. contemp. vol.5 número3
... discrete hedging scheme, with the average returns (among the 5 portfolios) increasing as the rebalancing is made at less frequent ...dynamic hedging, it appears to be worth readjusting the positions only ...
28
Prod. vol.22 número1 en aop t6 0006 0150
... Agricultural producers face financial risk at the moment of final products selling. This imposes the use of instruments to reduce risks in order to assure prices and production process economic feasibility. This paper ...
8
Transferência de estratégias de hedging : um estudo contrastivo entre o português brasileiro e o inglês
... This work aims at describing the use of hedging strategies in research articles written by Brazilians in Portuguese and in English, and the possible transfers from their mother tongue. After a theoretical ...
86
RAM, Rev. Adm. Mackenzie vol.12 número5
... a hedging mechanism can be value ...that hedging policies affect the firm’s financial risk exposures; however, we do not discard the fact that the magnitude of a firm’s exposure to risks affects ...
30
Dynamic delta hedging of autocallables under a discrete rebalancing context
... the hedging results of the ...the hedging P&L if the bank would only rebalance each 10, 15 and 20 days, so one can better understand how the hedging portfolio behaves if kept unhedged for an ...
25
Arbitragem estatística com opções utilizando modelo de volatilidade incerta e hedging estático
... conceito Hedging Estático Ótimo foi utilizado com o propósito de maximizarmos os ganhos provenientes da arbitragem através da escolha ótima das quantidades individuais das opções que compõem o portfólio de ...
116
Uso de Derivativos na Gestão de Riscos de Distribuidores de Produtos Importados no Brasil.
... de hedging, como GARCH BEKK (usado por YANG e ALLEN (2005)) e WAVELET (usado para este tipo de análise por KIM ...do hedging. Bennet (1992) conclui que a eficácia do hedging é maior no longo prazo do ...
43
Cross hedging do novilho argentino no mercado futuro do boi gordo brasileiro
... O presente estudo verifica a efetividade das operações de cross hedge para os novilhos argentinos por meio da negociação com contratos futuros de boi gordo brasileiro da Bolsa de Valores, Mercadorias e Futuros - São ...
35
Do bondholders value corporate hedging? Evidence for Brazil, Chile and Mexico
... The relation between the use of derivatives and wealth creation has been the study object of many authors. According to the theory derived from the classic work of Modigliani and Miller (1958), under perfect capital ...
43
Bolsas de mercadorias a termo: teoria e evidências
... no preço do trigo, devido aos muitos outros ingredie!!:,.. Assim, quanto maior percen. Problemas com o"Hedging". Muit~s problemas surgem em N[r] ...
222
Hedging currency risk associated to the financing of production relocation
... different hedging alternatives (spot contracts, only reducing the exposure, only hedging the exposure or a combination of the last ...when hedging the Ruble, Indesit is better off by first splitting ...
33
POSITIONING STRATEGIES DEVELOPMENT
... positioning strategies and the orientation from more simple, product oriented strategies, to ones more oriented towards the client and with a briefer period of ...specific strategies in order for ...
10
Speculation-hedging activity in futures markets, relation with volatility and cause effects
... The values of the ratio range between -1 and 1, as the maximum change in Open Interest is bounded to the volume. When it presents extreme values, it means that, in that day, the volume transacted corresponded to the ...
40
THE PARADOX OF AGEING
... Although survivor bonds are good candidates for hedging aggregate mortality risk, they do not provide a perfect hedge against the particular characteristics of a company’s pool of annuitants. In this sense, there ...
23