Analyzing Inter-Volatility Structure to Determine Optimum Hedging Ratio for the Ship Fuel

Ship Trim Optimization for the Reduction of Fuel Consumption

Greenhouse gas emissions and atmospheric pollutants, economic savings, as well as alignment with the new rules of the shipping industry's leading is a new concern. In order to meet and achieve these goals, many efforts have been made. In this paper, some methods for reducing fuel consumption, including optimization of floating trim, have been considered in design draught. In this regard, the bo...

Testing the volatility term structure using option hedging criteria

Hedging Volatility Risk

Volatility derivatives are becoming increasingly popular as means for hedging unexpected changes in volatility. Although pricing volatility derivatives demands extreme care in modeling the underlying volatility process, not much attention has been devoted to the complete specification of the autonomous process that volatility follows in continuous time. Despite the fact that jumps are widely co...

Hedging under Stochastic Volatility

We present a family of hedging strategies for a European derivative security in a stochastic volatility environment. The strategies are robust to speciication of the volatility process and do not need a parametric description of it or estimation of the volatility risk premium. They allow the hedger to control the probability of hedging success according to risk aversion. The formula exploits th...

Pricing and Hedging Volatility Derivatives∗

This paper studies the pricing and hedging of variance swaps and other volatility derivatives, including volatility swaps and variance options, in the Heston stochastic volatility model. Pricing and hedging results are derived using partial differential equation techniques. We formulate an optimization problem to determine the number of options required to best hedge a variance swap. We propose...