hile hedge funds have been around since at least the 1940s, it has been only in the last decade or so that they have attracted widespread attention. Investors—mainly well understood by their own investors, much less by their bankers and derivatives counterparties. LTCM had managed to build up so much leverage both onand off-balance sheet that when their investments soured they were unable to me...

All countries consume crude oil or oil products. Both producers and consumers are highly concerned about crude oil prices. The crude oil prices are being directly affecting by several factors such as economic, political, geopolitical, and technological, oil reserves, available stocks and weather conditions, among others. On other hand the crude oil prices fluctuations influence directly the wor...

We consider the factorization problem of regular hedge languages. This problem is strongly related to the type checking problem in rule based transformations of valid XML documents. We propose the representation of regular hedge languages by reduced, complete, and deterministic linear hedge automata, and indicate algorithms for the computation of right factors and factor matrix.

Based on survey evidence from Germany and Switzerland we analyse the application of hedge accounting according to IAS 39 and its influence on the hedging behaviour of nonfinancial corporations. We find that about two thirds of the companies apply hedge accounting. Larger companies and companies that frequently use derivatives for hedging purposes are more likely to apply hedge accounting. The l...

Characterizing the instantaneous investment opportunity set by the real interest rate and the maximum Sharpe ratio, a simple model of time varying investment opportunities is posited in which these two variables follow correlated Ornstein-Uhlenbeck processes, and the implications for stock and bond valuation are developed. The model suggests that the prices of certain portfolios that are relate...

We use a case study of a pension plan wishing to hedge the longevity risk in its pension liabilities at a future date. The plan has the choice of using either a customised hedge or an index hedge, with the degree of hedge effectiveness being closely related to the correlation between the value of the hedge and the value of the pension liability. The key contribution of this paper is to show how...

We initiate the study of hedge connectivity of undirected graphs, motivated by dependent edge failures in real-world networks. In this model, edges are partitioned into groups called hedges that fail together. The hedge connectivity of a graph is the minimum number of hedges whose removal disconnects the graph. We give a polynomial-time approximation scheme and a quasi-polynomial exact algorith...

We analyze hedge fund performance using the stochastic discount factor (SDF) approach and imposing the arbitrage-free requirement to correctly value the derivatives and dynamic trading strategies used by hedge funds. Using SDFs of many asset-pricing models, we evaluate hedge fund portfolios based on style and characteristics. Without the arbitrage-free requirement, pricing errors are relatively...