Hedging strategies in bond markets are computed by martingale representation and the choice of a suitable of numeraire, based on the Clark-Ocone formula in a model driven by the dynamics of bond prices. Applications are given to the hedging of swaptions and other interest rate derivatives and we compare our approach to delta hedging when the underlying swap rate is modeled by a diffusion process.

In the current financial crisis, promoting rapid developments of gold industry, ensuring healthy operations of national economy, and actively developing the gold futures market are very important. Functioning of the gold futures market will determine the gold market maturity and integrity. Risk transfer is one of the two basic functions of futures market. The risk transfer function is realized ...

We study how hedging a ects rm value and real investment activity. We obtain exogenous variation in access to e ective hedging instruments from the unexpected breakdown in the correlation of Canadian oil prices with the benchmark oil price used in NYMEX hedging contracts. Using a di erence-in-di erences framework we compare Canadian oil producers to their U.S. counterparts, who maintain access ...

Recent trends in many U.S. states are to deregulate their electric power industry and markets with the desire to provide a more consumer-friendly environment than under regulation. However, deregulation also creates uncertainty and risk. It is this risk that we wish to address and contain. In this thesis, we review recently developed stochastic models of physical and nancial aspects of deregula...

We consider the hedging of options when the price of the underlying asset is always exposed to the possibility of jumps of random size. Working in a single factor Markovian setting, we derive a new spanning relation between a given option and a continuum of shorter-term options written on the same asset. In this portfolio of shorter-term options, the portfolio weights do not vary with the under...

HRUŠKA JURAJ. 2015. Delta-gamma-theta Hedging of Crude Oil Asian Options. Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, 63(6): 1897–1903. Since Black-Scholes formula was derived, many methods have been suggested for vanilla as well as exotic options pricing. More of investing and hedging strategies have been developed based on these pricing models. Goal of this paper i...

This paper deals with the valuation and hedging of counterparty risk on OTC derivatives. Our study is done in a multiple-curve setup reflecting the various funding constraints (or costs) involved, allowing one to investigate the question of interaction between counterparty risk and funding. The correction in value of a contract due to counterparty risk under funding constraints is represented a...

This paper investigates the hedging effectiveness of the Standard & Poor’s (S&P) 500 stock index futures contract using weekly settlement prices for the period July 3, 1992 to June 30, 2002. Particularly, it focuses on three areas of interest: the determination of the appropriate model for estimating a hedge ratio that minimizes the variance of returns; the hedging effectiveness and the stabili...

The operation of on-site power plants in the chemical industry is typically determined by steam demand production plants. This uncertain due to deviations from plan and fluctuations uncertainty can result an inefficient plant a surplus or deficiency that needed balance network. In this contribution, it proposed use two-stage stochastic programming on moving horizon cope with uncertainty. each i...

JSTOR is a not-for-profit service that helps scholars, researchers, and students discover, use, and build upon a wide range of content in a trusted digital archive. We use information technology and tools to increase productivity and facilitate new forms of scholarship. For more information about JSTOR, please contact [email protected].. Oxford University Press and The Society for Financial Stu...