a r t i c l e i n f o We evaluate the role of gold and other precious metals relative to volatility (Volatility Index (VIX)) as a hedge (negatively correlated with stocks) and safe haven (negatively correlated with stocks in extreme stock market declines) using data from the US stock market. Using daily data from November 1995 to November 2010, we find that gold, unlike other precious metals, s...

JOT YAU IS a professor of finance at Mbers School of Business .iiid Economics. Seattle University in Seattle, WA. ,[email protected] T he significant growth of the hedge funds industry in the past decade has heen supplemented by increased allocations to alternative investments by high-net-worth individuals as well as endowments and foundations. In recetit years, there has been a steady shift i...

Systemic risk is commonly used to describe the possibility of a series of correlated defaults among financial institutions—typically banks—that occur over a short period of time, often caused by a single major event. However, since the collapse of Long Term Capital Management in 1998, it has become clear that hedge funds are also involved in systemic risk exposures. The hedge-fund industry has ...

This paper proposes an option pricing technique we developed to approximate hedge jump risk under a CEV jumpdiffusion model. First, we established the options pricing model and the its partial differential equation by applying the Itô formula and non-arbitrage principle based on approximating hedge jump risk approximation; we next developed the concrete numerical algorithm for the equation by s...

This technical report is an overview of work done on Headline Generation for written and broadcast news. The report covers HMM Hedge, a statistical approach based on the noisy channel model, Hedge Trimmer, a parse-andtrim approach using linguistically motivated trimming rules, and Topiary, a combination of Trimmer and Unsupervised Topic Discovery. Automatic evaluation of summaries using ROUGE a...

The main contribution of this article is to present hard evidence on hedging strategies and relate it to behavioural and agency problems resulting from speculation with derivatives. We focus on the case of Aracruz Celulose. We show how the real hedge position of Aracruz – that lost US$2.1 billion in currency derivatives – deviated from its optimal hedge as the result of speculation with Over-th...