Results 171 to 180 of about 3,858,948 (202)

Cross Hedging with Currency Forward Contracts

Journal of Futures Markets, 2012
This study examines the behavior of a competitive exporting firm that exports to a foreign country and faces multiple sources of exchange rate uncertainty. Although there are no hedging instruments between the home and foreign currencies, there is a third country that has well‐developed currency forward markets to which the firm has access.
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Cross hedging jet-fuel price exposure

Energy Economics, 2012
Abstract This paper investigates the cross hedging performance of several oil forwards contracts using WTI, Brent, gasoil and heating oil to manage jet-fuel spot price exposure. We apply three econometric techniques that have been widely tested and applied in the cross hedging literature on foreign exchange and stock index futures markets.
Adams, Zeno, Gerner, Mathias
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Dynamic Cross Hedging with Mortgage-Backed Securities

The Journal of Fixed Income, 1998
Hedging the risk of mortgage-backed securities (MBS) has long been a concern of the many institutional owners of these bonds. Recent financial losses have hastened the need to understand how best to deal with the indeterminate timing of cash flows, notably the prepayment option that allows a home buyer to prepay a mortgage at any time.
Gregory Koutmos, Kenneth F. Kroner, Andreas Pericli   +2 more
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Lower Partial Moment Cross-Hedges

2005
While their use in direct hedges has been researched previously, little work exists on the application of lower partial moment hedge ratios to cross-hedges. Lower partial moment hedge ratios are used here to cross-hedge a variety of emerging market currencies with currency futures.
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Cross Hedging and Liquidity: a note [PDF]

, 2003
Cross hedging is a way to improve statistical hedge results because of markets'incompletion. In this framework, several markets instead of just one market, are used to increase the hedger’s financial possibilities. In the Anderson-Danthine model (1981), the optimal hedge in the multivariate case is described and commented, but transaction costs are ...
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Cross Hedging

Journal of Political Economy, 1981
Anderson, Ronald W, Danthine, Jean-Pierre   +1 more
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CROSS HEDGING WITHIN A LOG MEAN REVERTING MODEL

International Journal of Theoretical and Applied Finance, 2007
We hedge options on electricity spot prices by cross hedging, i.e., by using another financial asset. We calculate hedging strategies by quadratic minimization and local risk minimization. In our model of energy markets, we have done a deep study of no arbitrage and of the existence of martingale measures with square integrable density.
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Cross-hedging the cottonseed crush: A case study

Agribusiness, 2000
This article reports, without breaching confidentiality agreements, on a cross-hedging consulting study performed for a cottonseed crusher. This article's objectives are twofold. First, it examines how futures markets should be used to hedge cottonseed crushing.
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Cross hedging in currency forward markets [PDF]

, 1996
In a framework for risk management a model of an international firm under exchange rate uncertainty is discussed. The firm can cross-hedge the exchange rate risk by using forwards of other country's currencies correlated to the spot exchange rate in question.
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Is cross-hedging an effective strategy in equity futures market?

Finance Research Letters, 2022
Nithin Jose, James Varghese
exaly