Results 11 to 20 of about 3,845,111 (305)
CROSS HEDGING AUSTRALIAN CATTLE* [PDF]
Australian Journal of Agricultural Economics, 1984 A major part of Australian cattle trade takes place in markets for animals which do not meet the specifications for the trade steer contract. However, producers, processors and marketers of cattle which are nondeliverable on the futures market may be able to make use of the futures market through the process of cross hedging.
Blank, Steven C., Blank, Steven C.
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Cross-Hedging of Correlated Exchange Rates [PDF]
SSRN Electronic Journal, 2011 This paper examines the behavior of a competitive exporting firm that exports to two foreign countries under multiple sources of exchange rate uncertainty. The firm has to cross-hedge its exchange rate risk exposure because there is only a forward market between the domestic currency and one foreign country's currency.
Broll, Udo, Wong, Kit Pong
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CROSS HEDGING WINTER CANOLA [PDF]
Journal of Agricultural and Applied Economics, 2015 AbstractThe growth in winter canola acreage in the southern Great Plains has led to questions about the best way to reduce price risk because there is no U.S. canola futures market. Cross-hedge ratios and hedging effectiveness are calculated, and encompassing tests are conducted for short-horizon hedging. Possible cross-hedge markets considered are U.S.
Kim, Seon-Woong +2 more
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Cross hedging with stochastic correlation [PDF]
Finance and Stochastics, 2010 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Stefan Ankirchner, Gregor Heyne
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Optimal Cross Hedging of Insurance Derivatives [PDF]
Stochastic Analysis and Applications, 2008 We consider insurance derivatives depending on an external physical risk process, for example a temperature in a low dimensional climate model. We assume that this process is correlated with a tradable financial asset. We derive optimal strategies for exponential utility from terminal wealth, determine the indifference prices of the derivatives, and ...
Stefan Ankirchner +2 more
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Cross-Hedging with Currency Options and Futures [PDF]
The Journal of Financial and Quantitative Analysis, 2003 This paper develops an expected utility model of a multinational firm facing exchange rate risk exposure to a foreign currency cash flow. Currency derivative markets do not exist between the domestic and foreign currencies. There are, however, currency futures and options markets between the domestic currency and a third currency to which the firm has ...
Eric Chieh C. Chang, Keith Kit Pong Wong
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Time-frequency domain analysis of investor fear and expectations in stock markets of BRIC economies
Heliyon, 2021 The purpose of this study is to provide insight into the lead-lag relationships between the BRIC stock index and its constituents. In addition, we assess the comovements between the US volatility index (VIX) as a measure of investor uncertainty and fear ...
Peterson Owusu Junior +5 more
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Price Risk and Risk Management in Agriculture
Contemporary Economics, 2013 This note studies the risk-management decisions of a risk-averse farmer. The farmer faces multiple sources of price uncertainty. He sells commodities to two markets at two prices, but only one of these markets has a futures market.
Udo Broll, Peter Welzel, Kit Pong Wong
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Efektivitas Hedging Kontrak Futures Komoditi Emas Dengan OLEIN
Jurnal Manajemen Teori dan Terapan, 2011 This research is for comparing hedging effectiveness in gold and olein commodity. Using Ordinary Least Square (OLS) model to determine the hedge ratio, it’s found that olein hedge ratio is bigger than gold hedge ratio.
Fitri Ismiyanti, Hendra Ima Sasmita
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Cross Currency Valuation and Hedging in the Multiple Curve Framework [PDF]
SSRN Electronic Journal, 2020 We generalize the results of Bielecki and Rutkowski (2015) on funding and collateralization to a multi-currency framework and link their results with those of Piterbarg (2012), Moreni and Pallavicini (2017), and Fujii et al. (2010b). In doing this, we provide a complete study of absence of arbitrage in a multi-currency market where, in each single ...
Alessandro Gnoatto, Nicole Seiffert
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