Results 51 to 60 of about 463,352 (288)
MathematicsWe study dynamic hedging in an incomplete market where the underlying asset follows a stochastic-volatility process and the hedger trades only the stock and the money-market account.
Desmond Marozva +2 more
doaj +1 more source
Is the difference between deep hedging and delta hedging a statistical arbitrage?
Finance Research LettersThe recent work of Horikawa and Nakagawa (2024) claims that under a complete market admitting statistical arbitrage, the difference between the hedging position provided by deep hedging and that of the replicating portfolio is a statistical arbitrage. This raises concerns as it entails that deep hedging can include a speculative component aimed simply ...
Pascal François +3 more
openaire +2 more sources
When Nature Counts: Corporate Biodiversity Attention and Access to Bank Finance
Business Strategy and the Environment, EarlyView.ABSTRACT This paper investigates whether corporate attention to biodiversity influences firms' access to bank loans, an overlooked question in the emerging biodiversity–finance literature. Using a novel, text‐based measure constructed from 446 biodiversity‐related keywords and applied to Chinese A‐share listed firms from 2000 to 2023, we show that ...
Ruxiao Li +3 more
wiley +1 more source
Carbon Footprint of Bank Loans: Opportunities and Risk Implications in the Banking Industry
Business Strategy and the Environment, EarlyView.ABSTRACT This study examines whether the carbon footprint of bank loan portfolios influences bank stability, profitability and cost efficiency and whether regulatory quality moderates these relationships. Using a balanced panel of 33 countries from 2005 to 2018, the analysis combines banking‐sector indicators from the World Bank Global Financial ...
Honglei Wang +5 more
wiley +1 more source
Spread Option Pricing Under Finite Liquidity Framework
RisksThis work explores a finite liquidity model to price spread options and assess the liquidity impact. We employ Kirk approximation for computing the spread option price and its delta.
Traian A. Pirvu, Shuming Zhang
doaj +1 more source
Business Strategy and the Environment, EarlyView.ABSTRACT Employee engagement is pivotal for corporate sustainability, yet the role of information design in internal employee communication remains under‐specified. Drawing on Construal Level Theory, this study examines whether the effect of information sender (peer vs top management communication) on employees' energy‐saving behavioural intentions ...
Franziska Brack
wiley +1 more source
Opening the Black Box of Sustainable Investing: Examining the Impact of Psychological Distance
Corporate Social Responsibility and Environmental Management, EarlyView.ABSTRACT This study examines the effects of psychological distance on investors' reaction to sustainability controversies. Based on two stated choice experiments among 142 German and 136 French student participants, we find evidence that respondents react more strongly to controversies which are perceived as less distant in social, spatial, or ...
Philipp Kleffel +3 more
wiley +1 more source
Cross hedging under multiplicative basis risk [PDF]
, 2011 Cross hedging price risk in an incomplete financial market creates basis risk. We propose a new way of modeling basis risk where price risk and basis risk are combined in a multiplicative way.
Adam-Müller, Axel, Nolte, Ingmar
core +3 more sources
Conservative Delta Hedging under Transaction Costs [PDF]
Recent Advances in Financial Engineering 2011, 2012 Explicit robust hedging strategies for convex or concave payoffs under a continuous semimartingale model with uncertainty and small transaction costs are constructed. In an asymptotic sense, the upper and lower bounds of the cumulative volatility enable us to super-hedge convex and concave payoffs respectively.
openaire +2 more sources
Study of Damage to Shutters Exposed to a Vegetation Fire: Definition of Vulnerability Thresholds
Fire and Materials, EarlyView.ABSTRACT This study examines the fire behavior of wooden, PVC, and aluminum shutters through laboratory and large‐scale experiments. Laboratory tests were conducted using a cone calorimeter to assess the ignitability of the PVC and wooden shutters, focusing on the critical heat flux of ignition, ignition time and critical Flux Time Product (FTP ...
C. Luciani +5 more
wiley +1 more source