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CVaR Hedging under Stochastic Interest Rate
Frontiers in Applied Mathematics and Statistics, 2015 In this paper we assess the partial hedging problems by formulating hedging strategies that minimize conditional value-at-risk (CVaR) of the portfolio loss under stochastic interest rate environment.
Angela eTsao +2 more
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Hedging Around a CEO Change: Further Evidence from the Oil and Gas Industry
American Business Review, 2023 This study examines hedging activities around hiring of chief executive officer (CEO). Data on the use of derivatives by a sample of oil and gas firms were hand collected from the 10-k filings and compared for several years before and after a CEO change.
Zahid Iqbal, Shekar Shetty
doaj +1 more source
E-Jurnal Manajemen, 2020 Perusahaan yang melakukan perdagangan internasional akan terkena dampak perubahan nilai mata uang asing yang tidak terduga, sehingga perusahaan perlu melakukan hedging instrumen derivatif.
Putu Mia Anggyantari +1 more
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Effect of reservoir zones and hedging factor dynamism on reservoir adaptive capacity for climate change impacts [PDF]
Proceedings of the International Association of Hydrological Sciences, 2018 When based on the zones of available water in storage, hedging has traditionally used a single hedged zone and a constant rationing ratio for constraining supply during droughts.
A. J. Adeloye, B.-S. Soundharajan
doaj +1 more source
A note on the Fundamental Theorem of Asset Pricing under model uncertainty [PDF]
, 2014 We show that the results of ArXiv:1305.6008 on the Fundamental Theorem of Asset Pricing and the super-hedging theorem can be extended to the case in which the options available for static hedging (\emph{hedging options}) are quoted with bid-ask spreads ...
Bayraktar, Erhan +2 more
core +4 more sources
Lindung Nilai (Hedging) Perspektif Islam: Komparasi Indonesia dan Malaysia
Inferensi Jurnal Penelitian Sosial Keagamaan, 2018 Islamic Hedging is one of the instruments in financial management that is used to reduce the risks associated with price and currency movements. But in a conventional perspective, hedging involves the use of controversial derivative instruments in ...
Suryani Suryani, Muhammad Anwar Fathoni
doaj +1 more source
Jurnal Manajemen & Agribisnis, 2017 Hedging strategies in the commodity futures market is strongly influenced by the estimation method of hedge ratio. This study examines the effectiveness of hedging strategy against cash position in Indonesia’s palm oil spot market using three hedge ratio
Buddi Wibowo
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Optimal Hedging Strategies for the U.S. Cattle Feeder [PDF]
, 1998 Multiproduct optimal hedging is compared to alternative hedging strategies as applied to a Midwestern cattle feeder. One-period feeding margin hedge ratios are estimated using weekly cash and futures price data from a simulation of a custom feedlot for
Leuthold, Raymond M. +1 more
core +1 more source
The effect of hedging exchange rate risk, interest rate risk and commodity price risk with derivative instruments on firm value [PDF]
Management Science Letters, 2021 The purpose of this paper is to analyze the effects of firm value on hedging for exchange rates, interest rates and commodity price risks using derivative instruments as well as examining different types of derivative instruments, including forward ...
Almas, Nadhifah +3 more
doaj +1 more source
Option pricing models without probability: a rough paths approach [PDF]
, 2020 We describe the pricing and hedging of financial options without the use of probability using rough paths. By encoding the volatility of assets in an enhancement of the price trajectory, we give a pathwise presentation of the replication of European ...
Armstrong, John +3 more
core +2 more sources