This paper deals with an unreliable manufacturing system in which no backlog is allowed. The hedging point policy is … used to control production. This paper's objective is to find the optimum hedging point so as to minimize the average … inventory cost. Firstly, for a tentative hedging point, we derive the limiting distribution of the inventory level. This …

This paper deals with an unreliable manufacturing system in which no backlog is allowed. The hedging point policy is … used to control production. This paper's objective is to find the optimum hedging point so as to minimize the average … inventory cost. Firstly, for a tentative hedging point, we derive the limiting distribution of the inventory level. This …

position in the stock. For example, delta-hedging involves two deltas, one corresponding to the stock and the other to the …

presents a method for constructing hedging (trading) strategies which are 'robust' to misspecifications of the asset price …

We consider the problem of L2-hedging of contingent claims in diffusion type models for securities markets. In contrast … portfolio. For this reason the usual projection methods cannot be applied. We give some applications of L2-hedging in this … setting including hedging under constraints, a problem of approximating the wealth process of a richer investor and a mean …

We compute the limiting hedging error of the Leland strategy for the approximate pricing of the European call option in …

The paper assesses the usefulness of selective hedging strategies when combined with forecast techniques in the live … hog contract. The use of routine futures and options hedging is not attractive relative to a cash-only strategy. However …, forecasting and hedging can contribute to price risk management improvement for risk-averse producers. Consistent with previous …