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The Hedging Effect of Corporate Debt
Gasparri, Duccio M. - 2012
risk – hedging use of firm's debt – or to increase their return and risk – speculative use of firm's debt. Modigliani and …
Persistent link: https://www.econbiz.de/10013098497
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Essays on basket options hedging and irreversible investment valuation
Su, Xia - 2008
Persistent link: https://www.econbiz.de/10003740774
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Pricing and hedging mandatory convertible bonds
Ammann, Manuel (contributor); Seiz, Ralf (contributor) - 2006
Persistent link: https://www.econbiz.de/10003376056
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Liquidity models in continuous and discrete time
Gökay, Selim; Roch, Alexandre F.; Soner, Halil Mete - 2010
, hedging and super-hedging options for a large trader, utility maximization in illiquid markets and price impact models with …
Persistent link: https://www.econbiz.de/10008798305
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A call on Art investments
Kräussl, Roman; Wiehenkamp, Christian - 2010
investors and the hedging of exposures remains dificult. This paper proposes to overcome these problems by introducing a call … hedging risk. Even if this is not entirely possible, the replication approach serves as pricing benchmark for investors who …
Persistent link: https://www.econbiz.de/10003947461
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Quadratic hedging of basis risk
Hulley, Hardy; McWalter, Thomas A. - 2008
Persistent link: https://www.econbiz.de/10003857124
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Pricing and hedging under high-dimensional jump-diffusion models using partial differential equations
Hepperger, Peter Thomas - 2011
Persistent link: https://www.econbiz.de/10009375794
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Martingale approach in pricing and hedging European options under regime-switching
Milʹstejn, Grigorij N.; Spokojnyj, Vladimir G. - 2011
The paper focuses on the problem of pricing and hedging a European contingent claim for an incomplete market model, in …
Persistent link: https://www.econbiz.de/10009379451
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A diffusion approximation to the Markov chains model of the financial market and the expected riskless profit under selling of call and put options /
Nagaev, Alexander V.; Nagaev, Sergei A.; Kunst, Robert M. - 2005
A discrete time model of financial markets is considered. It is assumed that the stock price evolution is described by a homogeneous Markov chain. In the focus of attention is the expected value of the guaranteed profit of the investor that arises when the jumps of the stock price are bounded....
Persistent link: https://www.econbiz.de/10009728973
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Hedging langfristiger Lieferverpflichtungen mit kurzfristigen Futures : möglich oder unmöglich?
Bühler, Wolfgang; Korn, Olaf - 1998
Im Laufe des Jahres 1993 war die Metallgesellschaft Refining & Marketing (MGRM), eine US-amerikanische Tochtergesellschaft der Metallgesellschaft AG, in großem Umfang die Verpflichtung eingegangen, langfristig Öl zu Festpreisen zu liefern. Das dadurch entstehende Preisrisiko sollte über...
Persistent link: https://www.econbiz.de/10011441448