Since the collapse of the Metallgesellschaft AG due to hedging losses in 1993, energy practitioners have been concerned … hedging long-dated futures and options with their short-dated counterparts, we find that the long-term tracking errors are, on …

on modeling of defaultable markets, pricing and hedging of defaultable claims and results on the probability of default …

Hedging being a predominant financial concern, is considered as a robust method of managing investment risks …. Literature evinces that the covered call strategy provides nominal returns alongside effective hedging. However, studies have not … compared the hedging effectiveness of covered call, covered put, collar, and synthetic long call strategies in the equity …

We investigate the effect of including variance derivatives as calibration and hedging instruments for pricing and … hedging exotic structures. This is studied empirically using market data for SPX and VIX derivatives applied in a stochastic …

We study the hedging problem for European-style options written on crude-oil futures. Locally risk-minimizing hedging … performance test, we also investigate hedging strategies for robustness against model uncertainty and mis-specification, using …

In this paper we consider the problem of pricing and hedging European derivatives written on two underlying assets … Power Frank (PF) and Power Student t (PST) copulas. Second, we address the problem of hedging portfolios made of two … trades. The proposed hedging methods for dependence risk are compared to alternatives in a numerical analysis in which we …