The aim of this paper is to develop a hedging methodology for making a portfolio of options delta, vega and gamma … hedging. A quadratic programming solution for the problem is formulated, and then it is approximated to a linear programming …

depend much on the time period chosen. Empirical evidence confirms the hypothesis that currency hedging should be fully …

this application an important contribution to understanding firms’ hedging decisions. Additionally, we reveal new and … important determinants of the hedging decision relative to regulatory regimes. We also show that hedging health risk mitigates …

In a recent article, Ederington (1979) examined the hedging performance of financial futures markets using a portfolio … model derived from the hedging theories of Stein (1961) and Johnson (1960). His article concluded that GNMA futures were … misspecification of the model and to test whether the hedging effectiveness of the T-Bill futures market has changed after three years …

estimate constant optimal hedge ratios and the dynamic hedging ratios, respectively. Data of the SSFs listed on the London …, conventional OLS method, and dynamic hedging) the dynamic hedging performs the best and that naïve hedge is the worst. …

support annex traded between default-free counterparties is studied. Two pricing approaches -- by hedging and by expectation …