Estimation of volatility of financial time series plays a crucial role in pricing derivatives. Volatility is often … estimated from historical data; however, it is well known that volatility varies in time. We propose a method to choose a … suitable length of historical data to estimate contemporary volatility. The method is based on adaptation of a procedure used …

Hedging strategies represent basic instrument used toward eliminating financial risk. Increasing volatility of … select hedging strategies. Five basic hedging strategies ? delta hedging, minimum variance, minimum value at risk, maximum … portfolios consisting of risk assets (share, bond, commodity price, and exchange rate) and hedged assets (financial derivative …