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Singh, Saurabh; Saharawat, Swati - Volkswirtschaftliche Fakultät, … - 2011

People by and large tend to postpone their present consumption for numerous reasons. This postponement of consumption leaves them with surplus money to invest for future consumption. Amongst the number of alternatives avenues present for such investments, gold too tends to be one of them. People...

Persistent link: https://www.econbiz.de/10011258372

Risk Management and Financial Derivatives: An Overview

Hammoudeh, Shawkat; McAleer, Michael - Department of Economics and Finance, College of … - 2012

sector indices: dy-namic models and risk hedging, the probability of default in collateralized credit oper-ations, risk …

Persistent link: https://www.econbiz.de/10010907433

Efficient hedging: Cost versus shortfall risk

Föllmer, Hans; Leukert, Peter - Sonderforschungsbereich 373, Quantifikation und … - 1999

An investor faced with a contingent claim may eliminate risk by (super-)hedging in a financial market. As this is often …

Persistent link: https://www.econbiz.de/10010983650

Efficient hedging: Cost versus shortfall risk

FÃllmer, Hans; Leukert, Peter - In: Finance and Stochastics 4 (2000) 2, pp. 117-146

An investor faced with a contingent claim may eliminate risk by (super-) hedging in a financial market. As this is …

Persistent link: https://www.econbiz.de/10005184386

Hedging with Foreign-listed Single Stock Futures

Hung, Mao-wei; Lee, Cheng-few; So, Leh-chyan - Volkswirtschaftliche Fakultät, … - 2005

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. …

Persistent link: https://www.econbiz.de/10011109598

A Note on Discounting and Funding Value Adjustments for Derivatives

Han, Meng; He, Yeqi; Zhang, Hu - Volkswirtschaftliche Fakultät, … - 2013

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

Persistent link: https://www.econbiz.de/10011110908

The Performance of Multi-Factor Term Structure Models for Pricing and Hedging Caps and Swaptions

Driessen, Joost; Melenberg, Bertrand; Klaassen, P. - Tilburg University, Center for Economic Research - 2000

In this paper we empirically compare different term structure models when it comes to the pricing and hedging of caps … and swaptions.We analyze the influence of the number of factors on the pricing and hedging results, and investigate which … best pricing and hedging results. We use data on interest rates, and cap and swaption prices from 1995 to 1999.We find that …

Persistent link: https://www.econbiz.de/10011091164

Quantile hedging

Föllmer, Hans; Leukert, Peter - Sonderforschungsbereich 373, Quantifikation und … - 1998

study the question what an investor can do who is unwilling to spend that much, and who is ready to use a hedging strategy …

Persistent link: https://www.econbiz.de/10010983573

Liquidity commonality in commodities

Marshall, Ben R.; Nguyen, Nhut H.; Visaltanachoti, Nuttawat - In: Journal of Banking & Finance 37 (2013) 1, pp. 11-20

We examine liquidity commonality in commodity futures markets. Using data from 16 agricultural, energy, industrial metal, precious metal, and livestock commodities, we show there is a strong systematic liquidity factor in commodities. Liquidity commonality was present in 1997–2003 when...

Persistent link: https://www.econbiz.de/10011065589

Option Pricing with Long-Short Spreads

wang, Pengguo - In: Frontiers in Finance and Economics 3 (2006) 1, pp. 1-28

Persistent link: https://www.econbiz.de/10004998262