robust OHR to construct a dynamic hedging strategy for daily returns on the FTSE100 index using index futures. We estimate …When using derivative instruments such as futures to hedge a portfolio of risky assets, the primary objective is to … estimate the optimal hedge ratio (OHR). When agents have mean-variance utility and the futures price follows a martingale, the …

cash price distributions on the optimal use of futures and options. The results show that truncation in the cash price … distribution facing an individual producer provides incentives to trade options as well as futures. We derive optimal futures and … options trading rules under options as well as futures. We derive optimal futures and options trading rules under a range of …

This dissertation investigates various issues of interest regarding the workings and uses of commodity futures markets …. Chapter II evaluates the relative performances of various estimators of bid-ask spreads in futures markets using commonly … examines the effect of automating trading on spreads in commodity futures markets. Results indicate that spreads generally …

in hedging, including forward contracts, futures, swaps and options. It also introduces the hedging strategies used on …. In the past, many hedging instruments have been invented and widely used. By using these derivatives, decision makers … reduce the price risk to a certain degree. To apply these hedging instruments to the perfect hedging strategies correctly, it …

Element des Zinsrisiko-Managements wird im Anschluss kurz besprochen. …

that the repo-rateadjustment occurs every two months, the banking book risk management is short termfocused, and hedging …

das Zinsrisiko einer Bank ausüben um nicht nur den isolierten Blick auf ein einzelnes Produkt darzustellen, sondern das … Zinsstrukturkurvenmodelle und Pass-through Modelle ist zwar erkennbar, aber nicht maßgeblich. Sollen dagegen Banken gemäß dem Zinsrisiko von … Banken mit einer vergleichbaren Bilanzstruktur und einem vergleichbaren Eigenkapitalwert nicht über das gleiche Zinsrisiko …