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Risikomanagement unter besonderer Berücksichtigung des Hedging von Rohstoffpreisen : eine theoretische Betrachtung
Matzer, Gertrude - 2010
nicht vorhanden
Persistent link: https://www.econbiz.de/10009434231
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Pricing Derivatives Under A Gains Tax Regime: New Impacts
Wöster, Christoph - 2006
Three years after the seminal work of Black and Scholes on the pricing of European options, Scholes presented a paper in which the impact of taxation on the value of an option is analyzed. We restart this discussion in a simple binomial setting emphasizing the economic principles of replicating...
Persistent link: https://www.econbiz.de/10009452631
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Pricing and hedging derivative securities in a regime-switching model with state-dependent jumps
Lee, Michael Shou-Cheng, Banking & Finance, Australian … - 2007
In this thesis we discuss option pricing and hedging under regime switching models. To the standard model we add jumps … hedging options under finitely many regime states and with finitely many possible jump sizes. We find risk-free hedge …
Persistent link: https://www.econbiz.de/10009484250
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Dynamic semiparametric factor models
Borak, Szymon - 2008
resultierende Faktor-Hedging von Barrier Optionen gerichtet. … volatility dynamics and resulting factor hedging of barrier options. …
Persistent link: https://www.econbiz.de/10009467069
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Beitr?ge zum Risikomanagement in Wertsch?pfungsnetzwerken
Wiesent, Julia - 2011
Eine langfristige und nachhaltige Steigerung des Unternehmenswerts als zentrales Unternehmensziel fordert eine konsequente, wertorientierte Ausrichtung aller Unternehmensteile und -aktivit?ten. Das Risikomanagement, welches stets im Rahmen einer integrierten Betrachtung von Ertrags- und...
Persistent link: https://www.econbiz.de/10009482328
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Foreign Exchange Risk Premium Determinants: Case of Armenia
Poghosyan, Tigran; Kocenda, Evžen - 2006
This paper studies foreign exchange risk premium using the uncovered interest rate parity framework in a single country context. The analysis is performed using weekly data on foreign and domestic currency deposits in Armenian banking system. The paper provides the results of the simple tests of...
Persistent link: https://www.econbiz.de/10009477457
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Does Exchange Rate Risk Affect Exports Asymmetrically? Asian Evidence
Fang, WenShwo; Lai, YiHao; Miller, Stephen M. - 2005
The effects of exchange rate risk have interested researchers, since the collapse of fixed exchange rates. Little consensus exists, however, regarding its effect on exports. Previous studies implicitly assume symmetry. This paper tests the hypothesis of asymmetric effects of exchange rate risk...
Persistent link: https://www.econbiz.de/10009430111
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A simplified approach to modeling the co-movement of asset returns
Harris, Richard D. F.; Stoja, Evarist; Tucker, Jon - 2007
The authors propose a simplified multivariate GARCH (generalized autoregressive conditional heteroscedasticity) model (the S-GARCH model), which involves the estimation of only univariate GARCH models, both for the individual return series and for the sum and difference of each pair of series....
Persistent link: https://www.econbiz.de/10009440897
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Robust estimation of the optimal hedge ratio
Harris, Richard D. F.; Shen, Jian - 2003
When using derivative instruments such as futures to hedge a portfolio of risky assets, the primary objective is to … robust OHR to construct a dynamic hedging strategy for daily returns on the FTSE100 index using index futures. We estimate … the variance of the standard OHR, substantially reducing the transaction costs that are associated with dynamic hedging …
Persistent link: https://www.econbiz.de/10009440947