When using derivative instruments such as futures to hedge a portfolio of risky assets, the primary objective is to … alternative to the standard approach to the estimation of the OHR that is robust to the leptokurtosis of returns. We use the … robust OHR to construct a dynamic hedging strategy for daily returns on the FTSE100 index using index futures. We estimate …

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 …

for Australian wheat prices. Also, cointegration analysis shows significant improvement in market efficiency particularly …

Canada and the US have been conducted. The economic analyses include: (i) testing cointegration of prices among North …

India has topped with largest consumers of gold, next to china in the world. Indians prefer buying gold in the form of … jewellery and coins rather than bullion. So, central government has come up with three gold schemes namely GOLD MONETISATION … SCHEME, SOVEREIGN GOLD BOND and INDIAN GOLD COIN. The main motive of these schemes is to reduce the requirements of gold …

difficulties that can ensue when failing to account for estimation risk in valuation and hedging formulae. … motion (GBM) process. That is, we show what difficulties can arise when failing to account for estimation risk. Our working … parameter sigma, we derive the resulting marginal distribution of the approximated GBM. This allows us to derive post-estimation …