-sample and out-of-sample hedging effectiveness estimators. Through mathematical and simulation analysis we determine the …Hedging effectiveness is the proportion of price risk removed through hedging. Empirical hedging studies typically … estimate a set of risk minimizing hedge ratios, estimate the hedging effectiveness statistic, apply the estimated hedge ratios …

Alternative approaches to hedging swaptions are explored and tested by simulation. Hedging methods implied by the Balck … simulation is undertaken within the LIBOR model framework for a range of swaptions and volatility structures. Despite … distributions for the hedging profit and loss - even at high rehedging frequencies. This result demonstrates the robustness of the …

to achieve a visualization of hidden risks in complex structured products, to perform real-time graphical dynamic hedging …

The demand for hedging against price uncertainty in the presence of crop yield and revenue insurance contracts is … the characterization of the first-best hedging strategy in the expected utility framework. It is then illustrated using …

This study focuses on hedging effectiveness defined as the proportionate price risk reduction created by hedging. By … mathematical and simulation analysis we determine the following: (a) the regression R2 in the hedge ratio regression will generally … overstate the amount of price risk reduction that can be achieved by hedging, (b) the properly computed hedging effectiveness in …