optimal hedge ratio given the outcome of past hedging decisions and future expectations. The model implies that the optimal … 2015 and find strong evidence for the model's predictions. By adding a dynamic regret approach to the hedging and FX … literature we shed further light on the rationale behind selective hedging. …

We examine the impact of dynamic hedging demand of German option and discount certificate markets on the … market, a structured financial product with a concave payoff profile, asking whether dynamic hedging by certificate issuers … induces negative return autocorrelation in stock markets. We find empirical evidence that the hedging demand of option issuers …

, including market-based estimation of stochastic volatility models, the fine structure of equity-index option dynamics, leverage …

simple linear estimation methods. Consistently with a large class of neoclassical investment models, I construct the state …

A crucial argument for motivating hedging is that it supports corporate investment when internal cash flows are … this theory have not yet been directly tested. I investigate the relationship between derivative cash flows and investment … derivative cash flows make up 16% of the financing of capital expenditure, a number that rises to over 40% in crisis periods …