-of-sample hedging errors than competing models. This comparison includes versions of Markov Tree and Black-Scholes models in which … indicates that the Markov Tree model's superior hedging performance is due to its robustness with respect to noise in option …

This study introduces a non linear model of commodity futures prices which accounts for the pressures due to hedging … returns is developed. The empirical findings indicate that hedging and speculative behavior change significantly across the …

We reveal pitfalls in the hedging of insurance contracts with a minimum return guarantee on the underlying investment …, e.g.\ an external mutual fund. We analyze basis risk entailed by hedging the guarantee with a dynamic portfolio of proxy … risk. We demonstrate that both risks may be surprisingly high and show how the design of the contract and the hedging …

By means of a difference-in-differences approach (sigma-DID), we investigate the effect that hedging has on corporate … risk. Examining the relation between hedging and the idiosyncratic variance of stock returns, we show that when new …

This paper examines the hedging impact on the underlying stock market using a comprehensive dataset of covered warrants … traded in the Taiwan Stock Exchange (TWSE). Since TWSE requires the warrant issuers to conduct dynamic hedging over the life … of warrants, we can estimate the number of shares bought or sold for rebalancing the hedging portfolio and measure its …

established that the gasoline supply in the United States (U.S.) must contain 10% ethanol. This work seeks to identify hedging … ratios using dynamic multivariate GARCH to best identify hedging opportunities in a newly developed futures market. The … ability for firms to hedge and regulators to supervise the ethanol futures market is crucial to both hedging potential losses …

This article presents a quadratic hedging framework for a general class of discrete-time affine multi-factor models and … hedging performance. A semi-explicit hedging formula is derived for our general framework which applies to a myriad of the … modelling features on the hedging effectiveness of S&P 500 options. Overall, we find that fat tails can be credited for half of …