This paper considers the multiperiod hedging decision in a framework of mean-reverting spot prices and unbiased futures … markets. The task is to determine the optimal hedging path, i.e., the sequence of positions in futures contracts with the … objective of minimizing the variance of an uncertain future cash flow. The model is used to illustrate both hedging using a …

We examine the efficiency of hedging a credit derivative portfolio with a contrary position in a credit index in the …, the implied adjustments in capital charges could be reduced by the mentioned hedging strategy, and we show that there is … volatility are high. Increases in VIX, in the 10-year swap rate or in liquidity risk tend to decrease hedging efficiency …

-linked securities. It considers the trade-offs an insurer or reinsurer faces in selecting a hedging strategy. We compare index and … indemnity-based hedging as alternative design choices and ask which is capable of creating the greater value for shareholders … problem yields a conflict of interest between shareholders and other stakeholders. Given the fact that hedging may improve the …

and financial hedging. We find that contrary to a rational and frictionless benchmark, performance in previous derivatives …

We consider modeling errors in the hedging of a portfolio composed from BBB-rated bonds. By doing this, we open a new … value of indexlinked credit derivatives is very limited: hedging portfolios including only T-bond futures can reduce the … hedging. This is consistent with the literature identifying an important non-default component within corporate bond spreads …

Introduction -- Volatility and its estimation -- Overview of volatility derivatives -- Options delta hedging with no …