The overall market for derivative securities is often estimated as more than ten times the World's GDP and many decry …

cause dynamic hedging to fail. As an alternative, we investigate a quasi-static hedge of Parisian options under a more … contingent claims which are statically hedged. Through numerical experiments, we show the effectiveness of the suggested hedging …

We examine the efficiency of hedging a credit derivative portfolio with a contrary position in a credit index in the … volatility are high. Increases in VIX, in the 10-year swap rate or in liquidity risk tend to decrease hedging efficiency … usually rather unstable due to the volatility of CDS spreads. Since credit derivatives on single names are not very liquid …

-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 …

effect and (de)leverage effect of Bitcoin inverse futures, and obtain optimal hedging strategies in closed forms for both … empirical studies. Our findings show that the optimal hedging strategies of Bitcoin inverse futures achieve superior hedging …

A hedging contract may be closed before maturity when a firm experiences an ``event of default,'' such as a credit … and show that although the termination right reduces the costs of hedging, it is inefficient because the counterparty … distress reduce their derivative portfolios and why they may shift to physical delivery contracts. Using hand-collected data …

. A state-dependent volatility spillover GARCH hedging strategy is developed to capture the regime switching global equity … nonelectronics subindex (NFNE) futures for cross hedging the price risk of stock sector indices traded on the Taiwan stock exchange … volatility spillover effect. Empirical results show that the NFNE futures exhibit superior effectiveness as an instrument for …