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 …

, crude oil, gold and currency compared to commodities, bonds and real estate. Furthermore, we test the effective hedging … ability of these funds by estimating hedge ratios and optimal portfolio weights. Taking a short position in the volatility of … the funds provides impeccable hedging effectiveness for all asset classes, except currency …

The implied volatility surface is the collection of volatilities implied by option contracts for different strike … prices and time-to-maturity. We study factor models to capture the dynamics of this three-dimensional implied volatility …

We propose a factor state-space approach with stochastic volatility to model and forecast the term structure of future … stochastic volatility process. Exploiting the conjugacy of the Wishart and the Gaussian distribution, we develop a … individual prices and their volatility. It also shows that this model has a good out-of-sample forecast performance …

countries. Regarding the volatility spillovers, such spillovers from bond returns to those of stocks are stronger than the other … results show that by considering time-varying return and volatility spillovers when calculating the risk-minimising portfolio …This paper investigates the dynamic linkages in terms of the first and second moments between stock and bond returns …

probability space. In the stochastic variance of the Cox-Ingersoll-Ross process. The Mean-variance hedging expanse on the Föllmer … equivalence. The question arises is of the glaring surfeit in the immersion of the price of risk within the invariant state market … stochastic variance of the Cox-Ingersoll-Ross process. The Mean-variance hedging expanse on the Föllmer-Schweizer decomposition …

"expected precision'' (EP). The EP measures the level of consensus of expectations in the market about future returns … precisions, we define the "precision risk premium" (PRP) that informs about the premium the investors are willing to pay to avoid … Gaussian and relates to the VRP and market returns dynamics. Our result suggests that not only the accuracy but the precision …

The calculation of the capital charge for CVA risk, as required by the Basel Committee on Banking Supervision, is … usually rather unstable due to the volatility of CDS spreads. Since credit derivatives on single names are not very liquid …, the implied adjustments in capital charges could be reduced by hedging a credit derivative portfolio with a contrary …

The complexity of managing physical and financial risk throughout the commodity production, processing and … Transaction Risk Management (E/CTRM) systems. Still, risk management functionality within these systems is reported as falling … short of requirements. Our discussion, in response, provides an economic framework for developing commodity risk policy and …