-to-date market data. Arguably, the most important variable in the valuation of embedded equity derivatives is implied volatility …. However, accurate long-term volatility estimation is difficult because of a general lack of tradable, liquid medium- and long … a comprehensive, critical evaluation of the long-term volatility models most commonly used in practice, encompassing …

currency hedge in the presence of non-constant volatility and correlation. It is shown that implementation of the dynamic …

which succeeds with high probability. -- Hedging ; superhedging ; Neyman Pearson lemma ; stochastic volatility ; value at … study the question what an investor can do who is unwilling to spend that much, and who is ready to use a hedging strategy …

hedging errors. In the empirical application, we synthesize the prices of the variance contract on S&P 500 index over the …

-implied delta and delta-gamma hedging do not achieve minimum variance in the presence of price-volatility correlation, and these …Options can be dynamically replicated using model-free Greeks extracted from the volatility smile. However, smile … replication with volatility risk management. Large-scale evidence on S&P 500 index options indicates that smile-implied delta …

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 paper examines the effectiveness of using futures contracts as hedging instruments of: (1) alternative models of … volatility for estimating conditional variances and covariances; (2) alternative currencies; and (3) alternative maturities of …, Euro, British pound and Japanese yen, against the American dollar, are used to analyze hedge ratios and hedging …

The paper examines the performance of four multivariate volatility models, namely CCC, VARMA-GARCH, DCC and BEKK, for … the optimal portfolio weights of all multivariate volatility models for Brent suggest holding futures in larger … volatility model give the time-varying hedge ratios, and recommend to short in crude oil futures with a high proportion of one …

real estate bubble burst, credit crunch and banking panics. As a response, extreme value theory (EVT) provides a set of …

, provided they capture an asymmetric volatility response and a heavy-tailed returns distribution. Moreover, on ranking each …