hedge ratio. Extensive out-of-sample tests give insights in the practice of hedging various cryptos and crypto indices … dependence structures between BTC-not-involved assets and the futures. As a consequence, results of hedging other assets and …

Fixed income Asian options are frequently adopted by companies to hedge interest rate risk. Having a payoff structure … joint dataset of bonds and Asian interest rate options, we study the inter-relations between bond and volatility risk … benchmark index (EMBI-Global), and a negative volatility risk premium, consistent with the use of Asian options as insurance in …

investors and the hedging of exposures remains dificult. This paper proposes to overcome these problems by introducing a call … hedging risk. Even if this is not entirely possible, the replication approach serves as pricing benchmark for investors who …

contracts. The implications of these results for hedging and forecasting crude oil spot prices are also discussed …

investors and the hedging of exposures remains dificult. This paper proposes to overcome these problems by introducing a call … hedging risk. Even if this is not entirely possible, the replication approach serves as pricing benchmark for investors who …

contracts. The implications of these results for hedging and forecasting crude oil spot prices are also discussed …

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 …

study the SHFE gold futures, and to evaluate the futures hedging effectiveness since the introduction. The results show that … hedging with gold futures reduces the variance of a hedged gold spot position by about 88% in its first two years of existence … 70%. Overall, the new Chinese gold futures prove to be attractive and well-needed hedging vehicles for domestic Chinese …

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