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Hedge effectiveness of put replication, gold, and oil on ASEAN-5 equities
Robiyanto, Robiyanto; Nugroho, Bayu Adi; Handriani, Eka; … - In: Financial innovation : FIN 6 (2020) 53, pp. 1-29
-related portfolio should diversify to Philippine equity. From hedging effectiveness and risk-adjusted-performance perspectives, oil is …
Persistent link: https://www.econbiz.de/10012418412
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Identifying Volatility Risk Premia from Fixed Income Asian Options
Almeida, Caio - 2018
Fixed income Asian options are frequently adopted by companies to hedge interest rate risk. Having a payoff structure depending on the cumulative short-term rate makes them particularly informativeabout interest rate volatility risk. Based on a joint dataset of bonds and Asian interest rate...
Persistent link: https://www.econbiz.de/10012924537
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Bank Capital, Credit Market Frictions and International Shocks Transmission
Kopoin, Alexandre - 2014
Recent empirical evidence suggests that the state of banks' balance sheets plays an important role in the transmission of monetary policy and other shocks. This paper presents an international DSGE framework with credit market frictions and an active bank capital channel to assess issues...
Persistent link: https://www.econbiz.de/10013062218
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Inflation, Business Cycles, and Commodity Investing in Financialized Markets
Zaremba, Adam - 2015
the business cycle. Fourth, it proves that the commodities retained their inflation hedging abilities in the financialized …
Persistent link: https://www.econbiz.de/10013034279
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Hedging long run commitments : exercises in incomplete market pricing
Ross, Stephen A. - In: Economic notes : economic review of Banca Monte dei … 26 (1997) 2, pp. 385-420
Persistent link: https://www.econbiz.de/10001337736
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A call on Art investments
Kräussl, Roman; Wiehenkamp, Christian - 2010
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 …
Persistent link: https://www.econbiz.de/10003947461
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A call on Art investments
Kraeussl, Roman; Wiehenkamp, Christian - 2010
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 …
Persistent link: https://www.econbiz.de/10010303744
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Hedging cryptos with Bitcoin futures
Liu, Francis; Packham, Natalie; Lu, Meng-Jou; Härdle, … - 2021 - This version: December 16, 2021
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 …
Persistent link: https://www.econbiz.de/10012797474
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Variance Trading and Market Price of Variance Risk
Bondarenko, Oleg - 2014
hedging errors. In the empirical application, we synthesize the prices of the variance contract on S&P 500 index over the …
Persistent link: https://www.econbiz.de/10013067300
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Basis Risk When Hedging a Global Credit Portfolio
Chamizo, Alvaro - 2017
, the implied adjustments in capital charges could be reduced by hedging a credit derivative portfolio with a contrary …
Persistent link: https://www.econbiz.de/10012944310