commodity-exporting countries. We show that the introduction of hedging instruments such as futures and options enhances …This paper uses a dynamic optimization model to estimate the welfare gains of hedging against commodity price risk for …

hedging long-dated futures and options with their short-dated counterparts, we find that the long-term tracking errors are, on … with the ability to hedge long-dated linear and non-linear oil liabilities with short-dated futures and options. This paper …Since the collapse of the Metallgesellschaft AG due to hedging losses in 1993, energy practitioners have been concerned …

We investigate the effect of including variance derivatives as calibration and hedging instruments for pricing and … hedging exotic structures. This is studied empirically using market data for SPX and VIX derivatives applied in a stochastic …

and momentum strategies in futures markets across asset classes. We construct optimal carry and momentum portfolios from … that the predictability of expected returns in futures markets reflects the scarcity of speculative capital and is …

of multi-factor model, we demonstrate how to calculate the optimal hedging ratio for VIX future to hedge VIX option. We … different hedge ratios for VIX options …

replication. Our replication methodology relies on a set of investable dynamic risk factors extracted from futures contract prices …

The empirical study analyzes derivative hedging strategies that can be implemented for an investor who has been holding … between SASOL's stock and the JSE Top 40 Index changes, this empirical report recommends a different derivative hedging … execution of a derivative hedging strategy does not mean that no losses will be incurred, but that ideally, the overall net …

This paper presents a new methodology for hedging long-term financial derivatives written on an illiquid asset. The … proposed hedging strategy combines dynamic trading of a correlated liquid asset (e.g. the market index) and static positions in … market-traded options such as European puts and calls. Moreover, since most market-traded options are relatively short …

provide higher hedging effectiveness (30-70%) as compared to non-agricultural futures (20%). In the more recent period, the … hedging effectiveness of Indian futures markets has increased. When hedging effectiveness of non-agricultural Indian futures … the fact that Indian futures contracts are more effective for hedging exposures to global prices. Other reasons of lower …