We consider the hedging problem where a futures position can be automatically liquidated by theexchange without notice …. We derive a semi-closed form for an optimal hedging strategy with dualobjectives -- to minimise both the variance of the … direct and inverse hedging instruments traded on five different exchanges, based on minute-level data. We also link this …

derivative portfolios in these firms are characterized by short put options. These positions are part of a composite three …

We present a model for developing hedging strategies using both futures and forward contracts and issuing risky debt. A … contracts into hedging and increase its value higher than that when hedging with only futures contracts. We show numerically … that hedging with both futures and forward contracts allows the firm to issue minimal risky debt in increasing its firm …

If the creditworthiness of a counterparty is a derivative of a commodity price, there is the potential to have right … stage I subsume various models for optimal hedging under one general co-integrated model. In a worked example three models …

-linked securities. It considers the trade-offs an insurer or reinsurer faces in selecting a hedging strategy. We compare index and … indemnity-based hedging as alternative design choices and ask which is capable of creating the greater value for shareholders … problem yields a conflict of interest between shareholders and other stakeholders. Given the fact that hedging may improve the …

derivative usage in the U.S. oil and gas exploration and production industry. While derivative hedging reduces business risk, the … is an important issue because a risk premium is a deadweight loss. We examine this issue in the context of hedging … auditing of derivative instruments requires greater auditor effort. Consistent with the existence of a risk premium in audit …

effect and (de)leverage effect of Bitcoin inverse futures, and obtain optimal hedging strategies in closed forms for both … empirical studies. Our findings show that the optimal hedging strategies of Bitcoin inverse futures achieve superior hedging …

Hedging at-the-money digital options near maturity, remains a challenge in quantitative finance. In the present work …, we carry out a hedging strategy by means of a bull spread. We study the probability of super- and sub-hedge the digital … option and minimize the probability of a sub-hedge considering the cost of hedging and illiquidity issues. We perform a wide …

A hedging contract may be closed before maturity when a firm experiences an ``event of default,'' such as a credit … and show that although the termination right reduces the costs of hedging, it is inefficient because the counterparty … distress reduce their derivative portfolios and why they may shift to physical delivery contracts. Using hand-collected data …