This paper considers the multiperiod hedging decision in a framework of mean-reverting spot prices and unbiased futures … markets. The task is to determine the optimal hedging path, i.e., the sequence of positions in futures contracts with the … objective of minimizing the variance of an uncertain future cash flow. The model is used to illustrate both hedging using a …

, the implied adjustments in capital charges could be reduced by hedging a credit derivative portfolio with a contrary …

The financial crisis has raised concerns throughout the industry on the possibility that hedging credit valuation … products break down. So, we provide an estimation of the basis risk that arises when hedging credit portfolios with different …

Using the generalized extreme value theory to characterize tail distributions, we address liqui- dation, leverage, and …

We examine the efficiency of hedging a credit derivative portfolio with a contrary position in a credit index in the …, the implied adjustments in capital charges could be reduced by the mentioned hedging strategy, and we show that there is … volatility are high. Increases in VIX, in the 10-year swap rate or in liquidity risk tend to decrease hedging efficiency …

-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 …

This paper describes design and back-testing of an automated delta-hedging strategy applied to short-dated fx options … options Sharpe ratio significantly depends on the day of week on which the algorithm systematically sells options: delta-hedging … of options sold on Thursdays results in highest Sharpe ratio; delta-hedging of options sold on Fridays results in second …