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 …

makers which could price the derivative based on the cross-hedging potential of commodities …

We study a notion of good-deal hedging, that corresponds to good-deal valuation and is described by a uniform … supermartingale property for the tracking errors of hedging strategies. For generalized good-deal constraints, defined in terms of … market prices of risk of hedging assets, a robust approach leads to a reduction or even elimination of a speculative …

minimizes the cost of hedging a path dependent contingent claim with given expected success ratio, in a discrete-time, semi …-static market of stocks and options. Based on duality results which link quantile hedging to a randomized composite hypothesis test … measure, which guarantees the existence of the optimal hedging strategy and enables numerical calculation of the quantile …

Measures of model risk based on the residual error from hedging in a misspecified model were recently proposed in … (Detering and Packham, 2013). These measures rely on the assumption that the model used for hedging represents a complete … is present when hedging options on energy futures with a simplified model compared to a model that better fits the …

The paper provides a new hedging methodology permitting systematic hedging choices with wide applications. Dynamic … concave bid price, and convex ask price functionals from the recent literature are employed to construct new hedging … strategies termed dynamic conic hedging. The primary focus of these strategies is to adopt positions maximizing a nonlinear …

focus on pricing, hedging, and allocation of prices or hedging costs to desks on an individual trade basis. We show how to …