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

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 …

We revisit the problem of pricing and hedging plain vanilla single-currency interest rate derivatives using multiple …

, 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 …