Purpose – Foreign exchange risk might exist in any situation where a business' operations can be affected by changes in exchange rates. The objectives of the present paper, are therefore to identify the current state‐of‐practice in managing foreign exchange exposure....

We show how to calculate European-style option prices when the log-stock price process follows a Levy-Stable process with index parameter 1 ≤ α ≤ 2 and skewness parameter -1 ≤ β ≤ 1. Key to our result is to model integrated variance  [image omitted] as an increasing Levy-Stable...

Statistical time-series approaches to hedging are difficult to beat, especially out-of-sample, and are capable of out-performing many theory-based derivative pricing model approaches to hedging commodity price risks using futures contracts. However, the vast majority of time-series approaches to...