Search Results - subject:"Optimal hedging"

Variance Optimal Hedging for discrete time processes with independent increments. Application to Electricity Markets

Russo, Francesco; Oudjane, Nadia; Goutte, Stéphane - Université Paris-Dauphine (Paris IX) - 2013

We consider the discretized version of a (continuous-time) two-factor model introduced by Benth and coauthors for the electricity markets. For this model, the underlying is the exponent of a sum of independent random variables. We provide and test an algori thm, which is based on the celebrated...

Persistent link: https://www.econbiz.de/10011082464

Exploring optimal hedging strategy in Thai rice pledging scheme policy

Tanompongphandh, Thanasin; Puttanapong, Nattapong; … - In: International journal of economic policy in emerging … 11 (2018) 3, pp. 198-208

Persistent link: https://www.econbiz.de/10011971513

Optimal foreign exchange risk hedging : closed form solutions maximizing Leontief utility function

Kim, Yun-Yeong - In: Theoretical economics letters 8 (2018) 14, pp. 2893-2913

Persistent link: https://www.econbiz.de/10011952573

Skewness, basis risk, and optimal futures demand

Barbi, Massimiliano; Romagnoli, Silvia - In: International review of economics & finance : IREF 58 (2018), pp. 14-29

Persistent link: https://www.econbiz.de/10012034182

Optimal hedging with basis risk under mean-variance criterion

Zhang, Jingong; Ken Seng Tan; Weng, Chengguo - In: Insurance / Mathematics & economics 75 (2017), pp. 1-15

Persistent link: https://www.econbiz.de/10011740687

Optimal hedging of basket barrier options with additive models and its application to equity value separation problem

Yamada, Yuji - In: Asia-Pacific financial markets 24 (2017) 1, pp. 1-18

Persistent link: https://www.econbiz.de/10011742282

Optimal hedging in the US natural gas market : the effect of maturity and cointegration

Ghoddusi, Hamed; Emamzadehfard, Sahar - In: Energy economics 63 (2017), pp. 92-105

Persistent link: https://www.econbiz.de/10011757870

Hedging in affine stochastic volatility models

Richard Vierthauer - 2010

criteria: asymptotic exponential utility-based hedging and variance-optimal hedging. We investigate these approaches under the … hedging strategy and the associated utility indifference price for asymptotic utility-based hedging as well as the optimal … approaches we obtain semi-explicit expressions for the objects of interest (i.e. first order approximations of the optimal …

Persistent link: https://www.econbiz.de/10009429018

Optimal hedging strategy for risk management on a network

Gao, Tianjiao; Gupta, Aparna; Gulpinar, Nalan; Zhu, Yun - In: Journal of Financial Stability 16 (2015) C, pp. 31-44

interdependencies on it optimal hedging and risk transfer strategy. This is important consideration as risk concentrations and …

Persistent link: https://www.econbiz.de/10011208755

Optimal gasoline hedging strategies using futures contracts and exchange-traded funds

Sukcharoen, Kunlapath; Choi, Hankyeung; Leatham, David J. - In: Applied economics 47 (2015) 31/33, pp. 3482-3498

Persistent link: https://www.econbiz.de/10011293520