and Whaley (2004) by accounting for options traders' hedging demand for futures contracts, intraday seasonality, dynamic …

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 …

-related portfolio should diversify to Philippine equity. From hedging effectiveness and risk-adjusted-performance perspectives, oil is …

The main purpose of this comprehensive study is to determine the optimal hedge ratios and hedging effectiveness of … capture changes in the hedging effectiveness of the contracts. We find that the diagonal VECH and constant models produce … almost identical positive results for both periods, suggesting similar high hedging effectiveness for BIST 30 equity futures …

In this paper we propose a maximum entropy estimator for the asymptotic distribution of the hedging error for options …. Perfect replication of financial derivatives is not possible, due to market incompleteness and discrete-time hedging. We … derive the asymptotic hedging error for options under a generalised jump-diffusion model with kernel bias, which nests a …

We examine hedging as a macroprudential tool in a Sudden Stops model of an economy exposed to commodity price … fluctuations. We find that hedging commodity revenues yields significant welfare gains by stabilizing public expenditure, which … externality that drives overborrowing in such models. As a result, hedging and traditional macroprudential policy act as …

and evaluate the hedging efficiency. Agriculture is a sector highly sensitive to meteorological elements that affect the … follows the index modelling method using the Burn analysis valuation for fair premium calculation. The proposal of hedging …