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Hedging with a generalised basis risk: empirical results

Alghalith, Moawia; Lalloo, Ricardo; Franklin, Martin; … - In: International Journal of Financial Markets and Derivatives 2 (2011) 3, pp. 244-248

Previous research assumes that 1) the futures price is a linear function of the market (spot) price and basis risk; 2) the spot price and basis risk are statistically independent. Using a general form of basis risk, we provide empirical comparative statics results. Moreover, we relax the...

Persistent link: https://www.econbiz.de/10010670192

CAPM in real world : risk-friendly investments

Floros, Christos; Kountzakis, Christos; Alghalith, Moawia - In: Annals of financial economics 19 (2024) 2, pp. 1-11

Persistent link: https://www.econbiz.de/10015323607

Simplified option pricing techniques

Alghalith, Moawia; Floros, Christos; Poufinas, Thomas - In: Annals of financial economics 14 (2019) 1, pp. 1-19

Persistent link: https://www.econbiz.de/10012015473

Futures hedging with stochastic volatility : a new method

Alghalith, Moawia; Floros, Christos - In: International journal of computational economics and … 10 (2020) 2, pp. 203-207

Persistent link: https://www.econbiz.de/10012226719

Hedging under price, output and basis risks : empirical analysis

Alghalith, Moawia; Lalloo, Ricardo - In: Annals of financial economics 15 (2020) 2, pp. 1-7

Persistent link: https://www.econbiz.de/10012642973

A note on dynamic hedging : Empirical evidence from FTSE-100 and S&P 500 futures markets

Alghalith, Moawia; Floros, Christos; Lalloo, Ricardo - In: The Journal of Risk Finance 16 (2015) 2, pp. 190-196

Purpose – The purpose of this paper is to empirically test dynamic hedging, using data from the FTSE-100 and Standard & Poor’s (S&P) 500 futures indices. Design/methodology/approach – The authors introduce a dynamic continuous-time hedging model in futures markets. The authors further...

Persistent link: https://www.econbiz.de/10014902083