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The mathematics of hedging
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C.E.P.R. Discussion Papers
International Monetary Fund (IMF)
254
National Bureau of Economic Research
224
International Monetary Fund
86
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
62
EconWPA
36
Université Paris-Dauphine (Paris IX)
27
Basel Committee on Banking Supervision
25
Federal Reserve Bank of Chicago
22
HAL
20
Agricultural and Applied Economics Association - AAEA
19
Federal Reserve Bank of New York
19
Tilburg University, Center for Economic Research
17
Springer Fachmedien Wiesbaden
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University of Bonn, Germany
14
Department of Agricultural and Consumer Economics, University of Illinois at Urbana-Champaign
13
Fakultät Wirtschaftswissenschaften, Technische Universität Dresden
13
International Organization of Securities Commissions
13
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
13
OECD
12
Erasmus Research Institute of Management (ERIM), Erasmus Universiteit Rotterdam
11
European Central Bank
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Federal Reserve Bank of Atlanta
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Federal Reserve Board (Board of Governors of the Federal Reserve System)
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Institute of Finance and Accounting <London>
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Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO)
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Cowles Foundation for Research in Economics, Yale University
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European Association of Agricultural Economists - EAAE
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European Commission / Joint Research Centre
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Bank für Internationalen Zahlungsausgleich / Committee on Payments and Market Infrastructures
9
Center for Financial Studies
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Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
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School of Economics and Management, University of Aarhus
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8
Department of Economics and Finance, College of Business and Economics
8
Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam
8
Henley Business School, University of Reading
8
Bank für Internationalen Zahlungsausgleich / Währungs- und Wirtschaftsabteilung
7
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1
Macro-
Hedging
for Commodity Exporters
Borensztein, Eduardo
;
Jeanne, Olivier
;
Sandri, Damiano
-
C.E.P.R. Discussion Papers
-
2009
commodity-exporting countries. We show that the introduction of
hedging
instruments such as
futures
and
options
enhances …This paper uses a dynamic optimization model to estimate the welfare gains of
hedging
against commodity price risk for …
Persistent link: https://www.econbiz.de/10008577805
Saved in:
2
Extracting Expectations about 1992 UK Monetary Policy from Option Prices
Söderlind, Paul
-
C.E.P.R. Discussion Papers
-
1998
The UK pound left the ERM on 16 September 1992 after a period of turbulence. UK monetary policy soon shifted to lower short interest rates and an inflation target was announced. This paper uses daily option prices to estimate how the market’s probability distribution of the future Deutsche...
Persistent link: https://www.econbiz.de/10005791268
Saved in:
3
Interpreting Prediction Market Prices as Probabilities
Wolfers, Justin
;
Zitzewitz, Eric
-
C.E.P.R. Discussion Papers
-
2006
While most empirical analysis of prediction markets treats prices of binary
options
as predictions of the probability …
Persistent link: https://www.econbiz.de/10005136573
Saved in:
4
Limits to Arbitrage and
Hedging
: Evidence from Commodity Markets
Acharya, Viral V
;
Lochstoer, Lars
;
Ramadorai, Tarun
-
C.E.P.R. Discussion Papers
-
2009
futures
contracts. Their
hedging
demand is met by financial intermediaries who act as speculators, but are constrained in risk … 1980-2006, we show that producers’
hedging
demand - proxied by their default risk - forecasts spot prices,
futures
prices …-taking. Increases (decreases) in producers’
hedging
demand (the risk-bearing capacity of speculators) increase the costs of
hedging
…
Persistent link: https://www.econbiz.de/10005016244
Saved in:
5
New Techniques to Extract Market Expectations from Financial Instruments
Söderlind, Paul
;
Svensson, Lars E O
-
C.E.P.R. Discussion Papers
-
1997
This paper is a selective survey of new or recent methods to extract information about market expectations from asset prices for monetary policy purposes. Traditionally, interest rates and forward exchange rates have been used to extract expected means of future interest rates, exchange rates...
Persistent link: https://www.econbiz.de/10005504605
Saved in:
6
The Informativeness Principle Under Limited Liability
Chaigneau, Pierre
;
Edmans, Alex
;
Gottlieb, Daniel
-
C.E.P.R. Discussion Papers
-
2014
This paper shows that the informativeness principle does not automatically extend to settings with limited liability. Even if a signal is informative about effort, it may have no value for contracting. An agent with limited liability is paid zero for certain output realizations. Thus, even if...
Persistent link: https://www.econbiz.de/10011083536
Saved in:
7
The Value of Informativeness for Contracting
Chaigneau, Pierre
;
Edmans, Alex
;
Gottlieb, Daniel
-
C.E.P.R. Discussion Papers
-
2014
The informativeness principle demonstrates qualitative benefits to increasing signal precision. However, it is difficult to quantify these benefits -- and compare them against the costs of precision -- since we typically cannot solve for the optimal contract and analyze how it changes with...
Persistent link: https://www.econbiz.de/10011083624
Saved in:
8
Carry
Koijen, Ralph
;
Moskowitz, Tobias J
;
Pedersen, Lasse Heje
; …
-
C.E.P.R. Discussion Papers
-
2013
including global equities, global bonds, commodities, US Treasuries, credit, and
options
. This predictability rejects a …
Persistent link: https://www.econbiz.de/10011083673
Saved in:
9
The Price of Political Uncertainty: Theory and Evidence from the Option Market
Kelly, Bryan
;
Pástor, Luboš
;
Veronesi, Pietro
-
C.E.P.R. Discussion Papers
-
2014
.
Options
whose lives span political events tend to be more expensive. Such
options
provide valuable protection against the risk …
Persistent link: https://www.econbiz.de/10011084633
Saved in:
10
Option-Based Credit Spreads
Culp, Christopher L.
;
Nozawa, Yoshio
;
Veronesi, Pietro
-
C.E.P.R. Discussion Papers
-
2014
empirically show that indeed portfolios of long Treasuries and short traded put
options
("pseudo bonds") closely match the …
Persistent link: https://www.econbiz.de/10011145468
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