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Banking Stability in the ESG Framework Across Italian Regions

Arnone, Massimo; Leogrande, Angelo; Costantiello, Alberto; … - 2024

This work aims to initiate a reflection on the awareness of environmental, social, and corporate governance issues, summarized in the acronym ESG (Environmental, Social, Governance), among Italian SMEs. The integration of ESG issues into business models has led to an expansion of the risk...

Persistent link: https://www.econbiz.de/10015213734

Assessing the influence of spot price predictability on electricity futures hedging

Torro, Hipolit - 2009

minimum variance hedge ratios are computed. The poor effectiveness of hedging strategies obtained in previous studies on … electricity was because the standard hedging approach underestimates the effectiveness of hedging. In the empirical study made in … hedging duration (one to three weeks) and the analysed sub-period (in-sample and out-of-sample sub-periods). …

Persistent link: https://www.econbiz.de/10015219226

Canonical Representation Of Option Prices and Greeks with Implications for Market Timing

Cadogan, Godfrey - 2010

theory. The first problem was posed by (Kassouf, 1969, pg. 694) seeking “theoretical substantiation” for his robust option … representation theory of call option pricing convex in time to maturity, and algebraic number of the underlying–with coefficients …

Persistent link: https://www.econbiz.de/10015222071

The relevance of coarse thinking for investors' willingness to pay: An experimental study

Siddiqi, Hammad - 2010

People tend to think by analogies. We investigate whether thinking-by-analogy matters for investors’ willingness to pay for a risky asset in a laboratory experiment. We find that thinking-by-analogy has a strong influence when the assets in question have similar (but not identical) payoffs....

Persistent link: https://www.econbiz.de/10015222359

Strategic asset allocation and intertemporal demands: with commodities as an asset class

Su, Yongyang; Lau, Marco Chi Keung - 2010

economic interpretations to its importance. We find U.S. investors have a significantly stable intertemporal hedging demand for …

Persistent link: https://www.econbiz.de/10015224037

Borrowing Constraint and the Effect of Option Introduction

Amira, Khaled; Bennour, Khaled - 2010

This paper studies how options trading, by circumventing constraints on borrowing, permits optimistic investors to hold the desired portfolio. Unconstrained investors proceed to a portfolio rebalancing by constructing a zero-income portfolio that consists of a short position in the option, a...

Persistent link: https://www.econbiz.de/10015224107

Strategic asset allocation and intertemporal demands: with commodities as an asset class

Su, Yongyang; Lau, Marco Chi Keung - 2010

economic interpretations to its importance. We find U.S. investors have a significantly stable intertemporal hedging demand for …

Persistent link: https://www.econbiz.de/10015224147

Strategic asset allocation and intertemporal hedging demands: with commodities as an asset class

Su, Yongyang; Lau, Marco Chi Keung - 2010

economic interpretations to its importance. We find U.S. investors have a significantly stable intertemporal hedging demand for …

Persistent link: https://www.econbiz.de/10015224148

Malliavin differentiability of the Heston volatility and applications to option pricing

Alos, Elisa; Ewald, Christian-Oliver - 2007

We prove that the Heston volatility is Malliavin differentiable under the classical Novikov condition and give an explicit expression for the derivative. This result guarantees the applicability of Malliavin calculus in the framework of the Heston stochastic volatility model. Furthermore we...

Persistent link: https://www.econbiz.de/10015227845

Swapping Headline for Core Inflation: An Asset Liability Management Approach

Fulli-Lemaire, Nicolas; Palidda, Ernesto - 2012

intermediation of market makers which could price the derivative based on the cross-hedging potential of commodities. …

Persistent link: https://www.econbiz.de/10015234727