in a standard framework in which uninformed traders with hedging needs interact with risk-averse informed traders in … hedging and speculative demands: risk-averse arbitrageurs can hedge in the new market to lower the risk of speculative … traders with pure hedging motives in that market to withdraw, so reducing liquidity in the old market. The general point …

In this paper we investigate hedging a stock portfolio with stock index futures. Instead of defining the hedge ratio as … that for normal returns and biased futures markets there is an extra cost associated with hedging lower partial moments if … lower partial moment with a=0.5, hedging downside risk using the minimum variance hedge ratio instead of the optimal hedge …

We compute the expected value and the variance of the discretization error of delta hedging and of other strategies in … under model mispecification, to measure the influence of model risk on a hedging strategy. …

The use by farmers of futures contracts and other hedging instruments has been observed to be low in many situations … understandable and consistent with rational decision making. Standard models of the decision about optimal hedging show that it is … a lower optimal level of hedging. If a farmer has optimistic price expectations relative to the futures market, the …

hedging strategy, as well as the effects of hedging on firm's investing and financing behaviour. Numerical simulations of the …

Previous studies identify limited potential efficacy of weather derivatives in hedging agricultural exposures. In … contrast to earlier studies which investigate the problem at low levels of aggregation, we find that better weather hedging …

establishes a need for futures markets in commodities. The main functions of futures trading being hedging against, and … speculation on price fluctuations; and it is hedging, that determines the role of speculation. …