We consider the hedging problem where a futures position can be automatically liquidated by theexchange without notice. We derive a semi-closed form for an optimal hedging strategy with dualobjectives -- to minimise both the variance of the hedged portfolio and the probability of liquidationsdue...

BitMEX is the largest unregulated bitcoin derivatives exchange, listing contracts suitable for leverage trading and hedging. Using minute-by-minute data, we examine its price discovery and hedging effectiveness. We find that BitMEX derivatives lead prices on major bitcoin spot exchanges. Bid-ask...

This paper investigates the trading, hedging and performance characteristics of VIX futures exchange-traded notes (ETNs) and discusses their pros and cons from the perspectives of the regulator, the issuer, and the non-speculative investor. Is this direct trading of volatility in very high...

Written by leading market risk academic, Professor Carol Alexander, Pricing, Hedging and Trading Financial Instruments forms part three of the Market Risk Analysis four volume set. This book is an in-depth, practical and accessible guide to the models that are used for pricing and the strategies...