hedge ratio. Extensive out-of-sample tests give insights in the practice of hedging various cryptos and crypto indices … dependence structures between BTC-not-involved assets and the futures. As a consequence, results of hedging other assets and …

This article presents a quadratic hedging framework for a general class of discrete-time affine multi-factor models and … hedging performance. A semi-explicit hedging formula is derived for our general framework which applies to a myriad of the … modelling features on the hedging effectiveness of S&P 500 options. Overall, we find that fat tails can be credited for half of …

optimal policyholder behaviour. The binomial model results in explicitly formulated perfect hedging strategies funded using … policy holder mortality and death benefits. Pricing, hedging, and the decompositions of the contract are extended to … incorporate mortality risk. We prove limiting results for the hedging strategies and demonstrate mortality risk diversification …

This article develops a Hedging Algebraic Model (HAM) for equity index portfolios with stock index futures as an … models used to date for the calculation of the optimal hedging ratio do not include the effect of discrete dividend payouts … presented here as an alternative approach to econometrics models yields superior results, both in hedging efficacy and in the …

rainfall risk than the rainfall bonds and the capital requirement for an effective hedging of the rainfall insurance portfolio …

The financial crisis has raised concerns throughout the industry on the possibility that hedging credit valuation … products break down. So, we provide an estimation of the basis risk that arises when hedging credit portfolios with different …

To find out whether the model misspecification matters for hedging accuracy, we carefully select six increasingly …) Heston types, with or without jump-diffusion) with randomly given well-defined parameters. We access the hedging accuracy of … six models under the dynamic hedging framework of He et al. (2006) and Kennedy et al. (2009), and apply the Fourier …