This paper is the first to study the hedging of price risk with uncertain payment dates, a frequent problem in practice …. It derives a variance-minimizing hedging strategy for two settings, the first employing linear contracts with different …

Since the collapse of the Metallgesellschaft AG due to hedging losses in 1993, energy practitioners have been concerned … hedging long-dated futures and options with their short-dated counterparts, we find that the long-term tracking errors are, on …