regarding the one sixvariate model, showing potential volatility transmission channels among the future markets. Findings have … crucial implications for policymakers who provide regulations for the above derivative markets …

Based on the theory of static replication of variance swaps we assess the sign and magnitude of variance risk premiums … general shape of the implied volatility function of the corresponding currency pair. Overall, we conclude that there is a …

We develop scenario-based stochastic programming models for hedging the risks of international portfolios using options … single-stage model with currency options for selective hedging of FX risks, while market risk is addressed only through … risk management. Simultaneous hedging of market and FX risks using stock and currency options yields the best ex …

portfolio constraints. The spreads between futures and spot prices are modeled by a multidimensional scaled Brownian bridge to … illustrate the optimal strategies and wealth distributions under different portfolio constraints …

This paper solves the mean-variance hedging problem in Heston's model with a stochastic opportunity set moving … systematically with the volatility of stock returns. We allow for correlation between stock returns and their volatility (so … derive formulas for the hedging strategy and the hedging error …

This paper opens up the scope of risk diversification for investors active in Indian currency derivative market. It …, currency futures - Silver futures). The paper estimates the optimal weights of portfolio allocation, hedge effectiveness, risk … strategies. Findings suggest that currency-equity linkage provides better effectiveness of hedging and risk adjusted return …

Hedging strategies represent basic instrument used toward eliminating financial risk. Increasing volatility of … select hedging strategies. Five basic hedging strategies ? delta hedging, minimum variance, minimum value at risk, maximum … portfolios consisting of risk assets (share, bond, commodity price, and exchange rate) and hedged assets (financial derivative …

currencies with negative carry. However, not hedging the foreign currency exposure can lead to significant drawdowns, especially … currency hedging over static hedging. Using a parsimonious model for hedge ratio based on multiple features of merit and an … explicit check for maximum allowed under-hedging, we show that a cost aware, dynamic hedging strategy can reduce the hedging …