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 …

Fixed income Asian options are frequently adopted by companies to hedge interest rate risk. Having a payoff structure … joint dataset of bonds and Asian interest rate options, we study the inter-relations between bond and volatility risk … benchmark index (EMBI-Global), and a negative volatility risk premium, consistent with the use of Asian options as insurance in …

investors and the hedging of exposures remains dificult. This paper proposes to overcome these problems by introducing a call … hedging risk. Even if this is not entirely possible, the replication approach serves as pricing benchmark for investors who …

investors and the hedging of exposures remains dificult. This paper proposes to overcome these problems by introducing a call … hedging risk. Even if this is not entirely possible, the replication approach serves as pricing benchmark for investors who …

contracts. The implications of these results for hedging and forecasting crude oil spot prices are also discussed …

We consider modeling errors in the hedging of a portfolio composed from BBB-rated bonds. By doing this, we open a new … value of indexlinked credit derivatives is very limited: hedging portfolios including only T-bond futures can reduce the … hedging. This is consistent with the literature identifying an important non-default component within corporate bond spreads …

contracts. The implications of these results for hedging and forecasting crude oil spot prices are also discussed …

equity indices (US, Japan, Europe, UK and Canada), and examine the historical performance of currency hedging strategies in …. Furthermore, we show that the risk reduction achieved historically by following an easily implementable dynamic currency hedging …-risk hedging strategies, we find that using certain hedging instruments can slightly reduce total portfolio returns. However, in …

, the implied adjustments in capital charges could be reduced by hedging a credit derivative portfolio with a contrary …

-related portfolio should diversify to Philippine equity. From hedging effectiveness and risk-adjusted-performance perspectives, oil is …