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Dynamic hedging strategies: An application to the crude oil market

Lautier, Delphine; Galli, Alain - Université Paris-Dauphine (Paris IX) - 2010

This article analyses long-term dynamic hedging strategies relying on term structure models of commodity prices and proposes a new way to calibrate the models which takes into account the errors associated to the hedge ratios. Different strategies, with maturities up to seven years, are tested...

Persistent link: https://www.econbiz.de/10010707938

An arbitrage-free interest rate model consistent with economic constraints for Long-Term Asset Liability Management

Vialas, Christine; Touzi, Nizar; Aïd, René - Université Paris-Dauphine (Paris IX) - 2012

This paper proposes an Heath-Jarrow-Morton model of the yield curve that can fit the particular requirements of long-term asset and liability management (ALM). In particular, the proposed HJM model can reproduce expected long-term statistical properties of any two interest rates, while still...

Persistent link: https://www.econbiz.de/10011071875

Dynamic Hedging Strategies: An Application to the Crude Oil Market

Lautier, Delphine; Galli, Alain - Université Paris-Dauphine (Paris IX) - 2010

This article analyzes long-term dynamic hedging strategies relying on term structure models of commodity prices and proposes a new way to calibrate the models which takes into account the error associated with the hedge ratios. Different strategies, with maturities up to seven years, are tested...

Persistent link: https://www.econbiz.de/10011166328

Understanding the Fine Structure of Electricity Prices

Geman, Hélyette; Roncoroni, Andréa - Université Paris-Dauphine (Paris IX) - 2006

This paper analyzes the special features of electricity spot prices derived from the physics of this commodity and from the economics of supply and demand in a market pool. Besides mean-reversion, a property they share with other commodities, power prices exhibit the unique feature of spikes in...

Persistent link: https://www.econbiz.de/10011166403

Control-theoretic framework for a quasi-Newton local volatility surface inversion

Turinici, Gabriel - Université Paris-Dauphine (Paris IX) - 2008

We investigate in this paper the recovery of the local volatility surface in a parametric framework similar to that of Coleman, Li and Verma [4]. The quality of a surface is assessed through a functional which is optimized; the specificity of the approach is to separate the optimization on the...

Persistent link: https://www.econbiz.de/10010905049

Are the Unskilled Really That Unaware? Understanding Seemingly Biased Self-Assessments

Krajc, Marian - Center for Economic Research and Graduate Education and … - 2008

examine the impact of general information and specific information (feedback) on the quality of self-assessment (“calibration … a strong positive effect of general information on calibration, and show that calibration improves more when feedback is … provided. In our experiments, it is the unskilled who improve their calibration the most. …

Persistent link: https://www.econbiz.de/10005357525

Calibration of Interest Rate Models - Transition Market Case

Vojtek, Martin - Center for Economic Research and Graduate Education and … - 2004

of calibration with implied volatility cannot be used as there are no markets for regularly traded derivatives. The … existence of such a markets is essential for this calibration. The paradigm used is the Brace-Gatarek-Musiela model of interest …

Persistent link: https://www.econbiz.de/10005146530

Are the Unskilled Really That Unaware? An alternative explanation

Krajc, Marian; Ortmann, Andreas - Center for Economic Research and Graduate Education and … - 2007

In a series of articles and manuscripts (e.g., Kruger & Dunning, 1999, Dunning et al.,2003, Ehrlinger et al., 2005), Dunning, Kruger and their collaborators argued that the unskilled lack the metacognitive ability to realize their incompetence. We propose that the unskilled-and-unaware problem...

Persistent link: https://www.econbiz.de/10005086631

Trading Volume, Price Autocorrelation and Volatility under Proportional Transaction Costs

Hua, Cheng - Université Paris-Dauphine (Paris IX) - 2006

fundamental value which cannot be inferred from the equilibrium price. Secondly, price autocorrelation can be generated only by …

Persistent link: https://www.econbiz.de/10010708652