Relevant bibliographies by topics / Hedging

Academic literature on the topic 'Hedging'

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Published: 4 June 2021
Last updated: 1 April 2023

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Journal articles on the topic "Hedging"

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Hadinata, Sofyan, and Diah Anggari Hardianti. "Variabel Fundamental Perusahaan Dalam Memprediksi Hedging Decision (Studi Perusahaan Automatif dan Komponen Serta Pertambangan Batubara Periode Tahun 2014-2017)." Akuntabilitas 12, no. 2 (December 4, 2019): 179–90. http://dx.doi.org/10.15408/akt.v12i2.11823.

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One of the major risks facing multinational companies in international trade is the risk of fluctuations in foreign exchange rates. The company makes an effort to reduce the impact of these risks through risk management using a hedging decision. This study aims to test empirically the effect of the company's fundamental variables in predicting hedgings decision. Fundamental variables in this study use financial ratios, namely profitability, leverage, liquidity and growth opportunities. The data in the study used panel data from 2014 to 2017. This study used data analysis techniques using logistic regression tests. Logistic regression test is used because the dependent variable uses dummy data, namely companies that do hedging are given a score of 1 and those who do not do hedging are given a score of 0. The results of the study show that the variable profitability, leverage, and growth opportunities have a positive effect on the hedging decision. The variable liquidity has a negative effect on the hedging decision.
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Th. Vezeris, Dimitrios, Themistoklis S. Kyrgos, and Christos J. Schinas. "Hedging and non-hedging trading strategies on commodities using the d-Backtest PS method. Optimized trading system hedging." Investment Management and Financial Innovations 15, no. 3 (October 1, 2018): 351–69. http://dx.doi.org/10.21511/imfi.15(3).2018.29.

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Modern trading systems are mechanic, run automatically on computers inside trading platforms and decide their position against the market through optimized parameters and algorithmic strategies. These systems now, in most cases, comprise high frequency traders, especially in the Forex market.In this research, a piece of software of an automatic high frequency trading system was developed, based on the technical indicator PIVOT (price level breakthrough). The system made transactions on hourly closing prices with weekly parameters optimization period, using the d-Backtest PS method.Through the search and checking of the results, two findings for optimization of trading strategy were found. These findings with the order they were examined and are presented in this paper are as follows: (1) the simultaneous use of “long and short” positions, with different parameters in a hedging account, acts as a hedging strategy, minimizing losses, in relation to a “long or short” in a non-hedging account for the same time period and (2) there is weak correlation of past backtesting periods between the same systems, if they are configured for “long and short” trades, or for just “long” or for just “short”.
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Brandt, Michael W. "Hedging Demands in Hedging Contingent Claims." Review of Economics and Statistics 85, no. 1 (February 2003): 119–40. http://dx.doi.org/10.1162/003465303762687758.

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De Angelis, David, and S. Abraham Ravid. "Input Hedging, Output Hedging, and Market Power." Journal of Economics & Management Strategy 26, no. 1 (October 17, 2016): 123–51. http://dx.doi.org/10.1111/jems.12180.

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Choi, Myoung Shik. "Currency risks hedging for major and minor currencies: constant hedging versus speculative hedging." Applied Economics Letters 17, no. 3 (May 9, 2008): 305–11. http://dx.doi.org/10.1080/13504850701735757.

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TSUZUKI, YUKIHIRO. "ON OPTIMAL SUPER-HEDGING AND SUB-HEDGING STRATEGIES." International Journal of Theoretical and Applied Finance 16, no. 06 (September 2013): 1350038. http://dx.doi.org/10.1142/s0219024913500386.

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This paper proposes optimal super-hedging and sub-hedging strategies for a derivative on two underlying assets without any specification of the underlying processes. Moreover, the strategies are free from any model of the dependency between the underlying asset prices. We derive the optimal pricing bounds by finding a joint distribution under which the derivative price is equal to the hedging portfolio's value; the portfolio consists of liquid derivatives on each of the underlying assets. As examples, we obtain new super-hedging and sub-hedging strategies for several exotic options such as quanto options, exchange options, basket options, forward starting options, and knock-out options.
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Black, Fischer. "Universal Hedging." ICFA Continuing Education Series 1989, no. 5 (January 1989): 28–32. http://dx.doi.org/10.2469/cp.v1989.n5.6.

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Kritzman, Mark P. "Hedging Opportunities." ICFA Continuing Education Series 1989, no. 5 (January 1989): 39–46. http://dx.doi.org/10.2469/cp.v1989.n5.8.

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Mello, Antonio S., and John E. Parsons. "STRATEGIC HEDGING." Journal of Applied Corporate Finance 12, no. 3 (September 1999): 43–54. http://dx.doi.org/10.1111/j.1745-6622.1999.tb00029.x.

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Buehler, H., L. Gonon, J. Teichmann, and B. Wood. "Deep hedging." Quantitative Finance 19, no. 8 (February 21, 2019): 1271–91. http://dx.doi.org/10.1080/14697688.2019.1571683.

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Dissertations / Theses on the topic "Hedging"

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Sushko, Tatiana. "Hedging Errors for Static Hedging Strategies." Thesis, Norges teknisk-naturvitenskapelige universitet, Institutt for samfunnsøkonomi, 2011. http://urn.kb.se/resolve?urn=urn:nbn:no:ntnu:diva-13513.

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Loucks, Julie. "Static Hedging." Thesis, Uppsala University, Department of Mathematics, 2010. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-125734.

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Lewis, Ty. "Hedging of Volatility." Thesis, Uppsala universitet, Analys och sannolikhetsteori, 2014. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-224881.

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Schulmerich, Marco. "Ausfallbasiertes Hedging von Finanzderivaten /." Wiesbaden : Dt. Univ.-Verl, 2002. http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&doc_number=009777231&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA.

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Yick, Ho-yin. "Theories on derivative hedging." Click to view the E-thesis via HKUTO, 2004. http://sunzi.lib.hku.hk/hkuto/record/B30703530.

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Falgert, Gustaf, Andreas Jensen, and Filip Lundkvist. "Fastighetsterminer : Hedging Spekulation Arbitrage." Thesis, Stockholm University, School of Business, 2006. http://urn.kb.se/resolve?urn=urn:nbn:se:su:diva-6505.

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Shin, On-Myung. "Portfolio Diversifikation und Hedging /." Lohmar [u. a.] : Eul-Verl, 2003. http://www.gbv.de/dms/zbw/362368791.pdf.

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Jangenstål, Lovisa. "Hedging Interest Rate Swaps." Thesis, KTH, Matematisk statistik, 2015. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-169390.

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This thesis investigates hedging strategies for a book of interest rate swaps of the currencies EUR and SEK. The aim is to minimize the variance of the portfolio and keep the transaction costs down. The analysis is performed using historical simulation for two different cases. First, with the real changes of the forward rate curve and the discount curve. Then, with principal component analysis to reduce the dimension of the changes in the curves. These methods are compared with a method using the principal component variance to randomize new principal components.
Den här uppsatsen undersöker hedgingstrategier för en portfölj bestående av ränteswapar i valutorna EUR och SEK. Syftet är att minimera portföljens varians och samtidigt minimera transaktionskostnaderna. Analysen genomförs med historisk simulering för två olika fall. Först med de verkliga förändringarna i forward- och diskonteringskurvorna. Sedan med hjälp av principalkomponentanalys för att reducera dimensionen av förändringarna i kurvorna. Dessa metoder jämförs med en metod som använder principalkomponenternas varians för att slumpa ut nya principalkomponenter.
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Yick, Ho-yin, and 易浩然. "Theories on derivative hedging." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2004. http://hub.hku.hk/bib/B30703530.

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Parapoulis, Panagiotis. "Hedging foreign currency options." Thesis, University of Reading, 1992. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.317577.

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Books on the topic "Hedging"

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Berger, Manfred. Hedging. Wiesbaden: Gabler Verlag, 1990. http://dx.doi.org/10.1007/978-3-322-87498-6.

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Financial hedging. Hauppauge, NY: Nova Science Publishers, 2009.

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Rheinländer, Thorsten. Hedging derivatives. New Jersey: World Scientific, 2011.

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Markkanen, Raija, and Hartmut Schröder, eds. Hedging and Discourse. Berlin, New York: DE GRUYTER, 1997. http://dx.doi.org/10.1515/9783110807332.

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Bychuk, Oleg V., and Brian J. Haughey, eds. Hedging Market Exposures. Hoboken, NJ, USA: John Wiley & Sons, Inc., 2012. http://dx.doi.org/10.1002/9781119203476.

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Limperger, Judit. Hedging mit Terminkontrakten. Wiesbaden: Deutscher Universitätsverlag, 2002. http://dx.doi.org/10.1007/978-3-322-81395-4.

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Seethaler, Peter. Hedging von Währungsrisikopositionen. Wiesbaden: Deutscher Universitätsverlag, 1999. http://dx.doi.org/10.1007/978-3-663-08541-6.

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Coyle, Brian. Hedging currency exposures. Chicago: Glenlake Pub. Co., 2000.

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Rozanov, Andrew, and Ryan McRandal. Tail risk hedging. London: Risk Books, 2014.

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Eades, Simon. Options, hedging & arbitrage. London: McGraw-Hill, 1992.

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Book chapters on the topic "Hedging"

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Berger, Manfred. "Grundlegung." In Hedging, 1–34. Wiesbaden: Gabler Verlag, 1990. http://dx.doi.org/10.1007/978-3-322-87498-6_1.

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Berger, Manfred. "Das Hedge-Objekt: Festverzinsliche Wertpapiere." In Hedging, 35–125. Wiesbaden: Gabler Verlag, 1990. http://dx.doi.org/10.1007/978-3-322-87498-6_2.

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Berger, Manfred. "Die Hedge-Ursache: Zinsänderungen." In Hedging, 127–233. Wiesbaden: Gabler Verlag, 1990. http://dx.doi.org/10.1007/978-3-322-87498-6_3.

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Berger, Manfred. "Das Hedge-Instrument: Finanzterminkontrakte." In Hedging, 235–369. Wiesbaden: Gabler Verlag, 1990. http://dx.doi.org/10.1007/978-3-322-87498-6_4.

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Berger, Manfred. "Die Hedge-Strategie: Ausnutzung der Kursbeziehungen Zwischen Effektiv- und Terminkontrakten." In Hedging, 370–479. Wiesbaden: Gabler Verlag, 1990. http://dx.doi.org/10.1007/978-3-322-87498-6_5.

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Berger, Manfred. "Zusammenfassung." In Hedging, 480–82. Wiesbaden: Gabler Verlag, 1990. http://dx.doi.org/10.1007/978-3-322-87498-6_6.

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Deutsch, Hans-Peter, and Mark W. Beinker. "Hedging." In Derivatives and Internal Models, 227–51. Cham: Springer International Publishing, 2019. http://dx.doi.org/10.1007/978-3-030-22899-6_12.

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Deutsch, Hans-Peter, and Roland Eller. "Hedging." In Derivatives and Internal Models, 100–117. London: Palgrave Macmillan UK, 1999. http://dx.doi.org/10.1007/978-1-349-14979-7_6.

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Wudy, Günther. "Hedging." In Geldanlage mit Optionen und Futures, 103–22. Wiesbaden: Gabler Verlag, 1993. http://dx.doi.org/10.1007/978-3-322-88996-6_5.

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Bossert, Thomas. "Hedging." In Derivate im Portfoliomanagement, 105–213. Wiesbaden: Springer Fachmedien Wiesbaden, 2017. http://dx.doi.org/10.1007/978-3-658-17574-0_3.

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Conference papers on the topic "Hedging"

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Pastukhova, Oxana D. "Hedging And Euphemisms." In WUT 2018 - IX International Conference “Word, Utterance, Text: Cognitive, Pragmatic and Cultural Aspects”. Cognitive-Crcs, 2018. http://dx.doi.org/10.15405/epsbs.2018.04.02.19.

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Kurmanova, L. "Hedging Market Risks." In International Conference on Finance, Entrepreneurship and Technologies in Digital Economy. European Publisher, 2021. http://dx.doi.org/10.15405/epsbs.2021.03.28.

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Luo, Qi, Kartik B. Ariyur, and Anoop Mathur. "Real Time Energy Management: Cutting the Carbon Footprint and Energy Costs via Hedging, Local Sources and Active Control." In ASME 2009 Dynamic Systems and Control Conference. ASMEDC, 2009. http://dx.doi.org/10.1115/dscc2009-2774.

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This article provides an analysis of the effect on the overall energy bill of a commercial facility of active energy management. We first show the benefits of pure hedging, hedging when the facility has its own power source—we consider the use of co-generation in winter and the use of solar power in summer. We next show how active control of facility temperature set points augments the benefits of the hedging and use of local power. Our studies are based on real consumption data of a large commercial facility, the corresponding real time prices of grid power, prices of natural gas, intensity of solar radiation, and temperature history of the period under consideration. We show that the combination of hedging, local power generation and active control can reduce facility energy bills by up to 30%, and bill variance by up to 80%. Thus, we have a scenario where consumers save significantly while using power sources with a smaller carbon footprint.
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Gruenwald, Benjamin C., Daniel Wagner, Tansel Yucelen, and Jonathan A. Muse. "An LMI-Based Hedging Approach to Model Reference Adaptive Control With Actuator Dynamics." In ASME 2015 Dynamic Systems and Control Conference. American Society of Mechanical Engineers, 2015. http://dx.doi.org/10.1115/dscc2015-9894.

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Although model reference adaptive control has been used in numerous applications to achieve system performance without excessive reliance on dynamical system models, the presence of actuator dynamics can seriously limit the stability and the achievable performance of adaptive controllers. In this paper, an linear matrix inequalities-based hedging approach is developed and evaluated for model reference adaptive control of uncertain dynamical systems in the presence of actuator dynamics. The hedging method modifies the ideal reference model dynamics in order to allow correct adaptation that does not get affected due to the presence of actuator dynamics. Specifically, we first generalize the hedging approach to cover cases in which actuator output and is known and unknown. We next show the stability of the closed-loop dynamical system using tools from Lyapunov stability and linear matrix inequalities. Finally, an illustrative numerical example is provided to demonstrate the efficacy of the proposed linear matrix-inequalities-based hedging approach to model reference adaptive control.
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Vlasyan, Gayane R. "Linguistic Hedging In Interpersonal Communication." In III PMMIS 2019 (Post mass media in the modern informational society) "Journalistic text in a new technological environment: achievements and problems". Cognitive-Crcs, 2019. http://dx.doi.org/10.15405/epsbs.2019.08.02.72.

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Yumi Oum, Shmuel Oren, and Shijie Deng. "Volumetric hedging in electricity procurement." In 2005 IEEE Russia Power Tech. IEEE, 2005. http://dx.doi.org/10.1109/ptc.2005.4524553.

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Nakano, Yumiharu. "Quantile Hedging for Defaultable Claims." In Proceedings of the KIER-TMU International Workshop on Financial Engineering 2009. WORLD SCIENTIFIC, 2010. http://dx.doi.org/10.1142/9789814304078_0009.

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Yamada, Yuji. "Optimal Hedging with Additive Models." In Proceedings of the KIER–TMU International Workshop on Financial Engineering 2010. WORLD SCIENTIFIC, 2011. http://dx.doi.org/10.1142/9789814366038_0011.

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MANAF, Ngusman Abdul, and Ermanto ERMANTO. "Hedging in Refusal Speech Act." In Sixth International Conference on Languages and Arts (ICLA 2017). Paris, France: Atlantis Press, 2018. http://dx.doi.org/10.2991/icla-17.2018.31.

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Yamada, Yuji. "Optimal hedging of basket options using smooth payoff functions: Comparison with super-hedging strategy." In 2012 American Control Conference - ACC 2012. IEEE, 2012. http://dx.doi.org/10.1109/acc.2012.6314805.

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Reports on the topic "Hedging"

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Campbell, John, Karine Serfaty-de Medeiros, and Luis Viceira. Global Currency Hedging. Cambridge, MA: National Bureau of Economic Research, May 2007. http://dx.doi.org/10.3386/w13088.

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Giambona, Erasmo, Anil Kumar, and Gordon Phillips. Hedging and Competition. Cambridge, MA: National Bureau of Economic Research, September 2021. http://dx.doi.org/10.3386/w29207.

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DEFENSE BUSINESS BOARD WASHINGTON DC. Fuel Hedging Task Group. Fort Belvoir, VA: Defense Technical Information Center, March 2004. http://dx.doi.org/10.21236/ada525975.

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Engle, Robert, Stefano Giglio, Bryan Kelly, Heebum Lee, and Johannes Stroebel. Hedging Climate Change News. Cambridge, MA: National Bureau of Economic Research, April 2019. http://dx.doi.org/10.3386/w25734.

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Black, Fischer. Equilibrium Exchange Rate Hedging. Cambridge, MA: National Bureau of Economic Research, April 1989. http://dx.doi.org/10.3386/w2947.

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León, John Jairo, Leandro Gaston Andrian, and Jorge Mondragón. Optimal Commodity Price Hedging. Banco Interamericano de Desarrollo, December 2022. http://dx.doi.org/10.18235/0004649.

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The dependence of many countries in the region on oil exports makes them vulnerable to oil price volatility. In particular, the sharp declines observed between 2014 and 2016 show how public finances weakened with significant debt increases in these countries. A strategy to mitigate the effect of sharp falls in oil prices would allow oil exporting countries to suffer a smaller impact on their public finances. This paper shows that using put options to insure against oil price hikes lowers public debt and fiscal deficits.
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Wei, Shang-Jin. Currency Hedging and Goods Trade. Cambridge, MA: National Bureau of Economic Research, September 1998. http://dx.doi.org/10.3386/w6742.

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Borensztein, Eduardo, Olivier Jeanne, and Damiano Sandri. Macro-Hedging for Commodity Exporters. Cambridge, MA: National Bureau of Economic Research, October 2009. http://dx.doi.org/10.3386/w15452.

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Froot, Kenneth. Currency Hedging over Long Horizons. Cambridge, MA: National Bureau of Economic Research, May 1993. http://dx.doi.org/10.3386/w4355.

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Rosenberg, Joshua, and Robert Engle. Option Hedging Using Empirical Pricing Kernels. Cambridge, MA: National Bureau of Economic Research, October 1997. http://dx.doi.org/10.3386/w6222.

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