Academic literature on the topic 'Hedging Finance'
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Journal articles on the topic "Hedging Finance"
Hamdi, Haykel, and Jihed Majdoub. "Risk-sharing finance governance: Islamic vs conventional indexes option pricing." Managerial Finance 44, no. 5 (May 14, 2018): 540–50. http://dx.doi.org/10.1108/mf-05-2017-0199.
Full textStentoft, Lars. "Computational Finance." Journal of Risk and Financial Management 13, no. 7 (July 4, 2020): 145. http://dx.doi.org/10.3390/jrfm13070145.
Full textRoig Hernando, Jaume. "Humanizing Finance by Hedging Property Values." Journal of Risk and Financial Management 9, no. 2 (June 10, 2016): 5. http://dx.doi.org/10.3390/jrfm9020005.
Full textTSUZUKI, 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.
Full textBuehler, 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.
Full textMadan, Dilip B. "Adapted hedging." Annals of Finance 12, no. 3-4 (November 9, 2016): 305–34. http://dx.doi.org/10.1007/s10436-016-0282-8.
Full textKorn, Olaf, and Marc Oliver Rieger. "Hedging with regret." Journal of Behavioral and Experimental Finance 22 (June 2019): 192–205. http://dx.doi.org/10.1016/j.jbef.2019.03.002.
Full textBates, David S. "Hedging the smirk." Finance Research Letters 2, no. 4 (December 2005): 195–200. http://dx.doi.org/10.1016/j.frl.2005.08.004.
Full textCong, Jianfa, Ken Seng Tan, and Chengguo Weng. "VAR-BASED OPTIMAL PARTIAL HEDGING." ASTIN Bulletin 43, no. 3 (July 29, 2013): 271–99. http://dx.doi.org/10.1017/asb.2013.19.
Full textSun, Youfa, George Yuan, Shimin Guo, Jianguo Liu, and Steven Yuan. "Does model misspecification matter for hedging? A computational finance experiment based approach." International Journal of Financial Engineering 02, no. 03 (September 2015): 1550023. http://dx.doi.org/10.1142/s2424786315500231.
Full textDissertations / Theses on the topic "Hedging Finance"
Lindholm, Love. "Calibration and Hedging in Finance." Licentiate thesis, KTH, Numerisk analys, NA, 2014. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-156077.
Full textDen här avhandlingen behandlar aspekter av två fundamentala problem i tillämpad finansiell matematik: kalibrering av en given stokastisk process till observerade marknadspriser på finansiella instrument (vilket är ämnet för den första artikeln) och strategier för hedging av optioner i finansiella marknader som är inkompletta (vilket är ämnet för den andra artikeln). Kalibrering i finans innebär att välja parametrarna i en stokastisk process så att de priser på finansiella instrument som processen genererar replikerar observerade marknadspriser. Vi behandlar den så kallade lokala volatilitets modellen som är en av de mest utbrett använda modellerna inom options prissättning för alla tillgångsklasser. Kalibrering av en lokal volatilitetsyta till marknadspriser på optioner är ett illa ställt inverst problem som en följd av att antalet observerbara marknadspriser är relativt litet och att priserna inte är släta i lösenpris och löptid. Liksom i vissa tidigare publikationer formulerar vi detta inversa problem som en minsta kvadratoptimering under bivillkoret att optionspriser följer Dupires partiella differentialekvation. Vi utvecklar två algoritmer för att utföra optimeringen: en baserad på tekniker från optimal kontrollteori och en annan där en numerisk kvasi-Newton metod direkt appliceras på målfunktionen. Regularisering av problemet kan enkelt införlivas i båda problemformuleringarna. Metoderna testas på tre månaders data med marknadspriser på optioner på två stora aktieindex. De resulterade lokala volatilitetsytorna från båda metoderna ger priser som överensstämmer mycket väl med observerade marknadspriser. Hedging inom finans innebär att uppväga risken i ett finansiellt instrument genom att ta positioner i en eller flera andra handlade tillgångar. Kvadratisk hedging är en väl utvecklad teori för hedging av betingade kontrakt i inkompletta marknader genom att minimera replikeringsfelet i en passande L2-norm. Denna teori används emellertid inte i någon högre utsträckning av marknadsaktörer och relativt få vetenskapliga artiklar utvärderar hur väl kvadratisk hedging fungerar på verklig marknadsdata. Vi utvecklar ett ramverk för att jämföra hedgingstrategier och använder det för att empiriskt pröva hur väl kvadratisk hedging fungerar för europeiska köpoptioner på aktieindexet Euro Stoxx 50 när det modelleras med en affin stokastisk volatilitetsmodell med och utan hopp. Som jämförelse använder vi hedging i Black-Scholes modell.Vi visar att kvadratiska hedgingstrategier är signifikant bättre än hedging i Black-Scholes modell för optioner utanför pengarna och optioner nära pengarna med kort löptid när endast spot används i hedgen. När en annan option används i hedgen utöver spot är kvadratiska hedgingstrategier bättre än hedging i Black-Scholes modell även för optioner nära pengarna medmedellång löptid.
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Nance, Deana R. (Deana Reneé). "The Determinants of Off-Balance-Sheet Hedging in the Value-Maximizing Firm: an Empirical Analysis." Thesis, University of North Texas, 1988. https://digital.library.unt.edu/ark:/67531/metadc331494/.
Full textYick, Ho-yin. "Theories on derivative hedging." Click to view the E-thesis via HKUTO, 2004. http://sunzi.lib.hku.hk/hkuto/record/B30703530.
Full textOgg, Richard. "Hedging volatility: different perspectives compared." Master's thesis, Faculty of Commerce, 2020. http://hdl.handle.net/11427/32900.
Full textYick, 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.
Full textHaria, Krisan. "New developments in hedging in finance and insurance." Thesis, Imperial College London, 2007. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.441279.
Full textZiervogel, Graham. "Hedging performance of interest-rate models." Master's thesis, University of Cape Town, 2016. http://hdl.handle.net/11427/20482.
Full textKauppila, M. (Mikko). "Hedge fund tail risk:performance and hedging mechanisms." Master's thesis, University of Oulu, 2014. http://urn.fi/URN:NBN:fi:oulu-201412042095.
Full textZheng, Wendong. "Hedging and pricing of constant maturity swap derivatives /." View abstract or full-text, 2009. http://library.ust.hk/cgi/db/thesis.pl?MATH%202009%20ZHENG.
Full textMavuso, Melusi Manqoba. "Mean-variance hedging in an illiquid market." Master's thesis, University of Cape Town, 2015. http://hdl.handle.net/11427/15595.
Full textBooks on the topic "Hedging Finance"
Financial hedging. Hauppauge, NY: Nova Science Publishers, 2009.
Find full textRheinländer, Thorsten. Hedging derivatives. New Jersey: World Scientific, 2011.
Find full textMiller, Sennholz Lyn, and Helstrom Carl O, eds. Options hedging handbook. Cedar Falls, IA: Center for Futures Education, 1985.
Find full textHaughey, Brian J. Hedging Irish Options. Dublin: University College Dublin, 1990.
Find full textEades, Simon. Options, hedging & arbitrage. London: McGraw-Hill, 1992.
Find full textReichling, Peter. Hedging mit Warenterminkontrakten. Bern: P. Haupt, 1991.
Find full textMiron, Paul. Pricing and hedging swaps. London: Euromoney Books, 1991.
Find full textRozanov, Andrew, and Ryan McRandal. Tail risk hedging. London: Risk Books, 2014.
Find full textLangowski, Larry. Hedging mortgage servicing rights. Chicago: Market and Product Development, Chicago Board of Trade, 1999.
Find full textMerrick, John J. Hedging with mispriced futures. [Philadelphia]: Federal Reserve Bank of Philadelphia, 1987.
Find full textBook chapters on the topic "Hedging Finance"
Connor, Gregory. "Hedging." In Finance, 164–71. London: Palgrave Macmillan UK, 1989. http://dx.doi.org/10.1007/978-1-349-20213-3_18.
Full textEberlein, Ernst, and Jan Kallsen. "Mean-Variance Hedging." In Springer Finance, 595–615. Cham: Springer International Publishing, 2019. http://dx.doi.org/10.1007/978-3-030-26106-1_12.
Full textNewbery, David M. "Futures Markets, Hedging and Speculation." In Finance, 145–52. London: Palgrave Macmillan UK, 1989. http://dx.doi.org/10.1007/978-1-349-20213-3_15.
Full textHatherley, Anthony. "Hedging Asymmetric Dependence." In Asymmetric Dependence in Finance, 110–32. Chichester, UK: John Wiley & Sons Ltd, 2018. http://dx.doi.org/10.1002/9781119288992.ch5.
Full textDavis, Mark H. A., Walter Schachermayer, and Robert G. Tompkins. "Installment Options and Static Hedging." In Mathematical Finance, 130–39. Basel: Birkhäuser Basel, 2001. http://dx.doi.org/10.1007/978-3-0348-8291-0_12.
Full textWillsher, Richard. "Currency Risk and Hedging Techniques." In Export Finance, 139–42. London: Palgrave Macmillan UK, 1995. http://dx.doi.org/10.1007/978-1-349-13980-4_16.
Full textLee, Raymond S. T. "Quantum Trading and Hedging Strategy." In Quantum Finance, 119–58. Singapore: Springer Singapore, 2019. http://dx.doi.org/10.1007/978-981-32-9796-8_6.
Full textVasigh, Bijan, and Zane C. Rowe. "Airline fuel hedging practice." In Foundations of Airline Finance, 473–515. Third edition. | Abingdon, Oxon ; New York, NY : Routledge, 2019.: Routledge, 2019. http://dx.doi.org/10.4324/9780429429293-11.
Full textBielecki, Tomasz R., and Stéphane Crépey. "Dynamic Hedging of Counterparty Exposure." In Inspired by Finance, 47–71. Cham: Springer International Publishing, 2014. http://dx.doi.org/10.1007/978-3-319-02069-3_3.
Full textEberlein, Ernst, and Jan Kallsen. "Arbitrage-Based Valuation and Hedging of Derivatives." In Springer Finance, 537–93. Cham: Springer International Publishing, 2019. http://dx.doi.org/10.1007/978-3-030-26106-1_11.
Full textConference papers on the topic "Hedging Finance"
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.
Full textCosta, O. L. V., A. C. Maiali, and A. de C. Pinto. "Mean-variance hedging strategies in discrete time and continuous state space." In COMPUTATIONAL FINANCE 2006. Southampton, UK: WIT Press, 2006. http://dx.doi.org/10.2495/cf060111.
Full textFlorianová, Hana. "THE PORTFOLIO SELECTION FOR A HEDGING STRATEGY." In 7th Economics & Finance Conference, Tel Aviv. International Institute of Social and Economic Sciences, 2017. http://dx.doi.org/10.20472/efc.2017.007.001.
Full textFukasawa, Masaaki. "Conservative Delta Hedging under Transaction Costs." In Proceedings of the International Workshop on Finance 2011. WORLD SCIENTIFIC, 2012. http://dx.doi.org/10.1142/9789814407335_0004.
Full textMurray, Phillip, Ben Wood, Hans Buehler, Magnus Wiese, and Mikko Pakkanen. "Deep Hedging: Continuous Reinforcement Learning for Hedging of General Portfolios across Multiple Risk Aversions." In ICAIF '22: 3rd ACM International Conference on AI in Finance. New York, NY, USA: ACM, 2022. http://dx.doi.org/10.1145/3533271.3561731.
Full textGrépat, J. "On the Limit Behavior of Option Hedging Sets under Transaction Costs." In International Workshop on Finance 2012. WORLD SCIENTIFIC, 2014. http://dx.doi.org/10.1142/9789814571647_0004.
Full textHsu, Shuo-Fen, Po-Sheng Ko, Cheng-Chung Wu, Ming Jen Cheng, and Y. L. Shih. "Hedging of Derivative Financial Products: Non-Finance Taiwanese Industry." In 2009 International Association of Computer Science and Information Technology - Spring Conference. IEEE, 2009. http://dx.doi.org/10.1109/iacsit-sc.2009.101.
Full textVittori, Edoardo, Michele Trapletti, and Marcello Restelli. "Option hedging with risk averse reinforcement learning." In ICAIF '20: ACM International Conference on AI in Finance. New York, NY, USA: ACM, 2020. http://dx.doi.org/10.1145/3383455.3422532.
Full textBao, Li, Mingyan Cheung, and Stephan Unger. "Does Hedging Matter for Household Finance? Evidence from Hedging Housing Price Risks with Exchange Traded Options." In 25th Annual European Real Estate Society Conference. European Real Estate Society, 2016. http://dx.doi.org/10.15396/eres2016_284.
Full textVittori, Edoardo, Amarildo Likmeta, and Marcello Restelli. "Monte carlo tree search for trading and hedging." In ICAIF'21: 2nd ACM International Conference on AI in Finance. New York, NY, USA: ACM, 2021. http://dx.doi.org/10.1145/3490354.3494402.
Full textReports on the topic "Hedging Finance"
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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