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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Alkhamis, Mohammad Bader, and Mohammad Bader Alkhamis. "Litigation Risk and Hedging." Diss., The University of Arizona, 2016. http://hdl.handle.net/10150/621281.
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Firms operating in the United States face important litigation risk, yet little is known on how this risk affects financial decisions. I use a natural experiment to explore the effect of litigation risk on firms' hedging behavior. I find that firms are more likely to use financial derivatives following an exogenous increase in litigation risk. This finding is stronger in the subset of firms with higher distress costs, lower credit ratings, and higher legal concerns. My results imply that litigation risk can at least partially explain the use of financial derivatives.
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Larsson, John. "Hedging of Weather Derivatives." Thesis, Uppsala universitet, Tillämpad matematik och statistik, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-413720.
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Haliplii, Rostislav. "Hedging in alternative aarkets." Thesis, Paris 1, 2020. http://www.theses.fr/2020PA01E059.
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La recherche faisant l'objet de cette thèse se concentre sur deux marchés alternatifs: les cryptomonnaies et les produits pétroliers. La plupart des marchés alternatifs sont loin d'être efficaces, et cela génère beaucoup de défis en termes de modélisation. Les modèles basés sur des distributions gaussiennes sont toujours le choix le plus populaire pour les analystes financiers quantitatifs et sont mis en œuvre même sur des marchés qui sont loin d'être efficients. Un cadre de modélisation solide pour l'alternative des actifs doit partir d'une distribution non gaussienne. Par conséquent, tout au long de cette thèse, le thème général de toutes les simulations et estimations est l'utilisation de l'hyperbolique généralisée distributions. Cette approche a une double justification. D'une part, il est essentiel pour développer un cadre quantitatif tranchant au-delà de l'univers gaussien, tester les performances du nouveau modèle dans des situations réelles. D'autre part, les marchés faisant l'objet de cette recherche (produits pétroliers et crypte-monnaies) n'ont ni les fondamentaux ni le comportement empirique qui pourraient justifier la modélisation traditionnelleThe research making the object of this thesis focuses on two alternative markets: cryptocurrencies and oil-distillates. Most alternative markets are far from being efficient, and this generates a lot of challenges in terms of modelling. Models based on Gaussian distributions are still the most popular choice for quantitative analysts and are implemented even in markets which are far from being efficient. A sound modelling framework for alternative assets should start from non-Gaussian distribution. Therefore, throughout this thesis, the overarching theme for ail simulations and estimations is the use of generalized hyperbolic distributions. This approach has a two-edged justification. On the one hand, it is critical to developing a fully-edged quantitative framework beyond the Gaussian universe, thereby testing the performance of the new mode! in real-life situations. On the other hand, the markets making the object of this research (oil distillates and crypto-currencies) have neither the fundamentals nor the empirical behaviour that could justify traditional modelling
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Müller, Monika. "Risikominimierendes Hedging von Kreditderivaten /." Hamburg : Kovač, 2008. http://d-nb.info/990562166/04.
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Seyller, Thomas C. "The value of hedging /." May be available electronically:, 2008. http://proquest.umi.com/login?COPT=REJTPTU1MTUmSU5UPTAmVkVSPTI=&clientId=12498.
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Wanga, Godwill George. "Hedging Exchange Rate Risks." ScholarWorks, 2017. https://scholarworks.waldenu.edu/dissertations/3373.
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Risks associated with fluctuating exchange rates affect investment cost and investor profitability. Approximately 50% of firms in emerging markets have significant exposure to fluctuating exchange rates. Grounded in principal-agent theory (PAT), the purpose of this case study was to explore hedging strategies to mitigate risks of fluctuating exchange rates. The population comprised a census sampling of 12 bank hedgers (risk managers and controllers) in Dar es Salaam in Tanzania, East Africa. Data collection involved semistructured interviews, casual observations of the work environment, and analysis of reports including risk management, internal control, and compliance policies. Data were analyzed by coding and grouping narrative segments and significant statements into themes of participants' experience in hedging exchange rate risks. Method triangulation and member checking were used to increase the trustworthiness of interpretations. Four themes emerged directly related to the PAT conceptual framework: training and skills development, management of hedging strategies and contracts, corporate governance, and benefits to management and the organization through effective compensation programs. A focus on training and skill development helped develop appropriate exchange rate hedging strategies and corporate governance improved compliance with laws, regulations, and policies. The benefits of effective hedging strategies include a reduction in cost and increase in profitability. The findings may help improve the soundness of professional hedging practices, which will increase the stability of the Tanzanian banking system.
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Player, Pellby Ellen. "Hedging in Political Discourse : An Analysis of Hedging in an American City Council." Thesis, Högskolan i Gävle, Avdelningen för humaniora, 2013. http://urn.kb.se/resolve?urn=urn:nbn:se:hig:diva-14603.
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This thesis seeks to investigate the usage of hedges in political discourse in the Tampa City Council for the purpose of examining whether or not women hedge more than men in this area. An analysis of the occurrence of hedges illustrated that women hedged more than men for various purposes in this meeting. These occurrences mostly involved the epistemic modal function and shields which indicate uncertainty about the utterance and certainty about the utterance respectively. The results also illustrate how political discourse is still an area dominated by men in the sense that men had significantly more speech time than women during this meeting. However, the results also disprove Lakoff’s claim that women hedge simply to signal uncertainty and tentativeness.
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Chen, Xiaoyi. "Parametric and Non-parametric Option Hedging and Estimation Based on Hedging Error Minimization." The Ohio State University, 2020. http://rave.ohiolink.edu/etdc/view?acc_num=osu1606825135996737.
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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/.
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The observed use (and indeed tremendous growth in volume) of forward contracts, futures, options, and swaps as hedges against interest rate risk, foreign exchange risk, and commodity price risk indicates that hedging does add value to the firm. The purpose this research was to empirically examine the value of off-balance-sheet hedging. The benefits of off-balance-sheet hedging were found to accrue from reducing (1) taxes, (2) expected financial distress costs, and (3) agency costs. Taxes. Hedging reduces the firm's tax liability by reducing the variability in taxable income. The value of hedging to the firm is a positive function of the convexity of the tax function and the variability of taxable income. Expected Financial Distress Costs. The value of hedging is a positive function of the degree to which hedging reduces the probability of financial distress and the costs of financial distress. Agency Cost. Due to the fact that bondholders and some managers hold fixed claims while shareholders hold variable claims, shareholders desire more risky projects than do bondholders or managers. Hedging reduces this conflict by allowing shareholders to undertake higher risk projects while protecting the holders of fixed claims. Firms can achieve the same benefits of hedging by using alternative strategies. Among the various alternatives to hedging are modifying the firm's capital structure, purchasing insurance, and modifying dividend policy. The amount of off-balance-sheet hedging activity undertaken by a specific firm is therefore a function of the value of hedging to the firm and the degree to which the firm has used alternatives to hedging. Using a regression analysis, this paper provides empirical evidence on the preceding relations. This study provides (1) the first empirical evidence into the reasons for a value-maximizing firm using off-balance-sheet hedging instruments, and (2) empirical insights into the way in which the firm's hedging decision interrelates with the capital structure, dividend, and insurance decisions.
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Jakutis, Aurimas. "Mutual fund's currency risk hedging." Bachelor's thesis, Lithuanian Academic Libraries Network (LABT), 2009. http://vddb.library.lt/obj/LT-eLABa-0001:E.02~2008~D_20090403_124219-25175.
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Mutual funds currency risk management is analyzed in this bachelor paper. It aims to analyze hedging by currency forward and options under different hedge ratios and various durations of the contracts. Afterwards the outcome is compared to non-hedging. After comparing hedging on six emerging markets equity indexes, it is concluded, that fund managers should hedge not all the time, but only when they expect foreign currency to depreciate. It is shown that forward contracts are better means than options for currency risk insurance purposes. Moreover, it is demonstrated that hedging with the shortest duration forward contracts is most effective and it is recommended to use the hedge ratio of 50 %.Bakalauro baigiamajame darbe yra analizuojama valiutų rizikos valdymas investiciniuose fonduose. Darbe analizuojamas valiutų rizikos draudimas ateities ir pasirinkimo sandoriais, bei gauti rezultatai palyginti su rezultatais kai rizika nebuvo valdoma. Išanalizavus šešių besivystančių rinkų akcijų indeksų valiutos draudimą, buvo prieita išvados, jog fondų valdytojai valiutą turėtų drausti ne nuolatos, o tik kai jie tikisi jog užsienio valiuta silpnės. Be to, darbe parodoma, jog valiutų draudimas ateities sandoriais yra geresnis būdas valdyti valiutos riziką nei kad pasirinkimo sandoriai. Taip pat pademonstruojama, jog trumpiausio periodo ateities sandoriai yra efektyviausi valiutų rizikos valdymo tikslais bei rekomenduojama naudoti 50 % draudimo koeficientą.
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Elder, John. "Hedging strategies for financial derivatives." Thesis, University of Oxford, 2002. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.275325.
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Davis, Mark, Walter Schachermayer, and Robert G. Tompkins. "Installment options and static hedging." SFB Adaptive Information Systems and Modelling in Economics and Management Science, WU Vienna University of Economics and Business, 2001. http://epub.wu.ac.at/1584/1/document.pdf.
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An installment option is a European option in which the premium, instead of being paid up-front, is paid in a series of installments. If all installments are paid the holder receives the exercise value, but the holder has the right to terminate payments on any payment date, in which case the option lapses with no further payments on either side. We discuss pricing and risk management for these options, in particular the use of static hedges to obtain both no-arbitrage pricing bounds and very effective hedging strategies with almost no vega risk. (author's abstract)Series: Report Series SFB "Adaptive Information Systems and Modelling in Economics and Management Science"
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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.
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This thesis treats aspects of two fundamental problems in applied financial mathematics: calibration of a given stochastic process to observed marketprices on financial instruments (which is the topic of the first paper) and strategies for hedging options in financial markets that are possibly incomplete (which is the topic of the second paper). Calibration in finance means choosing the parameters in a stochastic process so as to make the prices on financial instruments generated by the process replicate observed market prices. We deal with the so called local volatility model which is one of the most widely used models in option pricing across all asset classes. The calibration of a local volatility surface to option marketprices is an ill-posed inverse problem as a result of the relatively small number of observable market prices and the unsmooth nature of these prices in strike and maturity. We adopt the practice advanced by some authors to formulate this inverse problem as a least squares optimization under the constraint that option prices follow Dupire’s partial differential equation. We develop two algorithms for performing the optimization: one based on techniques from optimal control theory and another in which a numerical quasi-Newton algorithmis directly applied to the objective function. Regularization of the problem enters easily in both problem formulations. The methods are tested on three months of daily option market quotes on two major equity indices.The resulting local volatility surfaces from both methods yield excellent replications of the observed market prices. Hedging is the practice of offsetting the risk in a financial instrument by taking positions in one or several other tradable assets. Quadratic hedging is a well developed theory for hedging contingent claims in incomplete markets by minimizing the replication error in a suitable L2-norm. This theory, though, is not widely used among market practitioners and relatively few scientific papers evaluate how well quadratic hedging works on real marketdata. We construct a framework for comparing hedging strategies, and use it to empirically test the performance of quadratic hedging of European call options on the Euro Stoxx 50 index modeled with an affine stochastic volatility model with and without jumps. As comparison, we use hedging in the standard Black-Scholes model. We show that quadratic hedging strategies significantly outperform hedging in the Black-Scholes model for out of the money options and options near the money of short maturity when only spot is used in the hedge. When in addition another option is used for hedging, quadratic hedging outperforms Black-Scholes hedging also for medium dated options near the money.Den 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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Ogg, Richard. "Hedging volatility: different perspectives compared." Master's thesis, Faculty of Commerce, 2020. http://hdl.handle.net/11427/32900.
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The accuracy of the Black and Scholes (1973) delta and vega neutral portfolio for a vanilla option was compared to a benchmark set by the Heston (1993) model in a stochastic volatility environment. The Black-Scholes portfolio was implemented using a fixed volatility and by implying volatility from the market. Additionally, a portfolio based on the Dupire (1994) local volatility model was also compared. It was found that a portfolio consisting of two short maturity options with matching maturities was best hedged by the Black-Scholes model when using implied volatility. This result was not maintained when the two options had mismatching maturities as the proportional differences in the vegas no longer cancelled. Further examination was completed on the type of financial instruments used to hedge volatility, comparing portfolios that consisted of an additional option and a variance swap to offset any vega. It was found that both hedged the option well, with similar accuracies.
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Stolbov, Anatoly. "Volatility Smile and Delta Hedging." Master's thesis, Vysoká škola ekonomická v Praze, 2014. http://www.nusl.cz/ntk/nusl-206214.
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The thesis describes and applies two parametric option pricing models which partially ease the well-known discrepancy between real world and Black-Scholes model. Stochastic volatility and jumps encompassed by Heston and SVJ models explain implied volatility smile and its heterogeneous term-structure. Both models are calibrated to market data observed for EURUSD currency options on January 23, 2015. While SVJ model provided a better fit for the market, especially for mid-term expiry smile curvature, its estimated risk-neutral parameters were unrealistic comparing with their counterparts under statistical measure. Estimations suggest zero long term price volatility and 2 jumps during the year with average magnitude of 6 \%. Both models failed to match curvature of short time to expiry smile and provided a good fit of term-structure and long-expiry smile. Analysing delta ratios adjusted for non-constant volatility as a possible alternatives the study considered minimum variance delta estimated with Heston model, delta ratio recommended by Nassim Taleb and two deltas adjusted for local volatility assuming sticky moneyness and sticky tree dynamics of implied volatility. On data set of EURUSD options from 1.1.2014 to 30.5.2015, our research did not find any alternative which would be more reliable than common Black-Scholes delta.
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Monteiro, Wagner Oliveira. "Dynamic hedging in Markov regimes." reponame:Repositório Institucional do FGV, 2008. http://hdl.handle.net/10438/2182.
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Previous issue date: 2008-10-02T00:00:00ZThis dissertation proposes a bivariate markov switching dynamic conditional correlation model for estimating the optimal hedge ratio between spot and futures contracts. It considers the cointegration between series and allows to capture the leverage efect in return equation. The model is applied using daily data of future and spot prices of Bovespa Index and R$/US$ exchange rate. The results in terms of variance reduction and utility show that the bivariate markov switching model outperforms the strategies based ordinary least squares and error correction models.
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Wiese, Anke. "Hedging stochastischer Verpflichtungen in zeitstetigen Modellen /." Karlsruhe : VVW, 1998. http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&doc_number=008066751&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA.
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Aldén, Joakim. "Hedging Rule Discussions : A study on hedging and emoticons in an online board game discussion forum." Thesis, Högskolan Dalarna, Engelska, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:du-30536.
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In everyday language, people tend to speak in a non-committing fashion when making claims, either to save their own face or to save another person’s face. In linguistics, this is called hedging, with common words and expressions such as probably, assume and I don’t know often revealing that a hedging speech act has been performed. In computer-mediated communication, Skovholt et al. (2014) discovered that emoticons, rather than signaling the sender’s emotions, were used to hedge. This study aims to further investigate the matter by looking at how users on a board game forum hedge when speaking about board games’ complexity with the research question “do more complex games involve more hedge usage on the board game forum Boardgamegeek?” as the point of departure. Data was taken from forum posts tagged with rules. The results showed that complexity barely increases the likelihood of hedging, with a slight edge given to simpler games.
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Vocke, Carsten. "Hedging with multi-factor interest rate models /." [St. Gallen] : [s.n.], 2005. http://www.gbv.de/dms/zbw/503121223.pdf.
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Wan, Chung-kum. "Cross hedging of foreign exchange risk." Click to view the E-thesis via HKUTO, 2000. http://sunzi.lib.hku.hk/hkuto/record/B31954741.
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Antczak, Magdalena, and Marta Leniec. "Pricing and Hedging of Defaultable Models." Thesis, Högskolan i Halmstad, Tillämpad matematik och fysik (MPE-lab), 2011. http://urn.kb.se/resolve?urn=urn:nbn:se:hh:diva-16052.
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Modelling defaultable contingent claims has attracted a lot of interest in recent years, motivated in particular by the Late-2000s Financial Crisis. In several papers various approaches on the subject have been made. This thesis tries to summarize these results and derive explicit formulas for the prices of financial derivatives with credit risk. It is divided into two main parts. The first one is devoted to the well-known theory of modelling the default risk while the second one presents the results concerning pricing of the defaultable models that we obtained ourselves.
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Johansson, Carl-Johan. "Model risk in a hedging perspective." Thesis, KTH, Matematik (Inst.), 2011. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-31515.
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Sundqvist, Greger. "Model risk in a hedging perspective." Thesis, KTH, Matematik (Inst.), 2011. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-31517.
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Iroume, Awe Andrés Guillermo. "Progressive hedging aplicado a coordinación hidrotérmica." Tesis, Universidad de Chile, 2013. http://www.repositorio.uchile.cl/handle/2250/114109.
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El problema de Coordinación Hidrotérmica busca encontrar la operación óptima para un Sistema Eléctrico Mixto, combinando en la solución los efectos de las etapas futuras así como los efectos que la hidrología tiene en la operación del sistema.
Los Sistemas Eléctricos mixtos corresponden a aquellos sistemas en los que operan tanto centrales de generación hidráulicas, geotérmicos, térmicas y eólicas entre otras. Un ejemplo de estos sistemas es el Sistema Interconectado Central (SIC) chileno, que en particular tiene una alta presencia de centrales hidráulicas y térmicas, en el cual en un año promedio un cuarenta por ciento de la energía viene de fuentes hidráulicas y un sesenta de fuentes térmicas.
Desde el punto de vista de los costos de operación, estas dos fuentes de generación presentan importantes diferencias. Mientras los costos variables de una central hidráulica son bajos, los de una central térmica son más altos debido al combustible que requiere para la generación de energía. Por otro lado las centrales hidráulicas tienen costos de inversión más elevados que las centrales térmicas.
Otra diferencia entre estas tecnologías es que las centrales hidráulicas son capaces de generar energía de acuerdo a la cantidad de agua que reciben de sus afluentes o que son capaces de almacenar (en embalses o estanques de regulación). Esta característica las hace dependientes del clima, en particular de la hidrología de una determinada zona geográfica. Debido a que no es posible predecir la hidrología, ésta se modela como una variable aleatoria.
El problema de Coordinación Hidrotérmica busca la manera óptima de operar un sistema mixto en el mediano y largo plazo. Tiene una naturaleza estocástica, debido a la incertidumbre presente al modelar la operación de las centrales hidráulicas. Corresponde a un problema de gran escala que incorpora muchos elementos; centrales de generación, redes de distribución, centros de consumo y restricciones técnicas y ambientales.
En el presente trabajo se desarrollan y aplican metodologías de programación estocástica para la resolución de un problema de Coordinación Hidrotérmica, en particular para un sistema de generación mixto. Se estudian técnicas de descomposición para problemas estocásticos que permitan trabajar con problemas de gran escala y se trabajan métodos de generación y selección de escenarios hidrológicos con el objetivo de representar de manera adecuada las componentes estocásticas del problema.
La metodología utilizada para la resolución de este problema se basa en el algoritmo Progressive Hedging (PH). En este trabajo se busca resolver un problema de planificación eléctrica a través de PH. Sobre este algoritmo se desarrollan una serie de ajustes de acuerdo a las características especiales del problema. También se realizan comparaciones con las técnicas que se utilizan actualmente para resolver este problema y se analizan las ventajas que ofrece PH para este problema en particular.
El problema de Coordinación Hidrotérmica corresponde a un problema cuadrático debido a que cuenta tanto con función objetivo cuadrática como con algunas restricciones cuadráticas. La función de costos de las centrales térmicas es modelada de manera cuadrática, así como también las pérdidas de energía en las líneas de transmisión son cuadráticas. PH es un algoritmo de descomposición por escenarios que entrega soluciones exactas para programas convexos. Funciona resolviendo sucesivas veces cada escenario por separado, penalizado por desviarse de la solución promedio. Debido a su estructura, es de naturaleza fácilmente paralelizable.
Dentro de los resultados se logra solucionar el problema para una serie de instancias, incluyendo instancias de tamaño real del Sistema Interconectado Central chileno. Además se realizan comparaciones entre PH y SDDP, otro de los métodos de solución del problema, mostrando las ventajas y desventajas que PH ofrece.
Finalmente se concluye que PH ofrece buenas posibilidades como metodología de solución para el Problema de Coordinación Hidrotérmica. Si bien actualmente no es competitivo, en el futuro, se pueden desarrollar implementaciones basadas en computación paralela que puedan ser competitivas con las técnicas actuales de resolución.
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Gould, John. "The joint hedging and leverage decision." University of Western Australia. School of Economics and Commerce, 2008. http://theses.library.uwa.edu.au/adt-WU2009.0038.
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The validating roles of hedging and leverage as value-adding corporate strategies arise from their beneficial manipulation of deadweight market impositions such as taxes and financial distress costs. These roles may even be symbiotic in their value-adding effects, but they are antithetic in their effects on company risk. This study's modelling analysis indicates that hedging and leverage do interact for net benefit to company value; for sensible base-case exogenous parameters, the optimal (value-maximising) joint hedging and leverage strategy increases company value by about 4.0% compared to the unhedged optimal leverage strategy, by about 1.3% compared to the unlevered optimal hedge strategy, and by about 4.0% compared to the company being unlevered and unhedged. Furthermore an optimal joint hedging and leverage strategy is less financially risky than an unhedged optimal leverage strategy or an unhedged and unlevered strategy, and is often less financially risky than an unlevered optimal hedge strategy. Interestingly, the optimal joint hedging and leverage strategy entails some risk-seeking hedge reversal in response to weak price outcomes for production output.
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Venkaramanan, Aanand. "Pricing and hedging multi-asset options." Thesis, University of Reading, 2009. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.515767.
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Wan, Chung-kum, and 尹頌琴. "Cross hedging of foreign exchange risk." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2000. http://hub.hku.hk/bib/B31954741.
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Fu, Jun, and 付君. "Asset pricing, hedging and portfolio optimization." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2012. http://hub.hku.hk/bib/B48199345.
Full textAbstract:
Starting from the most famous Black-Scholes model for the underlying asset
price, there has been a large variety of extensions made in recent decades.
One main strand is about the models which allow a jump component in the
asset price. The first topic of this thesis is about the study of jump risk
premium by an equilibrium approach. Different from others, this work provides
a more general result by modeling the underlying asset price as the ordinary
exponential of a L?vy process. For any given asset price process, the equity
premium, pricing kernel and an equilibrium option pricing formula can be
derived. Moreover, some empirical evidence such as the negative variance risk
premium, implied volatility smirk, and negative skewness risk premium can
be well explained by using the relation between the physical and risk-neutral
distributions for the jump component.
Another strand of the extensions of the Black-Scholes model is about the
models which can incorporate stochastic volatility in the asset price. The second
topic of this thesis is about the replication of exponential variance, where
the key risks are the ones induced by the stochastic volatility and moreover it
can be correlated with the returns of the asset, referred to as leverage effect.
A time-changed L?vy process is used to incorporate jumps, stochastic volatility
and leverage effect all together. The exponential variance can be robustly
replicated by European portfolios, without any specification of a model for the
stochastic volatility.
Beyond the above asset pricing and hedging, portfolio optimization is also
discussed. Based on the Merton (1969, 1971)'s reduced portfolio optimization
and the delta hedging problem, a portfolio of an option, the underlying stock
and a risk-free bond can be optimized in discrete time and its optimal solution
can be shown to be a mixture of the Merton's result and the delta hedging
strategy. The main approach is the elasticity approach, which has initially
been proposed in continuous time.
In addition to the above optimization problem in discrete time, the same
topic but in a continuous-time regime-switching market is also presented. The
use of regime-switching makes our market incomplete, and makes it difficult to
use some approaches which are applicable in complete market. To overcome
this challenge, two methods are provided. The first method is that we simply
do not price the regime-switching risk when obtaining the risk-neutral probability.
Then by the idea of elasticity, the utility maximization problem can be
formulated as a stochastic control problem with only a single control variable,
and explicit solutions can be obtained. The second method is to introduce
a functional operator to general value functions of stochastic control problem
in such a way that the optimal value function in our setting can be given by
the limit of a sequence of value functions defined by iterating the operator.
Hence the original problem can be deduced to an auxiliary optimization problem,
which can be solved as if we were in a single-regime market, which is
complete.published_or_final_version
Statistics and Actuarial Science
Doctoral
Doctor of Philosophy
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Errington, Roger E. (Roger Edmund). "Hedging risk in commercial real estate." Thesis, Massachusetts Institute of Technology, 1995. http://hdl.handle.net/1721.1/65982.
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Lu, Yang-Cheng, and 盧陽正. "On Measuring the Hedging Contribution and Hedging Effectiveness and A Study of Hedging Strategy." Thesis, 1995. http://ndltd.ncl.edu.tw/handle/74863456432145120272.
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博士國立交通大學
管理科學研究所
83
Extending the work of Ederington(1979) and Anderson and Danthine (1981), we examine the problem of hedging multi- assets with multi-futures contracts under discretionary hedging theory. Chapter 2 discuss the measure of hedging contribution through canonical correlation analysis from the market point of view. Upon deriving the hedging effectiveness, a test statistic and its asymptotic distribution is derived through Monte Carlo simulation to measure the significance of the contribution of a new futures contract. In chapter 3, a generalized measure of hedging effective- ness under the multiple spots and multiple futures framework is proposed. It is shown that any affine transformation of futures contracts does not affect the hedging potential. However, affine transformation of spot assets does change the hedging effectiveness. Two other different hedging analysis for the multiple spots and futures framework are also examined, and the redundancy hedging analysis seems to be an excellent one. The short run dynamics and long run equilibrium relation- ship between spots and futures are studied in chapter 4. A dynamic nonlinear error correction mechanism for spot and futures prices under cointegration is proposed to capture the time varying information set. An emperical model obtained from the econometric methodology for S&P500 and New York composite index and index futures has shown the superiority of the proposed procedure.
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Chung, Wen Liang, and 鍾文亮. "The determinants of hedging and the hedging''s value." Thesis, 1996. http://ndltd.ncl.edu.tw/handle/66943342228386860993.
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Huang, Meng-Huei, and 黃孟慧. "The Research on Hedging Strategies of Warrants from Hedging Costs." Thesis, 2001. http://ndltd.ncl.edu.tw/handle/48289625993364322762.
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碩士淡江大學
財務金融學系
89
Title of Thesis: The Research on Hedging Total Pages:81 Strategies of Warrants from Hedging Costs Name of Institute: Tamkang University ,Graduate Institute of Money, Banking and Finance Graduate Date : June,2001 DegreeConferred:Master Name of Student:Meng-Huei Huang Advisor：Dr. Wen-Liang Hsieh ABSTRACT Warrant gives investors the privilege of buying underlying assets at exercise price in special period. The issuing institution of warrants have to hold underlying assets for escaping the exercise risk of warrants. Theoretically, Black and Scholes（1973）concludes that continuous rebalancing can completely escape the price change risk of warrants without hedging costs. However, continuous rebalancing has difficulty in exercising and would be ruinously expensive with more frequent revision when transaction costs are included. The paper used a discrete-time framework and daily delta hedge basis. The approach is to find the strategy of seven which can reduce more hedge costs under sixty three stock price patterns, and to probe into the effect that mean and standard deviation of stock return and transaction costs to the hedge costs and hedge strategies. This paper shows that, first, transaction costs will change the choice of the best hedge strategy, so it has to include the transaction costs when simulate hedging performance. Second, total hedge costs will diminish with raise of stock return rate under the same standard deviation of stock return. Third, the influence of change of standard deviation on hedge costs has a boundary of zero return rate .The hedge costs of Delta neutral hedge strategy and Leland hedge strategy will raise with the growth of standard deviation of stock return. The issuing institution of warrants can regard those conclusions as basis of hedging warrants, and hope to improve the performance of hedging in reality.
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Chang, Tsung-Tsao, and 張宗載. "Currency Basket Hedging." Thesis, 2006. http://ndltd.ncl.edu.tw/handle/64144541102431632047.
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碩士國立臺灣大學
財務金融學研究所
94
Abstract In the present modern age, international businesses are tied more closely. Many global companies usually trade from one country to another, so “foreign exchange hedge” has become a key strategy to control the foreign exchange risk. In the following context, I plan to provide a new method (currency basket hedging model) to reduce or improve the “foreign exchange hedge cost” which most companies have met so far. With the “currency basket hedging model”, empirical analysis shows that this strategy is inexpensive. Averagely, instead of NDF, the currency basket hedging strategy has the advantage of saving hedging cost. Furthermore, its VaR estimate has a stable result. Therefore, if the owner agrees to take the downside risk (correspond to a specific critical value of a portfolio’s potential one-day profit and loss probability distribution), the currency basket hedging strategy will be a feasible, usable, effective and referable strategy.
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Chen, Yen-An, and 陳彥安. "Hedging Lease Liability." Thesis, 2018. http://ndltd.ncl.edu.tw/handle/u84f6e.
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碩士國立臺灣大學
會計學研究所
106
The shipping business in Taiwan have used operating lease to acquire fixed asset for a long time. By the off-balance-sheet effects of operating lease, Leasee’s business could improve financial and operating performance. However, as the implementation of IFRS 16 in 2019, all leases should be recognized as right-of-use asset and lease liability except for short term lease and lower value asset. The elimination of the off-balance-sheet effects of operating lease not only influence the financial performance of leasee but causing the risk about fair value of lease liabilities paid by foreign currency, because most equipment for shipping business in Taiwan was rent from foreign corporations. The fair value risk of lease liabilities may also make leasee’s balance sheet unmatched, and unstable exchange gains and losses in income statement. Therefore, the purpose of the study was to address the risk about lease liabilities for lease according to IFRS 16. First, according to fair value hedge methods in IFRS 9, discuses the use of forward currency contract, currency swap and options to deal with the fair value risk of lease liabilities. Second, according to cash flow hedge methods in IFRS 9, discuses how to use lease liabilities as hedge instrument to deal with the cash flow risk about forecast foreign currency revenue.
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TSENG, RUI-LIN, and 曾睿霖. "The Relevance of Hedging Factors and Hedging Tools in Taiwan Electronics Industry." Thesis, 2016. http://ndltd.ncl.edu.tw/handle/95368956158229313911.
Full textAbstract:
碩士中國文化大學
財務金融學系
104
Subject to the increase of the liberalization of financial markets, the performance of the business is significantly related to the market risk. Therefore, the company usually utilized high financial leverage of derivatives to hedge the risk. When the company chose different hedging instruments to faced a variety of exchange rate risk, therefore we employ the Multinomial Logistic-AHP to analyze the impact of various derivatives. Hence, the research summarized by the literature relevant factors affecting managers selected exchange rate hedging instruments, furthermore, using Multinomial Logistic Model and and further integrate AHP. Using Experts’ Questionnaires can test multi-level selection and hedging effect of different hedging instruments in order to calculate the hedging instruments and the multi-level factors of weights to understand the gap between the empirical results and practical operation. Finally, the Multinomial Logistic-AHP Model will sorted the weights to analyze. The research findings can be a basis reference for investors in decision-making.
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Cachola, Marta Filipa de Almeida. "Dynamic hedging - comparing alternative hedging approaches for an interest rate derivatives portfolio." Master's thesis, 2013. http://hdl.handle.net/10362/120366.
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In this study, we compare a widely used delta-hedging strategy with a more complex delta-gamma-hedging approach when applied to an interest rate derivatives portfolio composed of interest rate swaps, caps, floors and swaptions. In order to replicate the portfolio, we use market traded futures contracts on German bunds with two different maturities, 15-and 30-years. Even though a delta-gamma-hedging should always be more accurate than a simple delta-hedging, we reveal a practical situation where that does not appear to happen. We suggest that two possible explanations for this result may be based on the instruments’ payoff nature.1
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Lo, Wei, and 羅薇. "Hedging Effectiveness of Crude Oil Hedging Portfolio：Application of GARCH-EVT-Copula Model." Thesis, 2018. http://ndltd.ncl.edu.tw/handle/6j22j6.
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碩士淡江大學
管理科學學系碩士班
106
The global market has a large demand of energy. Crude oil is one of important resources in economic activities. Because crude oil returns exists volatility clustering, fat-tail and dependence structure changes of tail behavior from extreme events, hedging plays an important role for producers. The study examined West Texas Intermediate crude oil spot and futures. The rolling-window method is used to study the hedging portfolio of West Texas Intermediate crude oil spot and futures by using GARCH-EVT-Copula model. Then, Comparing Normal distribution with Student-t distribution. The empirical results show that both hedging effectiveness of t distribution and Normal distribution don’t have significant difference. However, there are significant differences in the hedging performance of two models for the minimum variance hedging portfolio before the Persian Gulf War and after the financial crisis. These findings in this study can be used as a reference for investors.
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Chen, Yi-Jen Elaine. "The mathematics of hedging." Thesis, 2009. http://hdl.handle.net/2152/ETD-UT-2009-12-590.
Full textAbstract:
Possessing the knowledge to hedge energy price risks properly is essential and crucial for running a long-term business. In the past, many hedging instruments have been invented and widely used. By using these derivatives, decision makers reduce the price risk to a certain degree.
To apply these hedging instruments to the perfect hedging strategies correctly, it is necessary to be familiar with these tools in the first place. This work introduces the financial tools widely applied in hedging, including forward contracts, futures, swaps and options. It also introduces the hedging strategies used on energy hedging. Since individuals are creating strategies according to their unique risk appetite and collected information, this work presents three risk appetites and a method of distinguishing valuable information.
With the contribution of this thesis, future works can be done in the field that connect the information valuation and energy hedging by changing the behavior in each risk appetites’ hedging ratio.text
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WU, KUAN-MIN, and 吳冠旻. "Corporate Hedging and Mergers." Thesis, 2017. http://ndltd.ncl.edu.tw/handle/2hej3m.
Full textAbstract:
碩士國立暨南國際大學
財務金融學系
105
Using the data of U.S mergers over the period 1992 to 2013, this study examines the effects of corporate hedging policy on merger’s acquisition decisions, including the timing of merger, payment method, complexity of a deal, relative size, announcement return, and post-merger long-term performance. Empirical results indicate that (i) hedging firms are less likely to merge in the merger wave, make a cash offer, undertake larger deals, take less time to complete the deal, and lead to a better operating performance than non-hedging firms, (ii) hedging acquirers in the merger wave are more likely to make a cash offer, but undertake smaller deals, and take more time to complete the deal than those out of the merger wave. Further our evidence shows that hedging activities can reduce the time to complete the deal in the merger wave, and hedging acquirers have a better long-term performance than non-hedging acquirers in the merger wave. These results suggest that corporate hedging can bring some advantages in mergers to reduce the bad acquisition happens in the merger wave.
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LIU, KAI-HAO, and 劉鎧豪. "Religion and Corporate Hedging." Thesis, 2017. http://ndltd.ncl.edu.tw/handle/2x88z4.
Full textAbstract:
碩士國立暨南國際大學
財務金融學系
105
This is the study to bridge the relationship between religion and corporate hedging. Using the S&P 1500 non-financial and non-public utility firms over the period from 2000 to 2015, this study examines the impacts of regional religion on corporate hedging behavior, including hedging willingness and hedging extent. The findings show that firms headquarters located in high religion areas tend to have significant lower hedging willingness and hedging extent. The significant negative relationship between local religion and corporate hedging is robustness under different hedging objectives, after controlling specific region, states, religious survey years, endogeneity problems and self-selection bias. When the sample is divided into financial crisis and non-financial crisis period, it is found that the negative impact of religion on corporate hedging is mainly exist in non-financial crisis period. Additionally, when sample is separated into before and after financial crisis, it is found that the negative relationship between local religion and corporate hedging keeps both before and after financial crisis period. Finally, we further explore whether the impact of regional religion on corporate hedging keep the same in different religions, and find that Protestant have stronger negative effect on corporate hedging willingness and extent than Catholic.