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Academic literature on the topic 'Optimal Hedging'

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Published: 9 March 2023
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Journal articles on the topic "Optimal Hedging"

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Albuquerque, Rui. "Optimal currency hedging." Global Finance Journal 18, no. 1 (January 2007): 16–33. http://dx.doi.org/10.1016/j.gfj.2006.09.002.

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Cong, 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.

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AbstractHedging is one of the most important topics in finance. When a financial market is complete, every contingent claim can be hedged perfectly to eliminate any potential future obligations. When the financial market is incomplete, the investor may eliminate his risk exposure by superhedging. In practice, both hedging strategies are not satisfactory due to their high implementation costs, which erode the chance of making any profit. A more practical and desirable strategy is to resort to the partial hedging, which hedges the future obligation only partially. The quantile hedging of Föllmer and Leukert (Finance and Stochastics, vol. 3, 1999, pp. 251–273), which maximizes the probability of a successful hedge for a given budget constraint, is an example of the partial hedging. Inspired by the principle underlying the partial hedging, this paper proposes a general partial hedging model by minimizing any desirable risk measure of the total risk exposure of an investor. By confining to the value-at-risk (VaR) measure, analytic optimal partial hedging strategies are derived. The optimal partial hedging strategy is either a knock-out call strategy or a bull call spread strategy, depending on the admissible classes of hedging strategies. Our proposed VaR-based partial hedging model has the advantage of its simplicity and robustness. The optimal hedging strategy is easy to determine. Furthermore, the structure of the optimal hedging strategy is independent of the assumed market model. This is in contrast to the quantile hedging, which is sensitive to the assumed model as well as the parameter values. Extensive numerical examples are provided to compare and contrast our proposed partial hedging to the quantile hedging.
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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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Leung, Tim, and Matthew Lorig. "Optimal static quadratic hedging." Quantitative Finance 16, no. 9 (April 22, 2016): 1341–55. http://dx.doi.org/10.1080/14697688.2016.1161229.

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Lioui, Abraham, and Patrice Poncet. "Optimal currency risk hedging." Journal of International Money and Finance 21, no. 2 (April 2002): 241–64. http://dx.doi.org/10.1016/s0261-5606(01)00045-6.

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Alexander, C. "Optimal hedging using cointegration." Philosophical Transactions of the Royal Society of London. Series A: Mathematical, Physical and Engineering Sciences 357, no. 1758 (August 1999): 2039–58. http://dx.doi.org/10.1098/rsta.1999.0416.

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Kim, Hee Ho, and 김미 화. "Optimal Indirect Hedging and Price Conditions." Journal of Derivatives and Quantitative Studies 14, no. 1 (May 31, 2006): 61–88. http://dx.doi.org/10.1108/jdqs-01-2006-b0003.

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This study examines the indirect hedging strategy and its price ccndition against exchange risk for the export firms which can not directly hedge due to non-existence of appropriate futures market for the export market currency. The export firms would manipulate their mark-up rate as real hedging against exchange risk in the incomplete export market. Real options tend to reduce the uncertainty of an export profit curve in nonlinear manner and thus, substitute for the financial hedging. As a result, the optimal hedging strategy for the firms exporting to the incomplete market is an under hedge combining short futures and long put. The long put is a substitute with short futures and required to cover the nonlinear risk of export profit derived by real options. Indirect hedging would increase the expected profit by reducing risk, while a sufficient and necessary condition for the optimal indirect hedging depends on exchange volatility and a magnitude of put premium relative to an expected excercise loss.
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Lee, Cheng-Few, Kehluh Wang, and Yan Long Chen. "Hedging and Optimal Hedge Ratios for International Index Futures Markets." Review of Pacific Basin Financial Markets and Policies 12, no. 04 (December 2009): 593–610. http://dx.doi.org/10.1142/s0219091509001769.

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This empirical study utilizes four static hedging models (OLS Minimum Variance Hedge Ratio, Mean-Variance Hedge Ratio, Sharpe Hedge Ratio, and MEG Hedge Ratio) and one dynamic hedging model (bivariate GARCH Minimum Variance Hedge Ratio) to find the optimal hedge ratios for Taiwan Stock Index Futures, S&P 500 Stock Index Futures, Nikkei 225 Stock Index Futures, Hang Seng Index Futures, Singapore Straits Times Index Futures, and Korean KOSPI 200 Index Futures. The effectiveness of these ratios is also evaluated. The results indicate that the methods of conducting optimal hedging in different markets are not identical. However, the empirical results confirm that stock index futures are effective direct hedging instruments, regardless of hedging schemes or hedging horizons.
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Di Tella, Paolo, Martin Haubold, and Martin Keller-Ressel. "Semi-static variance-optimal hedging in stochastic volatility models with Fourier representation." Journal of Applied Probability 56, no. 3 (September 2019): 787–809. http://dx.doi.org/10.1017/jpr.2019.41.

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AbstractWe introduce variance-optimal semi-static hedging strategies for a given contingent claim. To obtain a tractable formula for the expected squared hedging error and the optimal hedging strategy we use a Fourier approach in a multidimensional factor model. We apply the theory to set up a variance-optimal semi-static hedging strategy for a variance swap in the Heston model, which is affine, in the 3/2 model, which is not, and in a market model including jumps.
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Arruda, Nelson, Alain Bergeron, and Mark Kritzman. "Optimal Currency Hedging: Horizon Matters." Journal of Alternative Investments 23, no. 4 (March 1, 2021): 122–30. http://dx.doi.org/10.3905/jai.2021.1.126.

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Dissertations / Theses on the topic "Optimal Hedging"

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Chen, Fei. "Essays on Optimal Hedging in Financial Markets." Thesis, University of Reading, 2010. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.533745.

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Xu, Weijun Banking &amp Finance Australian School of Business UNSW. "Optimal hedging strategy in stock index future markets." Awarded by:University of New South Wales. Banking & Finance, 2009. http://handle.unsw.edu.au/1959.4/43728.

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In this thesis we search for optimal hedging strategy in stock index futures markets by providing a comprehensive comparison of variety types of models in the related literature. We concentrate on the strategy that minimizes portfolio risk, i.e., minimum variance hedge ratio (MVHR) estimated from a range of time series models with different assumptions of market volatility. There are linear regression models assuming time-invariant volatility; GARCH-type models capturing time-varying volatility, Markov regime switching (MRS) regression models assuming state-varying volatility, and MRS-GARCH models capturing both time-varying and state-varying volatility. We use both Maximum Likelihood Estimation (MLE) and Bayesian Gibbs-Sampling approach to estimate the models with four commonly used index futures contracts: S&P 500, FTSE 100, Nikkei 225 and Hang Seng index futures. We apply risk reduction and utility maximization criterions to evaluate hedging performance of MVHRs estimated from these models. The in-sample results show that the optimal hedging strategy for the S&P 500 and the Hang Seng index futures contracts is the MVHR estimated using the MRS-OLS model, while the optimal hedging strategy for the Nikkei 225 and the FTSE 100 futures contracts is the MVHR estimated using the Asymmetric-Diagonal-BEKK-GARCH and the Asymmetric-DCC-GARCH model, respectively. As in the out-of sample investigation, the time-varying models such as the BEKK-GARCH models especially the Scalar-BEKK model outperform those state-varying MRS models in majority of futures contracts in both one-step- and multiple-step-ahead forecast cases. Overall the evidence suggests that there is no single model that can consistently produce the best strategy across different index futures contracts. Moreover, using more sophisticated models such as MRS-GARCH models provide some benefits compared with their corresponding single-state GARCH models in the in-sample case but not in the out-of-sample case. While comparing with other types of models MRS-GARCH models do not necessarily improve hedging efficiency. Furthermore, there is evidence that using Bayesian Gibbs-sampling approach to estimate the MRS models provides investors more efficient hedging strategy compared with the MLE method.
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Oosterhof, Casper Martijn. "Essays on corporate risk management and optimal hedging." [S.l. : [Groningen : s.n.] ; University Library Groningen] [Host], 2006. http://irs.ub.rug.nl/ppn/298196808.

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Li, Yanmin. "Optimal hedging under transaction costs and implied trees." Thesis, University of Warwick, 2003. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.418116.

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Kamgaing, Moyo Clinsort. "Optimal hedging under price, quantity and exchange rate uncertainty." Thesis, Massachusetts Institute of Technology, 1986. http://hdl.handle.net/1721.1/37696.

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Thesis (M.S.)--Massachusetts Institute of Technology, Sloan School of Management, 1986.
MICROFICHE COPY AVAILABLE IN ARCHIVES AND DEWEY
Bibliography: leaf 46.
by Moyo Clinsort Kamgaing.
M.S.
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Ndounkeu, Ludovic Tangpi. "Optimal cross hedging of Insurance derivatives using quadratic BSDEs." Thesis, Stellenbosch : Stellenbosch University, 2011. http://hdl.handle.net/10019.1/17950.

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Thesis (MSc)--Stellenbosch University, 2011.
ENGLISH ABSTRACT: We consider the utility portfolio optimization problem of an investor whose activities are influenced by an exogenous financial risk (like bad weather or energy shortage) in an incomplete financial market. We work with a fairly general non-Markovian model, allowing stochastic correlations between the underlying assets. This important problem in finance and insurance is tackled by means of backward stochastic differential equations (BSDEs), which have been shown to be powerful tools in stochastic control. To lay stress on the importance and the omnipresence of BSDEs in stochastic control, we present three methods to transform the control problem into a BSDEs. Namely, the martingale optimality principle introduced by Davis, the martingale representation and a method based on Itô-Ventzell’s formula. These approaches enable us to work with portfolio constraints described by closed, not necessarily convex sets and to get around the classical duality theory of convex analysis. The solution of the optimization problem can then be simply read from the solution of the BSDE. An interesting feature of each of the different approaches is that the generator of the BSDE characterizing the control problem has a quadratic growth and depends on the form of the set of constraints. We review some recent advances on the theory of quadratic BSDEs and its applications. There is no general existence result for multidimensional quadratic BSDEs. In the one-dimensional case, existence and uniqueness strongly depend on the form of the terminal condition. Other topics of investigation are measure solutions of BSDEs, notably measure solutions of BSDE with jumps and numerical approximations. We extend the equivalence result of Ankirchner et al. (2009) between existence of classical solutions and existence of measure solutions to the case of BSDEs driven by a Poisson process with a bounded terminal condition. We obtain a numerical scheme to approximate measure solutions. In fact, the existing self-contained construction of measure solutions gives rise to a numerical scheme for some classes of Lipschitz BSDEs. Two numerical schemes for quadratic BSDEs introduced in Imkeller et al. (2010) and based, respectively, on the Cole-Hopf transformation and the truncation procedure are implemented and the results are compared. Keywords: BSDE, quadratic growth, measure solutions, martingale theory, numerical scheme, indifference pricing and hedging, non-tradable underlying, defaultable claim, utility maximization.
AFRIKAANSE OPSOMMING: Ons beskou die nuts portefeulje optimalisering probleem van ’n belegger wat se aktiwiteite beïnvloed word deur ’n eksterne finansiele risiko (soos onweer of ’n energie tekort) in ’n onvolledige finansiële mark. Ons werk met ’n redelik algemene nie-Markoviaanse model, wat stogastiese korrelasies tussen die onderliggende bates toelaat. Hierdie belangrike probleem in finansies en versekering is aangepak deur middel van terugwaartse stogastiese differensiaalvergelykings (TSDEs), wat blyk om ’n onderskeidende metode in stogastiese beheer te wees. Om klem te lê op die belangrikheid en alomteenwoordigheid van TSDEs in stogastiese beheer, bespreek ons drie metodes om die beheer probleem te transformeer na ’n TSDE. Naamlik, die martingale optimaliteits beginsel van Davis, die martingale voorstelling en ’n metode wat gebaseer is op ’n formule van Itô-Ventzell. Hierdie benaderings stel ons in staat om te werk met portefeulje beperkinge wat beskryf word deur geslote, nie noodwendig konvekse versamelings, en die klassieke dualiteit teorie van konvekse analise te oorkom. Die oplossing van die optimaliserings probleem kan dan bloot afgelees word van die oplossing van die TSDE. ’n Interessante kenmerk van elkeen van die verskillende benaderings is dat die voortbringer van die TSDE wat die beheer probleem beshryf, kwadratiese groei en afhanglik is van die vorm van die versameling beperkings. Ons herlei ’n paar onlangse vooruitgange in die teorie van kwadratiese TSDEs en gepaartgaande toepassings. Daar is geen algemene bestaanstelling vir multidimensionele kwadratiese TSDEs nie. In die een-dimensionele geval is bestaan ââen uniekheid sterk afhanklik van die vorm van die terminale voorwaardes. Ander ondersoek onderwerpe is maatoplossings van TSDEs, veral maatoplossings van TSDEs met spronge en numeriese benaderings. Ons brei uit op die ekwivalensie resultate van Ankirchner et al. (2009) tussen die bestaan van klassieke oplossings en die bestaan van maatoplossings vir die geval van TSDEs wat gedryf word deur ’n Poisson proses met begrensde terminale voorwaardes. Ons verkry ’n numeriese skema om oplossings te benader. Trouens, die bestaande self-vervatte konstruksie van maatoplossings gee aanleiding tot ’n numeriese skema vir sekere klasse van Lipschitz TSDEs. Twee numeriese skemas vir kwadratiese TSDEs, bekendgestel in Imkeller et al. (2010), en gebaseer is, onderskeidelik, op die Cole-Hopf transformasie en die afknot proses is geïmplementeer en die resultate word vergelyk.
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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.

QC 20141121

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Savina, Oksana Yurievna. "On optimal hedging and redistribution of catastrophe risk in insurance." Thesis, London School of Economics and Political Science (University of London), 2008. http://etheses.lse.ac.uk/2041/.

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The purpose of the thesis is to analyse the management of various forms of risk that affect entire insurance portfolios and thus cannot be eliminated by increasing the number of policies, like catastrophes, financial market events and fluctuating insurance risk conditions. Three distinct frameworks are employed. First, we study the optimal design of a catastrophe-related index that an insurance company may use to hedge against catastrophe losses in the incomplete market. The optimality is understood in terms of minimising the remaining risk as proposed by Follmer and Schweizer. We compare seven hypothetical indices for an insurance industry comprising several companies and obtain a number of qualitative and formula-based results in a doubly stochastic Poisson model with the intensity of the shot-noise type. Second, with a view to the emergence of mortality bonds in life insurance and longevity bonds in pensions, the design of a mortality-related derivative is discussed in a Markov chain environment. We consider longevity in a scenario where specific causes of death are eliminated at random times due to advances in medical science. It is shown that bonds with payoff related to the individual causes of death are superior to bonds based on broad mortality indices, and in the presence of only one cause-specific derivative its design does not affect the hedging error. For one particular mortality bond linked to two causes of death, we calculate the hedging error and study its dependence on the design of the bond. Finally, we study Pareto-optimal risk exchanges between a group of insurance companies. The existing one-period theory is extended to the multiperiod and continuous cases. The main result is that every multiperiod or continuous Pareto-optimal risk exchange can be reduced to the one-period case, and can be constructed by pre-setting the ratios of the marginal utilities between the group members.
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Sayle, James Hughes. "Optimal hedging strategies for early-planted soybeans in the South." Master's thesis, Mississippi State : Mississippi State University, 2007. http://library.msstate.edu/etd/show.asp?etd=etd-06192007-141148.

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Kollar, Jozef. "Optimal Martingale measures and hedging in models driven by Levy processes." Thesis, Heriot-Watt University, 2011. http://hdl.handle.net/10399/2508.

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Our research falls into a broad area of pricing and hedging of contingent claims in incomplete markets. In the rst part we introduce the L evy processes as a suitable class of processes for nancial modelling purposes. This in turn causes the market to become incomplete in general and therefore the martingale measure for the pricing/hedging purposes has to be chosen by introducing some subjective criteria. We study several such criteria in the second section for a general stochastic volatility model driven by L evy process, leading to minimal martingale measure, variance-optimal, or the more general q-optimal martingale measure, for which we show the convergence to the minimal entropy martingale measure for q # 1. The martingale measures studied in the second section are put to use in the third section, where we consider various hedging problems in both martingale and semimartingale setting. We study locally risk-minimization hedging problem, meanvariance hedging and the more general p-optimal hedging, of which the meanvariance hedging is a special case for p = 2. Our model allows us to explicitly determine the variance-optimal martingale measure and the mean-variance hedging strategy using the structural results of Gourieroux, Laurent and Pham (1998) extended to discontinuous case by Arai (2005a). Assuming a Markovian framework and appealing to the Feynman-Kac theorem, the optimal hedge can be found by solving a three-dimensional partial integrodi erential equation. We illustrate this in the last section by considering the variance-optimal hedge of the European put option, and nd the solution numerically by applying nite di erence method.
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Books on the topic "Optimal Hedging"

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Vukina, Tomislaw. State-space forecasting approach to optimal intertemporal hedging. Kingston, R.I: University of Rhode Island, Dept. of Resource Economics, 1992.

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Vukina, Tomislaw. State-space forecasting approach to optimal intertemporal hedging. Kingston, R.I: University of Rhode Island, Dept. of Resource Economics, 1992.

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Deep, Akash. Optimal dynamic hedging using futures under a borrowing constraint. Basel, Switzerland: Bank for International Settlements, Monetary and Economic Dept., 2002.

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Harwood, Joy L. Year-specific estimation of optimal hedges for central Illinois soybean producers. Ithaca, N.Y: Dept. of Agricultural Economics, Cornell University Agricultural Experiment Station, New York State College of Agriculture and Life Sciences, Cornell University, 1987.

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Steil, Benn. Currency options and the optimal hedging of contingent foreign exchange exposure. Oxford: Nuffield College, 1992.

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Delaney, Brian. Dynamic hedging and time-varying optimal hedge ratio estimation with foreign currency futures. Dublin: University College Dublin, 1995.

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Qian, Ying. Optimal hedging strategy re-visited: Acknowledging the existence of non-stationary economic time series. [Washington, DC]: World Bank, International Economics Dept., International Trade Division, 1994.

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Thomas, Ted. A comprehensive approach to mortgage pipeline hedging: Using a variety of instruments for optimal hedge protection. Chicago (141 W. Jackson Blvd., Chicago 60604-2994): Chicago Board of Trade, 1999.

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Grant, Dwight. Optimal futures positions for corn and soybean growers facing price and yield risk. Washington, D.C: U.S. Dept. of Agriculture, Economic Research Service, 1989.

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Henry-Labordere, Pierre. Model-Free Hedging: A Martingale Optimal Transport Viewpoint. Taylor & Francis Group, 2017.

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Book chapters on the topic "Optimal Hedging"

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Chatterjee, Rupak. "Optimal Hedging Monte Carlo Methods." In Practical Methods of Financial Engineering and Risk Management, 195–236. Berkeley, CA: Apress, 2014. http://dx.doi.org/10.1007/978-1-4302-6134-6_5.

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Davis, Mark H. A. "Optimal Hedging with Basis Risk." In From Stochastic Calculus to Mathematical Finance, 169–87. Berlin, Heidelberg: Springer Berlin Heidelberg, 2006. http://dx.doi.org/10.1007/978-3-540-30788-4_8.

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Bernhard, Pierre, Jacob C. Engwerda, Berend Roorda, J. M. Schumacher, Vassili Kolokoltsov, Patrick Saint-Pierre, and Jean-Pierre Aubin. "Optimal Hedging Under Robust-Cost Constraints." In The Interval Market Model in Mathematical Finance, 65–77. New York, NY: Springer New York, 2012. http://dx.doi.org/10.1007/978-0-8176-8388-7_5.

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Röthig, Andreas. "Backwardation and Optimal Hedging Demand in an Expected Utility Hedging Model." In Lecture Notes in Economics and Mathematical Systems, 15–30. Berlin, Heidelberg: Springer Berlin Heidelberg, 2009. http://dx.doi.org/10.1007/978-3-642-01565-6_2.

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Lioui, Abraham, Pascal Nguyen Duc Trong, and Patrice Poncet. "Optimal Dynamic Hedging in Incomplete Futures Markets." In Financial Risk and Derivatives, 103–22. Dordrecht: Springer Netherlands, 1996. http://dx.doi.org/10.1007/978-94-009-1826-9_6.

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Windcliff, H., P. A. Forsyth, K. R. Vetzal, and W. J. Morland. "Simulations for Hedging Financial Contracts with Optimal Decisions." In Applied Optimization, 271–96. Boston, MA: Springer US, 2002. http://dx.doi.org/10.1007/978-1-4757-3613-7_14.

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Rémillard, Bruno, Alexandre Hocquard, Hugues Langlois, and Nicolas Papageorgiou. "Optimal Hedging of American Options in Discrete Time." In Springer Proceedings in Mathematics, 145–70. Berlin, Heidelberg: Springer Berlin Heidelberg, 2012. http://dx.doi.org/10.1007/978-3-642-25746-9_5.

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Skantze, Petter L., and Marija D. Ilic. "Optimal Futures Market Strategies for Energy Service Providers." In Valuation, Hedging and Speculation in Competitive Electricity Markets, 113–33. Boston, MA: Springer US, 2001. http://dx.doi.org/10.1007/978-1-4615-1701-6_7.

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Limperger, J. "Impacts of Hedging with Futures on Optimal Production Levels." In Studies in Classification, Data Analysis, and Knowledge Organization, 338–46. Berlin, Heidelberg: Springer Berlin Heidelberg, 2000. http://dx.doi.org/10.1007/978-3-642-57280-7_37.

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Rüschendorf, Ludger, and Viktor Wolf. "Construction and Hedging of Optimal Payoffs in Lévy Models." In Springer Proceedings in Mathematics & Statistics, 331–77. Cham: Springer International Publishing, 2016. http://dx.doi.org/10.1007/978-3-319-45875-5_16.

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Conference papers on the topic "Optimal Hedging"

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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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Fei, Fan, Junjie Liu, and Qiuhong Song. "Fuel Hedging and Optimal Energy Management." In 2019 IEEE International Conference on Energy Internet (ICEI). IEEE, 2019. http://dx.doi.org/10.1109/icei.2019.00089.

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Xiao, Bo, Wuguannan Yao, and Xiang Zhou. "Optimal Option Hedging with Policy Gradient." In 2021 International Conference on Data Mining Workshops (ICDMW). IEEE, 2021. http://dx.doi.org/10.1109/icdmw53433.2021.00145.

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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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Liang, Jianfeng, and Weiping Yang. "Optimal Hedging with Quantity Uncertanity and Agency Peoblem." In 2012 Fifth International Conference on Business Intelligence and Financial Engineering (BIFE). IEEE, 2012. http://dx.doi.org/10.1109/bife.2012.46.

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Kantor, J., and P. Mousaw. "Optimal hedging for flexible fuel energy conversion networks." In 2010 American Control Conference (ACC 2010). IEEE, 2010. http://dx.doi.org/10.1109/acc.2010.5531045.

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Yamada, Yuji. "Optimal hedging for multivariate derivatives based on additive models." In 2011 American Control Conference. IEEE, 2011. http://dx.doi.org/10.1109/acc.2011.5990828.

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Sato, K., Y. Yuji, and H. Fujioka. "Mean square optimal hedging with non-uniform rebalancing intervals." In SICE 2008 - 47th Annual Conference of the Society of Instrument and Control Engineers of Japan. IEEE, 2008. http://dx.doi.org/10.1109/sice.2008.4655205.

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Yamada, Yuji. "Optimal hedging of path-dependent basket options with additive models." In 2015 54th IEEE Conference on Decision and Control (CDC). IEEE, 2015. http://dx.doi.org/10.1109/cdc.2015.7402375.

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Hui, Rui, and Jay R. Lund. "Optimal Flood Pre-Releases—Flood Hedging for a Single Reservoir." In World Environmental and Water Resources Congress 2015. Reston, VA: American Society of Civil Engineers, 2015. http://dx.doi.org/10.1061/9780784479162.215.

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Reports on the topic "Optimal Hedging"

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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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Abstract:
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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