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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 & 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.
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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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Gupta, Alok. "A Bayesian approach to financial model calibration, uncertainty measures and optimal hedging." Thesis, University of Oxford, 2010. http://ora.ox.ac.uk/objects/uuid:6158b433-20b6-4f8b-9199-895ced574330.
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In this thesis we address problems associated with financial modelling from a Bayesian point of view. Specifically, we look at the problem of calibrating financial models, measuring the model uncertainty of a claim and choosing an optimal hedging strategy. Throughout the study, the local volatility model is used as a working example to clarify the proposed methods. This thesis assumes a prior probability density for the unknown parameter in a model we try to calibrate. The prior probability density regularises the ill-posedness of the calibration problem. Further observations of market prices are used to update this prior, using Bayes law, and give a posterior probability density for the unknown model parameter. Resulting Bayes estimators are shown to be consistent for finite-dimensional model parameters. The posterior density is then used to compute the Bayesian model average price. In tests on local volatility models it is shown that this price is closer than the prices of comparable calibration methods to the price given by the true model. The second part of the thesis focuses on quantifying model uncertainty. Using the framework for market risk measures we propose axioms for new classes of model uncertainty measures. Similar to the market risk case, we prove representation theorems for coherent and convex model uncertainty measures. Example measures from the latter class are provided using the Bayesian posterior. These are used to value the model uncertainty for a range of financial contracts priced in the local volatility model. In the final part of the thesis we propose a method for selecting the model, from a set of candidate models, that optimises the hedging of a specified financial contract. In particular we choose the model whose corresponding price and hedge optimises some hedging performance indicator. The selection problem is solved using Bayesian loss functions to encapsulate the loss from using one model to price and hedge when the true model is a different model. Linkages are made with convex model uncertainty measures and traditional utility functions. Numerical experiments on a stochastic volatility model and the local volatility model show that the Bayesian strategy can outperform traditional strategies, especially for exotic options.
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Turner, Peter Alistair. "Determining the Optimal Commodity and Hedge Ratio for Cross-Hedging Jet Fuel." Thesis, North Dakota State University, 2014. https://hdl.handle.net/10365/27250.
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Airlines are exposed to risks in swings in the price of jet fuel. While there are many different options that they can use to hedge this risk, airlines often underutilize them. This study establishes the minimum variance hedge ratio for an airline wishing to hedge with futures, while also establishing the best cross-hedging asset. Airlines hedging with futures would create the most effective hedge by using 3-month maturity contracts of heating oil. 3- Month maturity contracts are slightly more effective as hedging tools than the next month, but beyond the 3-Month veil, increased maturity makes heating oil less effective as a cross hedging tool.Upper Great Plains Transportation Institute (UGPTI)
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Mironenko, Georgy. "Problem of hedging of a portfolio with a unique rebalancing moment." Thesis, Högskolan i Halmstad, Tillämpad matematik och fysik (MPE-lab), 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:hh:diva-17357.
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The paper deals with the problem of finding an optimal one-time rebalancing strategy for the Bachelier model, and makes some remarks for the similar problem within Black-Scholes model. The problem is studied on finite time interval under mean-square criterion of optimality. The methods of the paper are based on the results for optimal stopping problem and standard mean-square criterion. The solution of the problem, considered in the paper, let us interpret how and - that is more important for us -when investor should rebalance the portfolio, if he wants to hedge it in the best way.
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Ng, Desmond Siew Wai. "Nonlinear Pricing in Discrete-time under Default and Optimal Collateral." Thesis, The University of Sydney, 2018. http://hdl.handle.net/2123/19637.
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This thesis addresses a re-examination of the classical no-arbitrage pricing theory of mathematical finance through Backward Stochastic Difference Equations (BSdEs), their extensions and connections to Nonlinear Evaluations and Generalized Game Contingent Claims (GGCCs). A theory is developed in discrete-time encompassing the nonlinear features introduced into the pricing and hedging problems stemming from three salient features prevalent in modern day derivatives markets; nonlinear differential funding, default and collateralization. Their implications upon the arbitrage-free nature of market models and the nonlinear pricing of contingent claims is examined. A common arbitrage-free framework encompassing all three features, including an endogenous method for the determination of optimal collateral is presented in discrete-time.
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Goutte, Stéphane. "Variance optimal hedging in incomplete market for processes with independant increments and applications to electricity market." Paris 13, 2010. http://www.theses.fr/2010PA132041.
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La thèse porte sur une décomposition explicite de Föllmer-Schweizer et d'une classe importante d'actifs conditionnels lorsque le cours du sous-jacent est un processus à accroissements indépendants ou une exponentielle de tels processus. Ceci permet de mettre en oeuvre un algorithme efficace pour établir des stratégies optimales dans le cadre de la couverture quadratique. Ces résultats ont été implémentés dans le cadre du marché de l'électricitéThe thesis focuses on an explicit decomposition Föllmer-Schweizer and an important class of contingent assets when the price of the underlying is a process with independent increments (PII) or exponential PII process. This allows to provide an efficient algorithm for solving the mean variance hedging problem. Applications to models derived from the electricity market are performed
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Bénézet, Cyril. "Study of numerical methods for partial hedging and switching problems with costs uncertainty." Thesis, Université de Paris (2019-....), 2019. http://www.theses.fr/2019UNIP7079.
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Nous apportons dans cette thèse quelques contributions à l’étude théorique et numérique de certains problèmes de contrôle stochastique, ainsi que leurs applications aux mathématiques financières et à la gestion des risques financiers. Ces applications portent sur des problématiques de valorisation et de couverture faibles de produits financiers, ainsi que sur des problématiques réglementaires. Nous proposons des méthodes numériques afin de calculer efficacement ces quantités pour lesquelles il n’existe pas de formule explicite. Enfin, nous étudions les équations différentielles stochastiques rétrogrades liées à de nouveaux problèmes de switching, avec incertitude sur les coûtsIn this thesis, we give some contributions to the theoretical and numerical study to some stochastic optimal control problems, and their applications to financial mathematics and risk management. These applications are related to weak pricing and hedging of financial products and to regulation issues. We develop numerical methods in order to compute efficiently these quantities, when no closed formulae are available. We also study backward stochastic differential equations linked to some new switching problems, with costs uncertainty
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Wanntorp, Henrik. "Optimal Stopping and Model Robustness in Mathematical Finance." Doctoral thesis, Uppsala : Department of Mathematics, Uppsala University, 2008. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-9516.
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Chevallier, Julien. "The European carbon market (2005-2007): banking, pricing and risk hedging strategies." Diss., University of Paris 10, 2008. http://hdl.handle.net/10919/71614.
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This thesis investigates the market rules of the European carbon market (EU ETS) during 2005-2007. We provide theoretical and empirical analyses of banking and borrowing provisions, price drivers and risk hedging strategies attached to tradable quotas, which were introduced to cover the CO2 emissions of around 10,600 installations in Europe.In Chapter 1, we outline the economic and environmental effects of banking and borrowing on tradable permits markets. More specifically, we examine the banking and borrowing provisions adopted in the EU ETS, and the effects of banning banking between Phases I and II on CO2 price changes. We show statistically that the low levels of CO2 prices recorded until the end of Phase I may be explained by the restriction on the inter-period tranfer of allowances, besides the main explanations that were identified by market observers.In Chapter 2, we identify the carbon price drivers since the launch of the EU ETS on January 1, 2005. We emphasize the central role played by the 2005 yearly compliance event imposed by the European Commission in revealing the net short/long position at the installation level in terms of allowances allocated with respect to verified emissions. The main result of this study features that price drivers of CO2 allowances linked to energy market prices and unanticipated weather events vary around institutional events. Moreover, we show the influence of the variation of industrial production in three sectors covered by the EU ETS on CO2 price changes by applying a disentangling analysis, that has also been extended at the country-level.In Chapter 3, we focus on the risk hedging strategies linked to holding CO2 allowances. By using a methodology applied on stock markets, we recover the changes in investors' average risk aversion. This study shows that, during the time period considered, risk aversion has been higher on the carbon market than on the stock market, and that the risk is linked to an increasing price structure after the 2006 compliance event. With reference to Chapter 1, we finally evaluate how banking may be used as a risk management tool in order to cope with political uncertainty on a tradable permits market. We detail an optimal risk-sharing rule, and discuss the possibility of pooling the risk linked to allowance trading between agents.Overall, this thesis highlights the inefficiencies following the creation of the European carbon market that prevented the emergence of a price signal leading to effective emissions reductions by industrials. However, in a changing institutional environment, these inefficiencies do not seem to have been transfered to the period 2008-2012.
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Haglund, Fredrik, and Svensson Johan. "The volatility race in Commodities : The optimal hedge ratio in Copper, Gold, Oil and Cotton." Thesis, Jönköping University, JIBS, Business Administration, 2005. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-88.
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Introduction: Companies that are dependent on different commodities as input or output are exposed to price risk in these commodities. The price changes can be expressed as volatility and higher volatility results in higher risk. Hedging the commodity contracts with futures can offset this risk. One of the most important questions in this field is to what extent the risk exposure should be hedged with futures contract, i.e. the optimal hedge ratio.
Purpose: The study aims to conduct an analysis of the variance in different commodities contracts and provide evidence of the optimal hedge ratio in the respective commodities.
Method: We used a quantitative study with daily spot and futures price changes of Copper, Gold, Cotton and Oil. We investigated the 6-month hedging behaviour where timeseries were created for the period January-June each year during 2001-2004. We used a simple linear regression of the futures and spot price changes and a minimum variance model in order to calculate the optimal hedge ratio.
Conclusion: Companies that are dependent on Copper, Gold, Cotton and Oil can significantly reduce the risk by engaging in futures contracts. The optimal hedge ratio for Copper is (96%), Gold (52%), Cotton (96%) and Oil (88%). By applying the optimal hedge ratio, a company may reduce their risk exposure up to 90% compared to an unhedged position.
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Martines-Filho, Joao G. "Pre-harvest marketing strategies for corn and soybeans: a comparison of optimal hedging models and market advisory service recommendations." The Ohio State University, 1996. http://rave.ohiolink.edu/etdc/view?acc_num=osu1248380053.
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Martines, Filho João Gomes. "Pre-harvest marketing strategies for corn and soybeans : a comparison of optimal hedging models and market advisory service recommendations /." The Ohio State University, 1996. http://rave.ohiolink.edu/etdc/view?acc_num=osu1487936356160445.
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Leite, Gustavo Ribas de Almeida. "Hedge de crédito através de equity: uma análise empírica com uso de ativos corporativos brasileiros." reponame:Repositório Institucional do FGV, 2011. http://hdl.handle.net/10438/9777.
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This paper aims to analyze the results of an operation to hedge a diversified credit portfolio through the use of equity. Initially, a reference to the main theoretical aspects of this dissertation with their definitions and literature review will be made. Furthermore, there will be an explanation about the basic parameters of the selection of the sample used and the period during which such protection strategy will be implemented.
Este trabalho tem como objetivo analisar os resultados de uma operação de hedge de um diversificado portfólio de crédito de empresas brasileiras através do uso de ativos de equity. Inicialmente, faz-se uma alusão aos principais aspectos teóricos da presente dissertação com suas definições e revisão bibliográfica. Posteriormente, são apresentados os parâmetros básicos da seleção da amostra utilizada e do período durante o qual tal estratégia de proteção será implementada.
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Browning, Alexander P. "Model complexity in biology and bioengineering." Thesis, Queensland University of Technology, 2022. https://eprints.qut.edu.au/227787/1/Alexander_Browning_Thesis.pdf.
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In biology and bioengineering, mathematical and statistical analysis provides an understanding of biological systems that enables their control and manipulation. Tailoring mathematical and experimental complexity to the biological question of interest is crucial to avoid issues relating to parameter identifiability. We develop models and tools to bring new data-based insights to a range of contemporary problems in biology and bioengineering. These include data-focused stochastic models that describe complex cell interactions and decision making, incorporating biological systems into new engineered materials, and new tools to diagnose parameter identifiability and guide model complexity for stochastic differential equation models.
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DOLDI, ALESSANDRO. "EQUILIBRIUM, SYSTEMIC RISK MEASURES AND OPTIMAL TRANSPORT: A CONVEX DUALITY APPROACH." Doctoral thesis, Università degli Studi di Milano, 2021. http://hdl.handle.net/2434/812668.
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This Thesis focuses on two main topics. Firstly, we introduce and analyze the novel concept of Systemic Optimal Risk Transfer Equilibrium (SORTE), and we progressively generalize it (i) to a multivariate setup and (ii) to a dynamic (conditional) setting. Additionally we investigate its relation to a recently introduced concept of Systemic Risk Measures (SRM). We present Conditional Systemic Risk Measures and study their properties, dual representation and possible interpretations of the associated allocations as equilibria in the sense of SORTE. On a parallel line of work, we develop a duality for the Entropy Martingale Optimal Transport problem and provide applications to problems of nonlinear pricing-hedging. The mathematical techniques we exploit are mainly borrowed from functional and convex analysis, as well as probability theory. More specifically, apart from a wide range of classical results from functional analysis, we extensively rely on Fenchel-Moreau-Rockafellar type conjugacy results, Minimax Theorems, theory of Orlicz spaces, compactness results in the spirit of Komlós Theorem. At the same time, mathematical results concerning utility maximization theory (existence of optima for primal and dual problems, just to mention an example) and optimal transport theory are widely exploited.
The notion of SORTE is inspired by the Bühlmann's classical Equilibrium Risk Exchange (H. Bühlmann, "The general economic premium principle", Astin Bulletin, 1984). In both the Bühlmann and the SORTE definition, each agent is behaving rationally by maximizing his/her expected utility given a budget constraint. The two approaches differ by the budget constraints. In Bühlmann's definition the vector that assigns the budget constraint is given a priori. In the SORTE approach, on the contrary, the budget constraint is endogenously determined by solving a systemic utility maximization problem. SORTE gives priority to the systemic aspects of the problem, in order to first optimize the overall systemic performance, rather than to individual rationality. Single agents' preferences are, however, taken into account by the presence of individual optimization problems. The two aspects are simultaneously considered via an optimization problem for a value function given by summation of single agents' utilities. After providing a financial and theoretical justification for this new idea, in this research sufficient general assumptions that guarantee existence, uniqueness, and Pareto optimality of such a SORTE are presented.
Once laid the theoretical foundation for the newly introduced SORTE, this Thesis proceeds in extending such a notion to the case when the value function to be optimized has two components, one being the sum of the single agents' utility functions, as in the aforementioned case of SORTE, the other consisting of a truly systemic component. This marks the progress from SORTE to Multivariate Systemic Optimal Risk Transfer Equilibrium (mSORTE). Technically, the extension of SORTE to the new setup requires developing a theory for multivariate utility functions and selecting at the same time a suitable framework for the duality theory. Conceptually, this more general setting allows us to introduce and study a Nash Equilibrium property of the optimizers. Existence, uniqueness, Pareto optimality and the Nash Equilibrium property of the newly defined mSORTE are proved in this Thesis. Additionally, it is shown how mSORTE is in fact a proper generalization, and covers both from the conceptual and the mathematical point of view the notion of SORTE.
Proceeding further in the analysis, the relations between the concepts of mSORTE and SRM are investigated in this work. The notion of SRM we start from was introduced in the papers "A unified approach to systemic risk measures via acceptance sets" (Math. Finance, 2019) and "On fairness of systemic risk measures" (Finance Stoch., 2020) by F. Biagini, J.-P. Fouque, M. Frittelli, and T. Meyer-Brandis. SRM of Biagini et al. are generalized in this Thesis to a dynamic (namely conditional) setting, adding also a systemic, multivariate term in the threshold functions that Biagini et al. consider in their papers. The dynamic version of mSORTE is introduced, and it is proved that the optimal allocations of dynamic SRM, together with the corresponding fair pricing measures, yield a dynamic mSORTE. This in particular remains true if conditioning is taken with respect to the trivial sigma algebra, which is tantamount to working in the non-dynamic setting covered in Biagini et al. for SRM, and in the previous parts of our work for mSORTE. The case of exponential utility functions is thoroughly examined, and the explicit formulas we obtain for this specific choice of threshold functions allow for providing a time consistency property for allocations, dynamic SRM and dynamic mSORTE.
The last part of this Thesis is devoted to a conceptually separate topic. Nonetheless, a clear mathematical link between the previous work and the one we are to describe is established by the use of common techniques. A duality between a novel Entropy Martingale Optimal Transport (EMOT) problem (D) and an associated optimization problem (P) is developed. In (D) the approach taken in Liero et al. (M. Liero, A. Mielke, and G. Savaré, "Optimal entropy-transport problems and a new Hellinger-Kantorovich distance between positive measures", Inventiones mathematicae, 2018) serves as a basis for adding the constraint, typical of Martingale Optimal Transport (MOT) theory, that the infimum of the cost functional is taken over martingale probability measures, instead of finite positive measures, as in Liero et al.. The Problem (D) differs from the corresponding problem in Liero et al. not only by the martingale constraint, but also because we admit less restrictive penalization terms D, which may not have a divergence formulation. In Problem (P) the objective functional, associated via Fenchel conjugacy to the terms D, is not any more linear, as in Optimal Transport or in MOT. This leads to a novel optimization problem which also has a clear financial interpretation as a non linear subhedging value. Our results in this Thesis establish a novel nonlinear robust pricing-hedging duality in financial mathematics, which covers a wide range of known robust results in its generality.
The research for this Thesis resulted in the production of the following works: F. Biagini, A. Doldi, J.-P. Fouque, M. Frittelli, and T. Meyer-Brandis, "Systemic optimal risk transfer equilibrium", Mathematics and Financial Economics, 2021; A. Doldi and M. Frittelli, "Multivariate Systemic Optimal Risk Transfer Equilibrium", Preprint: arXiv:1912.12226, 2019; A. Doldi and M. Frittelli, "Conditional Systemic Risk Measures", Preprint: arXiv:2010.11515, 2020; A. Doldi and M. Frittelli, "Entropy Martingale Optimal Transport and Nonlinear Pricing-Hedging Duality", Preprint: arXiv:2005.12572, 2020.
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Júnior, José César Cruz. "Modelo de razão de hedge ótima e percepção subjetiva de risco nos mercados futuros." Universidade de São Paulo, 2009. http://www.teses.usp.br/teses/disponiveis/11/11132/tde-05082009-075152/.
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O objetivo deste trabalho foi investigar motivos pelos quais os produtores brasileiros de boi gordo e milho fazem relativamente pouco uso dos mercados futuros como ferramenta de gerenciamento de risco de preços. Duas abordagens diferentes foram apresentadas na pesquisa. Para o mercado de boi gordo, onde a presença de hedgers parece ser maior, um modelo de razão de hedge ótima alternativo ao tradicional modelo de mínima variância foi utilizado. O modelo alternativo faz uso de uma função de utilidade com aversão relativa ao risco constante para modelar as preferências dos indivíduos. Esta abordagem é considerada mais realista, por permitir que o nível absoluto de aversão ao risco se altere com a riqueza. Além disso, uma medida de downside risk e o relaxamento das hipóteses do modelo tradicional de mínima variância foram adicionados na análise. De acordo com os resultados, quando consideradas a possibilidade de se realizar investimento em um ativo alternativo ao mercado agropecuário, e a presença de custos de transação, o incentivo ao hedge se reduz acentuadamente. A utilização de uma medida alternativa de risco colaborou para esta redução, que foi mais acentuada para indivíduos menos aversos ao risco. Isto pode ser concluído observando-se que as razões de hedge ótimas, obtidas através da maximização da utilidade esperada dos indivíduos, foram, em grande parte, inferiores àquelas obtidas pelo modelo tradicional. Além disso, na maior parte dos casos, a utilização das razões de hedge ótimas alternativas mostrou-se mais eficiente que a obtida pelo modelo tradicional, pois possibilitou a obtenção de maiores razões retorno/risco no período selecionado para teste. Para o mercado de milho, um questionário foi aplicado a 90 produtores no sul e centro-oeste do Brasil. O questionário teve o objetivo de verificar se existem sinais de excesso de confiança nos preços por parte dos produtores de milho entrevistados. Adicionalmente, perguntas sobre o conhecimento do mercado futuro na BM&FBOVESPA foram também apresentadas. Em relação a este último tema, a maior parte dos produtores respondeu que conhece sobre o mercado futuro na bolsa brasileira, mas não fazem uso do mesmo. O principal motivo apontado pelos produtores foi não possuir informação suficiente sobre os mercados futuros. Associado a este resultado, descobriu-se que existe pouco incentivo para que os produtores realizem proteção de preços da produção, pois, para a maior parte dos entrevistados, as variâncias subjetivas de preços foram significativamente inferiores às variâncias dos preços históricos no mercado físico e futuro. Este resultado permitiu concluir que o excesso de confiança nos preços pode ser considerado uma explicação alternativa para o baixo uso dos mercados futuros como ferramenta de gestão de risco de preços. Como conclusões gerais, ações que visem promover reduções de custos de transação no mercado futuro e uma maior divulgação dos benefícios desta importante ferramenta na redução de risco de preços devem ser mais exploradas pela BM&FBOVESPA. Além disso, a promoção do maior conhecimento a respeito de como se negociar nesse mercado pode ser também uma boa estratégia para se fazer com que um maior número de produtores passe a negociar nesse mercado.This research aimed to investigate the significant underuse of futures markets as a risk management tool by Brazilian live cattle and corn producers. To this end, the paper used two different approaches. In the live cattle market, where there appears a higher participation of hedgers trading, an alternative hedge ratio model was used instead of the standard minimum variance model. The alternative model uses a constant relative risk aversion utility function to model individual preferences. This approach is considered more realistic as use of the constant relative risk aversion utility function allows for the absolute level of risk aversion to change with wealth. In addition, a downside risk measure was introduced and certain restrictive assumptions to the minimum variance model were relaxed. According to the results, when the possibility of investment in an alternative asset and transaction costs are considered, the incentive to hedge is dramatically reduced. The use of an alternative risk measure also proved important to this reduction, which was higher for less risk averse individuals. This conclusion may be drawn after observing that the optimal hedge ratios obtained from the expected utility maximization are, in most cases, lower than those obtained by the standard model. Moreover, in most cases the use of alternative optimal hedge ratios provides higher return/risk ratios during the test period. For the corn market, a survey questionnaire was conducted of ninety producers in South and Central- West Brazil. The survey was conducted in order to verify the presence of overconfidence in prices among corn producers. The survey also asked questions regarding their knowledge of futures markets at BM&FBOVESPA. Most respondents answered that while they know about futures markets at the Brazilian board of trade, they do not trade on it because they do not have enough information about trading. The results also revealed that there is a low incentive for producers to hedge their production in futures markets because for most producers, subjective price variances are significantly lower than the variance of historical futures and spot prices. Given the results, one may conclude that the overconfidence effect in prices can be considered an alternative explanation to the low use of futures markets as a price risk management tool. Furthermore, actions which promote transaction costs reductions and promote the benefits to producers of using this important risk management tool while trading in the futures markets must be more carefully explored by the BM&FBOVESPA. Moreover, promoting knowledge of trading in futures markets may likely be a successful strategy for the wider adoption of futures trading among corn and live cattle producers.
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Laachir, Ismail. "Quantification of the model risk in finance and related problems." Thesis, Lorient, 2015. http://www.theses.fr/2015LORIS375/document.
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L’objectif central de la thèse est d’étudier diverses mesures du risque de modèle, exprimées en terme monétaire, qui puissent être appliquées de façon cohérente à une collection hétérogène de produits financiers. Les deux premiers chapitres traitent cette problématique, premièrement d’un point de vue théorique, ensuite en menant un étude empirique centrée sur le marché du gaz naturel. Le troisième chapitre se concentre sur une étude théorique du risque dit de base (en anglais basis risk). Dans le premier chapitre, nous nous sommes intéressés à l’évaluation de produits financiers complexes, qui prend en compte le risque de modèle et la disponibilité dans le marché de produits dérivés basiques, appelés aussi vanille. Nous avons en particulier poursuivi l’approche du transport optimal (connue dans la littérature) pour le calcul des bornes de prix et des stratégies de sur (sous)-couverture robustes au risque de modèle. Nous reprenons en particulier une construction de probabilités martingales sous lesquelles le prix d’une option exotique atteint les dites bornes de prix, en se concentrant sur le cas des martingales positives. Nous mettons aussi en évidence des propriétés significatives de symétrie dans l’étude de ce problème. Dans le deuxième chapitre, nous approchons le problème du risque de modèle d’un point de vue empirique, en étudiant la gestion optimale d’une unité de gaz naturel et en quantifiant l’effet de ce risque sur sa valeur optimale. Lors de cette étude, l’évaluation de l’unité de stockage est basée sur le prix spot, alors que sa couverture est réalisée avec des contrats à termes. Comme mentionné auparavant, le troisième chapitre met l’accent sur le risque de base, qui intervient lorsque l’on veut couvrir un actif conditionnel basé sur un actif non traité (par exemple la température) en se servant d’un portefeuille constitué d’actifs traités sur le marché. Un critère de couverture dans ce contexte est celui de la minimisation de la variance qui est étroitement lié à la décomposition dite de Föllmer-Schweizer. Cette décomposition peut être déduite de la résolution d’une certaine équation différentielle stochastique rétrograde (EDSR) dirigée par une martingale éventuellement à sauts. Lorsque cette martingale est un mouvement brownien standard, les EDSR sont fortement associées aux EDP paraboliques semi linéaires. Dans le cas général nous formulons un problème déterministe qui étend les EDPs mentionnées. Nous appliquons cette démarche à l’important cas particulier de la décomposition de Föllmer-Schweizer, dont nous donnons des expressions explicites de la décomposition du payoff d’une option lorsque les sous-jacents sont exponentielles de processus additifsThe main objective of this thesis is the study of the model risk and its quantification through monetary measures. On the other hand we expect it to fit a large set of complex (exotic) financial products. The first two chapters treat the model risk problem both from the empirical and the theoretical point of view, while the third chapter concentrates on a theoretical study of another financial risk called basis risk. In the first chapter of this thesis, we are interested in the model-independent pricing and hedging of complex financial products, when a set of standard (vanilla) products are available in the market. We follow the optimal transport approach for the computation of the option bounds and the super (sub)-hedging strategies. We characterize the optimal martingale probability measures, under which the exotic option price attains the model-free bounds; we devote special interest to the case when the martingales are positive. We stress in particular on the symmetry relations that arise when studying the option bounds. In the second chapter, we approach the model risk problem from an empirical point of view. We study the optimal management of a natural gas storage and we quantify the impact of that risk on the gas storage value. As already mentioned, the last chapter concentrates on the basis risk, which is the risk that arises when one hedges a contingent claim written on a non-tradable but observable asset (e.g. the temperature) using a portfolio of correlated tradable assets. One hedging criterion is the mean-variance minimization, which is closely related to the celebrated Föllmer-Schweizer decomposition. That decomposition can be deduced from the resolution of a special Backward Stochastic Differential Equations (BSDEs) driven by a càdlàg martingale. When this martingale is a standard Brownian motion, the related BSDEs are strongly related to semi-linear parabolic PDEs. In that chapter, we formulate a deterministic problem generalizing those PDEs to the general context of martingales and we apply this methodology to discuss some properties of the Föllmer-Schweizer decomposition. We also give an explicit expression of such decomposition of the option payoff when the underlying prices are exponential of additives processes
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CHAU, NGOC HUY. "A Study Of Arbitrage Opportunities In Financial Markets Without Martingale Measures." Doctoral thesis, Università degli studi di Padova, 2016. http://hdl.handle.net/11577/3424250.
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This Ph.D. thesis consists of four dependent chapters and is devoted to a systematic study of arbitrage opportunities, with particular attention to general and incomplete market models with cadlag semimartingales.
In Chapter 1, we state our motivation, and then briefly review the theory of no arbitrage, and the previous studies of arbitrage opportunities in the literature. We introduce a general framework, which will be used throughout this dissertation. We discuss no-arbitrage conditions, utility optimization problems and recall results from the literature. Finally, we state three research questions and summarize new results.
Chapter 2 solves the problem of finding arbitrages when investors are heterogeneous in the sense that their beliefs correspond to non-equivalent probabilities. Optimal arbitrage profit and the corresponding strategy are carefully investigated by techniques of non-equivalent measure changes. We also discuss the financial
implications of this study and give some meaningful examples. In contrast to typical Brownian models in which arbitrages (if exist) are fragile, some of our arbitrage examples are shown to be robust if market’s frictions such as transaction costs and model misspecification are taken into account.
In Chapter 3, we study the problem of optimal investment with the possibility of intermediate consumption and stochastic field utility. We show that the no unbounded profit with bounded risk condition suffices to establish the key duality relations of utility maximization.
In Chapter 4, we investigate insider trading activities. Suppose that there exists an insider, who has access to some private information at the beginning of trading. Financial mathematics uses the terminology ”initial enlargement of filtration” to explain this circumstance. We first consider the problem of logarithmic utility optimization for the insider. We are able to characterize the insider’s expected utility by duality method and hence give a new sufficient condition for the condition no unbounded profit with bounded risk. Thanks to the tools of non-equivalent measure changes in Chapter 2, we compute the superhedging price of any claim in the view of the insider and examine the question of optimal arbitrage profit.La presente tesi di dottorato è costituita da quattro capitoli tra loro dipendenti ed è dedicata allo studio sistematico di opportunità d’arbitraggio, con particolare attenzione a modelli di mercato generali e incompleti, in presenza di semimartingale cadlag. Nel Capitolo 1 sono riportate le motivazioni al presente lavoro di ricerca, insieme ad un breve riepilogo della teoria del non arbitraggio e della letteratura riguardante le opportunita di arbitraggio. Introduciamo nozioni e concetti generali, che saranno utilizzati ovunque nella tesi. Discutiamo condizioni di non arbitraggio e problemi di ottimizzazione dell’utilità, richiamando risultati noti in letteratura. Infine, enunciamo tre problemi aperti e riassumiamo i risultati nuovi ottenuti nella tesi. Nel Capitolo 2 forniamo una soluzione al problema di determinare arbitraggi quando gli investitori sono eterogenei, nel senso che le loro aspettative sono descritte tramite misure di probabilità non equivalenti. Il profitto derivante da un arbitraggio ottimale e la corrispondente strategia sono studiati attentamente per mezzo di tecniche legate al cambio di misura non equivalente. Discutiamo inoltre le implicazioni finanziarie di tale studio e forniamo alcuni esempi significativi. Contrariamente a quanto accade nei modelli browniani, in cui gli arbitraggi (se esistono) sono “fragili”, alcuni degli arbitraggi forniti nei nostri esempi sono robusti quando le frizioni del mercato, come i costi di transazione oppure l’errata specificazione del modello (“model misspecification”), sono presi in considerazione. Nel Capitolo 3 studiamo il problema di investimento ottimale con possibilita di consumo intertemporale. Mostriamo che la condizione ”no unbounded profit with bounded risk” è sufficiente a stabilire le relazioni di dualità fondamentali per la massimizzazione dell’utilità. Nel Capitolo 4 analizziamo le attivita di ”insider trading”. Supponiamo che esista un insider, il quale ha accesso ad alcune informazioni private nel momento in cui inizia l’attivita di trading. In finanza matematica si utilizza la terminologia ”allargamento iniziale della filtrazione” per denotare questa circostanza. Consideriamo innanzitutto il problema di ottimizzazione con utilità logaritmica per un insider. Siamo in grado di caratterizzare l’utilità attesa dell’insider attraverso il metodo di dualità e, quindi, di fornire una nuova condizione sufficiente per ”no unbounded profit with bounded risk”. Grazie alle tecniche di cambio di misura non equivalente presentate nel Capitolo 2, calcoliamo il prezzo ”superhedging” per l’insider di qualsiasi prodotto derivato ed esaminiamo il profitto derivante da un arbitraggio ottimale.
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Engström, Daniel, and Niklas Gustafsson. "Swedish Equity Sectors Risk Management with Commodities : Revisiting dynamic conditional correlations and hedge ratios." Thesis, Linköpings universitet, Nationalekonomi, 2017. http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-139040.
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The purpose of this study is to investigate changes in dynamic conditional correlations between Swedish equity sector indices and commodities using oil, gold, copper and a general commodity index. Additionally the purpose is to evaluate which of the two methods, DCC- GARCH or GO-GARCH that is more efficient in estimating correlation for hedge ratio calculation. Daily data on the FTSE30 index of Sweden and its sector indices have been studied between the years 1994 and 2017. A DCC-GARCH (1,1) and GO-GARCH (1,1) model with one autoregressive term AR(1) using multivariate Student t- and Multivariate Affine Negative Inverse Gaussian distribution were used to estimate conditional correlations. Correlations between Swedish FTSE30, its sector indices and commodities are considerably lower than previous research has found American or emerging markets correlation with commodities to be. This suggests better diversification opportunities with commodities for the Swedish market. Optimal hedge ratios (OHR) was calculated and back tested using a rolling window analysis with 1000 days forecast length and 20 days re-estimation window and evaluated using a calculated hedge effectiveness index (HE). Determined by HE, copper is the best hedge for the Swedish composite FTSE30 and sector indices using conditional correlation from the GO-GARCH during the data period. Gold is considered as a semi-strong safe haven due to its negative correlation with all sectors. Additionally, this study identifies a temporarily large increase in the correlation between the Swedish equities sectors and composite index with commodities around the years 2015/2016. This study also emphasizes the difference between stressful and calm periods in the market.
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GONZATO, LUCA. "Application of Sequential Monte Carlo Methods to Dynamic Asset Pricing Models." Doctoral thesis, Università degli Studi di Milano-Bicocca, 2020. http://hdl.handle.net/10281/295144.
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In questa tesi si considera l’applicazione di metodi Monte Carlo sequenziali per modelli di asset pricing di tipo dinamico. Il primo capitolo della tesi presenta una panoramica generale sui metodi Monte Carlo sequenziali. Nello specifico, partendo da metodi Monte Carlo standard si giunge fino allo stato dell’arte per quanto riguarda i metodi Monte Carlo sequenziali.
Il secondo capitolo costituisce una review della letteratura sui metodi di simulazione esatta per processi di Hawkes. Dall’analisi svolta si evince che lo schema proposto da Dassios e Zaho (2013) performa meglio degli altri algoritmi, incluso il più noto metodo “thinning” proposto da Ogata (1981). Questo capitolo serve inoltre come introduzione ai processi di salto di tipo auto eccitante, che saranno oggetto di studio del Capitolo 3.
Nel terzo capitolo, quindi, viene proposto un nuovo modello diffusivo con salti auto eccitati per descrivere la dinamica del prezzo del petrolio. Il modello viene stimato implementando una recente metodologia di tipo Monte Carlo sequenziale utilizzando dati spot e futures. Dalla stima viene confermata la presenza di salti auto eccitati nel mercato del petrolio; questo conduce ad un migliore adattamento del modello ai dati e a migliori performance in termini di previsione dei futures rispetto ad un modello con intensità costante. Inoltre, vengono calcolate e discusse due strategie di copertura ottimali basate sul trading di contratti futures. La prima strategia è basata sulla minimizzazione della varianza, mentre la seconda tiene in considerazione anche la skewness. Viene infine proposto un confronto tra le due strategie in termini di efficacia della copertura
Nel quarto capitolo si considera la stima di modelli a volatilità stocastica a tempo continuo basati su processi di Wishart, osservando portafogli di opzioni come in Orlowski (2019). In questo contesto la funzione di verosimiglianza non è nota esplicitamente, quindi verrà stimata ricorrendo a metodi Monte Carlo sequenziali. A questo proposito, i processi latenti vengono marginalizzati e la stima della verosimiglianza viene effettuata adattando metodi Monte Carlo sequenziali “controllati”, recentemente proposti da Heng et. Al. (2019). Dai risultati numerici si mostra come la metodologia proposta dia risultati decisamente migliori rispetto a metodi standard. Pertanto, l’elevata stabilità della metodologia proposta permetterà di costruire algoritmi per la stima congiunta di processi latenti e parametri utilizzando un approccio Bayesiano. Quest’ultimo step si traduce nel costruire un così detto SMC sampler, il quale è attualmente in fase di studio.In this thesis we consider the application of Sequential Monte Carlo (SMC) methods to continuous-time asset pricing models. The first chapter of the thesis gives a self-contained overview on SMC methods. In particular, starting from basic Monte Carlo techniques we move to recent state of the art SMC algorithms. In the second chapter we review existing methods for the exact simulation of Hawkes processes. From our analysis we infer that the simulation scheme of Dassios and Zaho (2013) outperforms the other algorithms, including the most popular thinning method proposed by Ogata (1980). This chapter serves also as introduction to self-exciting jump processes, which are the subject of Chapter 3. Hence, in the third chapter we propose a new self-exciting jump diffusion model in order to describe oil price dynamics. We estimate the model by applying a state of the art SMC sampler on both spot and futures data. From the estimation results we find evidence of self-excitation in the oil market, which leads to an improved fit and a better out of sample futures forecasting performance with respect to jump-diffusion models with constant intensity. Furthermore, we compute and discuss two optimal hedging strategies based on futures trading. The optimality of the first hedging strategy proposed is based on the variance minimization, while the second strategy takes into account also the third-order moment contribution in considering the investors attitudes. A comparison between the two strategies in terms of hedging effectiveness is provided. Finally, in the fourth chapter we consider the estimation of continuous-time Wishart stochastic volatility models by observing portfolios of weighted options as in Orlowski (2019). In this framework we don't know the likelihood in closed-form; then we aim to estimate it using SMC techniques. To this end, we marginalize latent states and perform marginal likelihood estimation by adapting the recently proposed controlled SMC algorithm (Heng et. Al. 2019). From the numerical experiments we show that the proposed methodology gives much better results with respect to standard filtering techniques. Therefore, the great stability of our SMC method opens the door for effective joint estimation of latent states and unknown parameters in a Bayesian fashion. This last step amounts to design an SMC sampler based on a pseudo-marginal argument and is currently under preparation.
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Tran, Quoc-Tran. "Some contributions to financial market modelling with transaction costs." Thesis, Paris 9, 2014. http://www.theses.fr/2014PA090036/document.
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Cette thèse traite plusieurs problèmes qui se posent pour les marchés financiers avec coûts de transaction et se compose de quatre parties.On commence, dans la première partie, par une étude du problème de couverture approximative d’une option Européenne pour des marchés de volatilité locale avec coûts de transaction proportionnelles.Dans la seconde partie, on considère le problème de l’optimisation de consommation dans le modèle de Kabanov, lorsque les prix sont conduits par un processus de Lévy.Dans la troisième partie, on propose un modèle général incluant le cas de coûts fixes et coûts proportionnels. En introduisant la notion de fonction liquidative, on étudie le problème de sur-réplication d’une option et plusieurs types d’opportunités d’arbitrage.La dernière partie est consacrée à l’étude du problème de maximisation de l’utilité de la richesse terminale d’une portefeuille sous contraintes de risqueThis thesis deals with different problems related to markets with transaction costs and is composed of four parts.In part I, we begin with the study of assymptotic hedging a European option in a local volatility model with bid-ask spread.In part II, we study the optimal consumption problem in a Kabanov model with jumps and with default risk allowed.In part III, we sugest a general market model defined by a liquidation procès. This model is more general than the models with both fixed and proportional transaction costs. We study the problem of super-hedging an option, and the arbitrage theory in this model.In the last part, we study the utility maximization problem under expected risk constraint
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Bego, Marcelo da Silva. "Three essays on agricultural markets." reponame:Repositório Institucional do FGV, 2017. http://hdl.handle.net/10438/18066.
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Esta tese apresenta três ensaios que investigam três questões relevantes sobre mercados agrícolas: escolha de hedge dos agricultores; imposto ótimo do governo; e reações do governo à volatilidade dos preços. O primeiro ensaio preenche uma lacuna teórica provando que agricultores mais ricos fazem mais hedge que agricultores menos ricos. O segundo ensaio examina imposto ótimo do governo e mostra como políticas do governo de Ramsey competem com o mercado financeiro. O terceiro ensaio mostra o efeito da casualidade da volatilidade dos preços nos subsídios do governo utilizando dados do mercado de trigo dos Estados Unidos. Ele também mostra que o governo reage a volatilidade dos preços, principalmente, quando preços estão baixos o suficiente, e as reações acontecem independente do plano agrícola.
This dissertation presents three essays that investigate three relevant issues about agricultural markets: farmers’ choice of hedge; government optimal taxation; and government farm program reactions to price volatility. First essay fills a theoretical gap showing that high profitable farmers hedge more than low profitable farmers. Second essay examines government optimal taxation and shows how Ramsey government policies compete with financial markets. The third essay shows the causality from price volatility to government subsidies using US wheat market data. It also shows that government reacts to price volatility, mainly, when prices are low enough, despite the farm program design.
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Pískatá, Petra. "Vliv nejistoty modelů projektů na investiční rozhodování." Doctoral thesis, Vysoké učení technické v Brně. Fakulta stavební, 2020. http://www.nusl.cz/ntk/nusl-433595.
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This doctoral thesis widely analyses the process of investment decision-making. In its individual parts, it researches models used for planning, analysing and evaluation of investments projects, but also models used for final decision about realization of the investment. Investing activity is present in world economic cycle in all it’s phases. Capital sources used for financing if the investment projects are scarce and must be handled with care. For this reason, there are many supportive methodologies and models employed in managing of the investments as well as instruments developed to miti-gate the potential project risks. However, even utilization of these instruments and models can’t guarantee the expected results. There are uncertainties, errors and in-accuracies in the process that can thwart investment decisions. The aim of the thesis is to analyse the investment decision-making process (from the initial idea to the realization of the investment project) and to identify the main un-certainties – factors influencing the success / error rate of models for investment project planning as well as the decision on their realization. The main outcome of the thesis is an overview of these factors and recommenda-tions on how to work with these factors and make the process as effective as possi-ble. Another output is an analysis and recommendations for the use of financing sources and mix of the instruments that should be used to mitigate the potential impact of risks that are connected to all investment projects.
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Boukrami, Othmane. "Les effets de la diversification sur le risque de change non couvert par les marchés financiers : estimation de la rentabilité du portefeuille dans un système d'informatio optimal." Thesis, Lyon 3, 2011. http://www.theses.fr/2011LYO30024.
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Dans les conditions actuelles du marché, les entreprises dans les pays émergeants ont le choix entre une dette à court terme en monnaie locale et un financement à long terme en devise forte provenant de sources internationales pour financer leurs investissements à long terme. Ceci crée un gap de taux ou de change. Cette thèse se situe dans la continuité des travaux de recherche qui ont déjà étudié la question de la diversification des risques de change dans les marchés financiers matures. A la différence des approches existantes, cette recherche se concentre sur les monnaies des pays émergeants pour lesquels il n’existe pas ou peu d’instruments de couverture du risque de change et de taux. Le modèle proposé repose sur une conception fondamentalement différente des modèles de risque existants, cherchant à atténuer les risques internes grâce à la diversification du portefeuille, plutôt que par l’adéquation entre l'offre et la demande. Ceci en étudiant à la fois les corrélations entre les monnaies des pays des marchés émergeants constituées dans un portefeuille composé de monnaies des pays africains, asiatiques, sud-américains et d’Europe de l’Est ainsi que l’effet de la diversification sur la réduction du risque de marché. Le choix des monnaies n’a pas une incidence significative sur les résultats du moment que les limites régionales proposées sont respectées. L’objectif principal de cette thèse est de contribuer à la spécification et à l’identification d’un modèle de diversification des risques tout en démontrant que la constitution d’un portefeuille diversifié et non couvert des produits dérivés de change sur les monnaies des marchés émergents est une activité lucrative à long terme. En s’appuyant sur un Système d’Information performant, le model proposé tente de démontrer l’effet qu’auraient de tels produits de couverture sur la réduction du risque de crédit de l’emprunteur et par conséquent celui des bailleurs de fonds. Afin d’atteindre cet objectif, les différents risques liés à ces activités ont été définis tout en choisissant les méthodes pour une gestion efficace de ces risques ainsi que la modélisation d’expositions hypothétiques créées par cette activité. L’impact de la réduction de l’exposition au risque de marché par l’usage des produits de couverture du risque de change et de taux, sur le risque de crédit des entreprises dans les pays émergeants a aussi été modélisé. Les résultats de la simulation proposée montrent qu’une gestion optimale des risques de changes et de taux générés, à travers l’offre de couvertures sur les monnaies des pays émergeants, peut être une activité lucrative pour les banques car l’atténuation des risques peut se faire en diversifiant efficacement le portefeuilleIn current market conditions, companies in emerging markets have the choice between a short-term debt in local currency and a long-term hard currency financing from international sources to finance their long-term investments. This practice would create either an interest rate gap or a currency gap. As an extent of previous researches and studies covering the question of currency risks diversification in mature financial markets, this thesis is quite distinctive from the existing literature as it focuses on emerging market currencies for which there are little or no hedging options of currency and interest rate risks. The proposed model is based on a fundamentally different approach from existing risk models, seeking to mitigate risks internally through portfolio diversification, rather than by matching supply and demand. This, by analyzing both correlations between emerging market currencies in a portfolio composed of African, Asian, South American and Eastern Europe currencies and the effect of diversification on market risk reduction. The main objective of this thesis is to contribute to the specification and the identification of a risk diversification model while demonstrating that the establishment of a diversified portfolio of emerging market currencies not covered by the commercial banks is a lucrative business over the long-term. With an efficient information system, the proposed model attempts to demonstrate the effect that such hedging products would have on reducing the credit risk of borrowers and hence the lenders. To achieve this aim, the different risks associated with these activities have been identified while choosing the methods for their effective management as well as the modeling of hypothetical exposures created by this activity. The impact of reducing market risk exposure through the usage of interest rate and currency hedging products on the credit risk rating of companies in emerging countries has also been modeled. The current research claims that the choice of currencies does not significantly impact the results as long as the proposed regional limits are respected. The simulation’ results show that managing a diversified currency portfolio under an optimal risk management guidelines can be a lucrative business for banks as the risk mitigation can be effectively done through portfolio diversification
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Santos, Filipe Caldeira. "Measuring hedging performance of futures for non main european indices." Master's thesis, Instituto Superior de Economia e Gestão, 2019. http://hdl.handle.net/10400.5/17665.
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Mestrado em FinançasA atividade de cobertura de risco na ausência de liquidez nos mercados de contratos de futuros e de opções financeiras implica ou a utilização de instrumentos "Over-the-Counter" assumindo-se o risco de contra-parte associado, ou em alternativa a aplicação de técnicas de cobertura de risco indiretas, "cross-hedging", implicando nesta caso risco de correlação. Esta temática é de extrema importância para os "index-trackers" que necessitam de cobrir o risco das suas exposições na situação em que não existem contratos de futuros relevantes (como é o caso dos correspondentes aos índices ASE, BEL20 e CYSMMAPA). Mesmo quando estes contratos existem, os insuficientes níveis de liquidez (como é o caso dos índices ATX e PSI20) tornam a cobertura de risco por esta via não eficiente, especialmente no "hedging" de curto-prazo. Consequentemente nestes casos, a cobertura de risco indireta normalmente definida como "cross-hedging", pode ser uma alternativa viável. Esta dissertação estuda a eficiência da aplicação de técnicas de "cross-hedging" na cobertura de risco de carteiras que integram Índices Europeus (alguns dos não principais) utilizando contratos de futuros mais líquidos, isto é, os que existem sobre os principais índices europeus. Concluímos que nos casos estudados a eficiência da cobertura de risco indireta depende da técnica de "cross-hedging" aplicada bem como da medida de eficiência utilizada. Adicionalmente testa-se empiricamente a hipótese explicativa entre os resultados encontrados e a integração das economias respetivas.
The exercise of hedging in the absence of a liquid futures or options market requires either the use of over-the-counter contracts with counterparty risk, or the practice of cross-hedging with mature and liquid contracts associated with correlation risk. This is a significant issue for index trackers that need to hedge their exposure while facing no relevant futures contract on the underlying stock index they are long (such as ASE,BEL20, and CYSMMAPA). Even if they exist, the severe illiquidity of these contracts (such as the ones written on ATX and PSI20) turns the exercise of opening and closing positions on a short period of time, into higher troubles than the simple speculation. Therefore, cross-hedging could with stock index futures on other markets be a possible solution. This thesis explores the goodness of cross-hedging in Europe for non-main stock indices using liquid contracts written on the main European indices. We found that the hedging performance depends on the hedging technique under scope as well as on the hedging effectiveness measure undertaken. We also hypothesize if the findings are related with the economic integration of the economies in the cross-hedge exercise.
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Römmich, Michael [Verfasser], and Rainer [Akademischer Betreuer] Elschen. "Optimale Produktions- und Hedging-Entscheidungen auf dem Großhandelsmarkt für Strom / Michael Römmich ; Betreuer: Rainer Elschen." Duisburg, 2018. http://d-nb.info/115438585X/34.
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Hamdi, Haykel. "Théorie des options et fonctions d'utilité : stratégies de couverture en présence des fluctuations non gaussiennes." Thesis, Paris 2, 2011. http://www.theses.fr/2011PA020006/document.
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L'approche traditionnelle des produits dérivés consiste, sous certaines hypothèses bien définies, à construire des stratégies de couverture à risque strictement nul. Cependant,dans le cas général ces stratégies de couverture "parfaites" n'existent pas,et la théorie doit plutôt s'appuyer sur une idée de minimisation du risque. Dans ce cas, la couverture optimale dépend de la quantité du risque à minimiser. Dans lecadre des options, on considère dans ce travail une nouvelle mesure du risque vial'approche de l'utilité espérée qui tient compte, à la fois, du moment d'ordre quatre,qui est plus sensible aux grandes fluctuations que la variance, et de l'aversion aurisque de l'émetteur d'une option vis-à-vis au risque. Comparée à la couverture endelta, à l'optimisation de la variance et l'optimisation du moment d'ordre quatre,la stratégie de couverture, via l'approche de l'utilité espérée, permet de diminuer lasensibilité de la couverture par rapport au cours du sous-jacent. Ceci est de natureà réduire les coûts des transactions associéesThe traditional approach of derivatives involves, under certain clearly defined hypothesis, to construct hedging strategies for strictly zero risk. However, in the general case these perfect hedging strategies do not exist, and the theory must be rather based on the idea of risk minimization. In this case, the optimal hedging strategy depends on the amount of risk to be minimized. Under the options approach, we consider here a new measure of risk via the expected utility approach that takes into account both, the moment of order four, which is more sensitive to fluctuations than large variance, and risk aversion of the investor of an option towards risk. Compared to delta hedging, optimization of the variance and maximizing the moment of order four, the hedging strategy, via the expected utilitiy approach, reduces the sensitivy of the hedging approach reported in the underlying asset price. This is likely to reduce the associated transaction costs
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Johnson, Larry A. "A comparison of optimum grain hedging strategies using commodity options and futures contracts: an application of portfolio theory." Diss., Virginia Polytechnic Institute and State University, 1986. http://hdl.handle.net/10919/49803.
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Bilarev, Todor. "Feedback Effects in Stochastic Control Problems with Liquidity Frictions." Doctoral thesis, Humboldt-Universität zu Berlin, 2018. http://dx.doi.org/10.18452/19592.
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In dieser Arbeit untersuchen wir mathematische Modelle für Finanzmärkte mit einem großen Händler, dessen Handelsaktivitäten transienten Einfluss auf die Preise der Anlagen haben.
Zuerst beschäftigen wir uns mit der Frage, wie die Handelserlöse des großen Händlers definiert werden sollen. Wir identifizieren die Erlöse zunächst für absolutstetige Strategien als nichtlineares Integral, in welchem sowohl der Integrand als der Integrator von der Strategie abhängen.
Unserere Hauptbeiträge sind hier die Identifizierung der Skorokhod M1 Topologie als geeigneter Topologue auf dem Raum aller Strategien sowie die stetige Erweiterung der Definition für die Handelserlöse von absolutstetigen auf cadlag Kontrollstrategien.
Weiter lösen wir ein Liquidierungsproblem in einem multiplikativen Modell mit Preiseinfluss, in dem die Liquidität stochastisch ist. Die optimale Strategie wird beschrieben durch die Lokalzeit für Reflektion einer Diffusion an einer nicht-konstanten Grenze. Um die HJB-Variationsungleichung zu lösen und Optimalität zu beweisen, wenden wir probabilistische Argumente und Methoden aus der Variationsrechnung an, darunter Laplace-Transformierte von Lokalzeiten für Reflektion an elastischen Grenzen.
In der zweiten Hälfte der Arbeit untersuchen wir die Absicherung (Hedging) für Optionen. Der minimale Superhedging-Preis ist die Viskositätslösung einer semi-linearen partiellen Differenzialgleichung, deren Nichtlinearität von dem transienten Preiseinfluss abhängt.
Schließlich erweitern wir unsere Analyse auf Hedging-Probleme in Märkten mit mehreren riskanten Anlagen. Stabilitätsargumente führen zu strukturellen Bedingungen, welche für ein arbitragefreies Modell mit wechselseitigem Preis-Impakt gelten müssen. Zudem ermöglichen es jene Bedingungen, die Erlöse für allgemeine Strategien unendlicher Variation in stetiger Weise zu definieren. Als Anwendung lösen wir das Superhedging-Problem in einem additiven Preis-Impakt-Modell mit mehreren Anlagen.In this thesis we study mathematical models of financial markets with a large trader (price impact models) whose actions have transient impact on the risky asset prices. At first, we study the question of how to define the large trader's proceeds from trading. To extend the proceeds functional to general controls, we ask for stability in the following sense: nearby trading activities should lead to nearby proceeds. Our main contribution in this part is to identify a suitable topology on the space of controls, namely the Skorokhod M1 topology, and to obtain the continuous extension of the proceeds functional for general cadlag controls. Secondly, we solve the optimal liquidation problem in a multiplicative price impact model where liquidity is stochastic. The optimal control is obtained as the reflection local time of a diffusion process reflected at a non-constant free boundary. To solve the HJB variational inequality and prove optimality, we need a combination of probabilistic arguments and calculus of variations methods, involving Laplace transforms of inverse local times for diffusions reflected at elastic boundaries. In the second half of the thesis we study the hedging problem for a large trader. We solve the problem of superhedging for European contingent claims in a multiplicative impact model using techniques from the theory of stochastic target problems. The minimal superhedging price is identified as the unique viscosity solution of a semi-linear pde, whose nonlinearity is governed by the transient nature of price impact. Finally, we extend our consideration to multi-asset models. Requiring stability leads to strong structural conditions that arbitrage-free models with cross-impact should satisfy. These conditions turn out to be crucial for identifying the proceeds functional for a general class of strategies. As an application, the problem of superhedging with cross-impact in additive price impact models is solved.
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Mrázková, Eva. "Approximations in Stochastic Optimization and Their Applications." Doctoral thesis, Vysoké učení technické v Brně. Fakulta strojního inženýrství, 2010. http://www.nusl.cz/ntk/nusl-233932.
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Mnoho inženýrských úloh vede na optimalizační modely s~omezeními ve tvaru obyčejných (ODR) nebo parciálních (PDR) diferenciálních rovnic, přičemž jsou v praxi často některé parametry neurčité. V práci jsou uvažovány tři inženýrské problémy týkající se optimalizace vibrací a optimálního návrhu rozměrů nosníku. Neurčitost je v nich zahrnuta ve formě náhodného zatížení nebo náhodného Youngova modulu. Je zde ukázáno, že dvoustupňové stochastické programování nabízí slibný přístup k řešení úloh daného typu. Odpovídající matematické modely, zahrnující ODR nebo PDR omezení, neurčité parametry a více kritérií, vedou na (vícekriteriální) stochastické nelineární optimalizační modely. Dále je dokázáno, pro jaký typ úloh je nutné použít stochastické programování (EO reformulace), a kdy naopak stačí řešit jednodušší deterministickou úlohu (EV reformulace), což má v praxi význam z hlediska výpočetní náročnosti. Jsou navržena výpočetní schémata zahrnující diskretizační metody pro náhodné proměnné a ODR nebo PDR omezení. Matematické modely odvozené pomocí těchto aproximací jsou implementovány a řešeny v softwaru GAMS. Kvalita řešení je určena na základě intervalových odhadů "optimality gapu" spočtených pomocí metody Monte Carlo. Parametrická analýza vícekriteriálního modelu vede na výpočet "efficient frontier". Jsou studovány možnosti aproximace modelu zahrnujícího pravděpodobnostní členy související se spolehlivostí pomocí smíšeného celočíselného nelineárního programování a reformulace pomocí penalizační funkce. Dále je vzhledem k budoucím možnostem paralelních výpočtů rozsáhlých inženýrských úloh implementován a testován PHA algoritmus. Výsledky ukazují, že lze tento algoritmus použít, i když nejsou splněny matematické podmínky zaručující konvergenci. Na závěr je pro deterministickou verzi jedné z úloh porovnána metoda konečných diferencí s metodou konečných prvků za použití softwarů GAMS a ANSYS se zcela srovnatelnými výsledky.
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Chou, Ting-Hsuan, and 周庭萱. "Optimal Variance Hedging in Discrete Time." Thesis, 2015. http://ndltd.ncl.edu.tw/handle/3q52pw.
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Lin, Chih-Yuan, and 林治源. "Optimal Hedging Strategies under Transactions Costs." Thesis, 1999. http://ndltd.ncl.edu.tw/handle/41586736113345023321.
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碩士淡江大學
財務金融學系
87
We only consider costs proportional to the value of the transaction, in which case we find that the optimal hedging strategy is not to rehedge until the stock position moves out of line by a certain amount. Then, the position is rehedge as little as possible to keep the delta at the edge of this hedging bandwith. So the hedging bandwith and the optimal hedging points coincide. We compared the four strategies of ( 1 ) rehedging at fixed intervals, ( 2 ) rehedging at fixed movements in the delta, ( 3 ) rehedging at fixed intervals + hedging bandwith, ( 4 ) rehedging at fixed movements in the delta + hedging bandwith. Despite the different criteria, we found that the hedging strategies with a bandwith was the best. Because the sharpe index is much larger. And the different volatility estimations, historical volatility and GMM volatility, can not influence the use of a bandwith.
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Hsiao, Wen Chi, and 蕭文麒. "The Optimal Hedging Strategies Of International Investments." Thesis, 1992. http://ndltd.ncl.edu.tw/handle/40987543725288619204.
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Chang, Wen-Han, and 張文翰. "Optimal Risk Measures and Their Hedging Effectiveness." Thesis, 2003. http://ndltd.ncl.edu.tw/handle/63946548756641100785.
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碩士淡江大學
財務金融學系
91
There are many downside risk measures proposed in the literatures, such as variance, lower partial moment（LPM）, Value-at-risk（VaR） and expected shortfall（ES）. Each of these risk measures has its own appealing as well as disadvantages. The difference of hedging strategies using these risk measures is an empirical issue. The purpose of this study is therefore to evaluate the hedging effectiveness among these risk measures. Historical method and Monte Carlo simulation are applied to estimate the parameters needed for each risk measures. S&P 500 stock index futures are employed. The sample period is from 1998/01/01 to 2002/12/31. To distinguish the impacts of bull and bear markets, we further divide the sample period into two sub periods, which are from 1998/01/01 to 2000/06/30 and from 2000/07/01 to 2002/12/31. Empirical evidences report that, in general, the hedge ratio derived from minimum variance strategy outperforms the hedge ratios from the other three hedging strategies. Moreover, when comparing VaR with ES, ES is better than VaR under Monte Carlo simulation, which, in turn, suggests that we should include more downside data.
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Suh-Jen, Chen, and 陳素珍. "OPTIMAL HEDGE RATIO OF HEDGING DOWNSIDE RISK." Thesis, 1999. http://ndltd.ncl.edu.tw/handle/82413856635719149509.
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碩士國立臺灣大學
國際企業學研究所
87
One of the major functions of derivative instruments is risk reduction. A long-standing tradition in the finance literature treated the risk with a two-sided notion. Standard deviation or variance are employed to measure risk. However, in fact corporate managers are more concerned with downside risk, the variability in losses. An appropriate measure of the downside risk is lower partial moment (LPM). The thesis construct a bivariate APARCH-M model for the spot and futures returns and derives the time-varying LPM hedge ratio. The purpose of the thesis is to compare the LPM hedge ratio with the traditional minimum variance (MV) hedge ratio. The method is applied to the MSCI Taiwan Index Futures traded in the Singapore International Monetary Exchange (SIMEX). For the futures series, the settlement prices of the nearest contract are used. For the spot series, the closing index values are used. Our data consist of daily observations of the spot and futures prices from July 2, 1997 through March 30, 1999. Thus, the data set consists of 477 daily observations. The conclusions of the study are presented as follows： 1. Both the spot and futures series are not stationary. However, further analysis reveals that the spot and futures series have stationary properties as the first difference. 2. The spot and futures series have the cointegration relationship, so we have to add the error correction term into APARCH-M model. Besides, both the series have ARCH effect. 3. Both the LPM hedge ratio and MV hedge ratio are time-varying. When compared to the MV hedge ratio, we found that the largest difference appears when the order of the lower partial moment is small and the target return is positive and large. When the target return is 1.5%, and the order is 1, the LPM ratio has the largest mean and standard deviation.
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Chen, Chen-Yen, and 陳甄燕. "Reexamine optimal hedging strategy based on ARJI model." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/74727152686113597234.
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碩士淡江大學
財務金融學系碩士在職專班
100
This study is to conduct hedging the cash markets of the S&P 500 index futures, COMEX gold futures of U.S. Chicago Mercantile Exchange (CME) and NTMEX West Texas crude oil futures. The study period is taken from January 1, 2001 as of December 31, 2011. Measurement methods of different hedge performance, including variance and semi-variance, VaR, etc. will be applied to estimate OLS, CCC-GARCH, DCC-GARCH, and out-of-sample hedge performance of CCC-GARCH and DCC-GARCH and other hedge models adjusted by using ARJI. The results shown that the daily or weekly hedge performance of S&P 500 or West Texas Crude oil before the adjustment is more excellent than that after the adjustment, which is not consistent with the results of Hyde, Nguyen and Poon (2008). The possible reason is that the study object is stock investment group and the numbers of estimated capitals are many—index of MSCI 34 different countries, which has lower relevance. The results obtained on the hedge of gold are in consistent with the results of Hyde, Nguyen and Poon (2008). Both the daily and weekly hedge performance are better than those before the adjustment. In addition, day by day hedge policy and weekly hedge policy have no big difference.If the investors care more about the downside risk, and apply weekly hedge policy, the models being adjusted will provide better hedge performance for those investors before the adjustment.
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CHUNG, WEI-SHIH, and 鍾緯世. "Optimal Hedging and Jump Process in Stock Markets." Thesis, 2019. http://ndltd.ncl.edu.tw/handle/6b52vf.
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博士大葉大學
管理學院博士班
107
With the wide usage of high frequency financial data, constructing an observable proxy for latent volatility has become possible nowadays. Meanwhile, extreme asset price changes (so-called jumps) can have an impact on volatility. Using a risk–return equilibrium approach toward financial decision making, both hedging and the jump effect need to be considered when recommending wise stock investments. Therefore, this dissertation engages a comprehensive literature review of optimal hedging and jump process-related issues. Then, I develop a copula-based heterogeneous autoregressive model of realized volatility (cHAR-RV) and a three-state jump-recovering-switching (JRS) model to investigate the hedging effect and jump behavior using empirical stock futures market data. The empirical results indicate that when cHAR-RV model was used to compare and contrast with the traditional OLS model, the in-sample data produced a 10.65% and out-of-sample data with 11.02 of hedging effect improvement. In contrast, when JRS model was used to test five Asian stock futures markets’ jump behavior, Taiwan market has the shortest duration lengths, lowest magnitudes, and lowest recovering rates, whereas the Korean market had the opposite results. We conclude that the cHAR-RV model tends to better reflect reality and can produce the optimal hedging effect. The three-state JRS model can estimate critical jump measures. Finally, a joint risk–return recommendation is proposed for investments in the Taiwanese stock market. Although this study is preliminary, it proves useful for probing stock market volatility and further research would be worthwhile.
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田玲菱. "A Study on ETF Portfolio and Optimal Hedging Strategy." Thesis, 2005. http://ndltd.ncl.edu.tw/handle/99092756726424382938.
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Wang, Shaio-Tien, and 王曉恬. "Optimal Currency Hedging Overlay Strategies for Taiwan’s Pension Fund." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/05420857299778120015.
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碩士國立臺灣大學
財務金融學研究所
95
In this paper, we are trying to determine the optimal currency hedging overlay strategies for Taiwanese pension funds. Markowitz Mean-Variance model and Williams Maximum Probability Approach are used to construct a spot position as the hedging subject. Then, we apply the conventional hedging effectiveness as well as Sharpe ratio to analyze the efficiency of single contract and multiple contracts overlay strategies. We discover that dynamic hedge under minimum-variance model is the most efficient based on risk reduction. Secondly, the hedging effectiveness of dual and triple overlay strategies are greater than the other strategies based on risk-adjusted performance. Finally, the hedging effectiveness for a longer duration is found to be more efficient than a shorter one.
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Wu, Jian-Tai, and 吳建泰. "Drought index based optimal hedging rules for Shihmen reservoir." Thesis, 2004. http://ndltd.ncl.edu.tw/handle/73979757351364387725.
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碩士淡江大學
水資源及環境工程學系
92
Droughts are inevitable phenomena of the climate on earth. Initiation and termination of droughts are unpredictable, water supplies from reservoirs are unstable during droughts. It is often to accept a series of smaller shortages to mitigate the negative impacts caused by a sudden high percentage shortage. It is aimed to derive the optimal hedging rules for a water supply reservoir in this study. Water rationing mechanism depends on drought indicators. Two types of hedging are considered in this study. The first type of hedging uses drought indicators solely, namely, initiation, termination of hedging and amount of water rationing are determined by the drought indicators. The second type of hedging employs the storage and drought indicators to determine hedging or not. When water stored in reservoir sufficient to meet the established demand, no hedging is initiated even though the drought indicators indicating an impending drought. The standardized precipitation index, developed by McKee et al. (1993), is used in this study as an indicator to determine hedging or not. Various time-scale SPIs are used to monitor the drought condition. When SPI below a specific threshold, water rationing is initiated. Reservoir performance is evaluated by shortage characteristics. Two shortage indices, shortage ratio and maximum one-month shortage ratio, are considered in this study. Multi-objective compromise programming is employed to derive the optimal hedging rules for minimizing these two conflicting objectives simultaneously. Simplified Shihmen reservoir system is used as an example to illustrate the proposed methodology. The results indicate that the optimal first type of hedging uses 3-month time scale to calculate SPI, the starting hedging SPI of 1.0, and the maximum hedging amount of 60%, which resulting in shortage ratio of 12.62% and the maximum one-month shortage ratio of 48.06%. The optimal second type of hedging uses 173.15 million m3 and SPI of 3.0 as the hedging thresholds, and the maximum hedging amount of 50%, which resulting in shortage ratio of 11.29% and the maximum one-month shortage ratio of 47.38%.
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Wang, Shaio-Tien. "Optimal Currency Hedging Overlay Strategies for Taiwan's Pension Fund." 2007. http://www.cetd.com.tw/ec/thesisdetail.aspx?etdun=U0001-2407200722160800.
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