Letteratura scientifica selezionata sul tema "Hedging Finance"
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Articoli di riviste sul tema "Hedging Finance"
Hamdi, Haykel, e Jihed Majdoub. "Risk-sharing finance governance: Islamic vs conventional indexes option pricing". Managerial Finance 44, n. 5 (14 maggio 2018): 540–50. http://dx.doi.org/10.1108/mf-05-2017-0199.
Testo completoStentoft, Lars. "Computational Finance". Journal of Risk and Financial Management 13, n. 7 (4 luglio 2020): 145. http://dx.doi.org/10.3390/jrfm13070145.
Testo completoRoig Hernando, Jaume. "Humanizing Finance by Hedging Property Values". Journal of Risk and Financial Management 9, n. 2 (10 giugno 2016): 5. http://dx.doi.org/10.3390/jrfm9020005.
Testo completoTSUZUKI, YUKIHIRO. "ON OPTIMAL SUPER-HEDGING AND SUB-HEDGING STRATEGIES". International Journal of Theoretical and Applied Finance 16, n. 06 (settembre 2013): 1350038. http://dx.doi.org/10.1142/s0219024913500386.
Testo completoBuehler, H., L. Gonon, J. Teichmann e B. Wood. "Deep hedging". Quantitative Finance 19, n. 8 (21 febbraio 2019): 1271–91. http://dx.doi.org/10.1080/14697688.2019.1571683.
Testo completoMadan, Dilip B. "Adapted hedging". Annals of Finance 12, n. 3-4 (9 novembre 2016): 305–34. http://dx.doi.org/10.1007/s10436-016-0282-8.
Testo completoKorn, Olaf, e Marc Oliver Rieger. "Hedging with regret". Journal of Behavioral and Experimental Finance 22 (giugno 2019): 192–205. http://dx.doi.org/10.1016/j.jbef.2019.03.002.
Testo completoBates, David S. "Hedging the smirk". Finance Research Letters 2, n. 4 (dicembre 2005): 195–200. http://dx.doi.org/10.1016/j.frl.2005.08.004.
Testo completoCong, Jianfa, Ken Seng Tan e Chengguo Weng. "VAR-BASED OPTIMAL PARTIAL HEDGING". ASTIN Bulletin 43, n. 3 (29 luglio 2013): 271–99. http://dx.doi.org/10.1017/asb.2013.19.
Testo completoSun, Youfa, George Yuan, Shimin Guo, Jianguo Liu e Steven Yuan. "Does model misspecification matter for hedging? A computational finance experiment based approach". International Journal of Financial Engineering 02, n. 03 (settembre 2015): 1550023. http://dx.doi.org/10.1142/s2424786315500231.
Testo completoTesi sul tema "Hedging Finance"
Lindholm, Love. "Calibration and Hedging in Finance". Licentiate thesis, KTH, Numerisk analys, NA, 2014. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-156077.
Testo completoDen här avhandlingen behandlar aspekter av två fundamentala problem i tillämpad finansiell matematik: kalibrering av en given stokastisk process till observerade marknadspriser på finansiella instrument (vilket är ämnet för den första artikeln) och strategier för hedging av optioner i finansiella marknader som är inkompletta (vilket är ämnet för den andra artikeln). Kalibrering i finans innebär att välja parametrarna i en stokastisk process så att de priser på finansiella instrument som processen genererar replikerar observerade marknadspriser. Vi behandlar den så kallade lokala volatilitets modellen som är en av de mest utbrett använda modellerna inom options prissättning för alla tillgångsklasser. Kalibrering av en lokal volatilitetsyta till marknadspriser på optioner är ett illa ställt inverst problem som en följd av att antalet observerbara marknadspriser är relativt litet och att priserna inte är släta i lösenpris och löptid. Liksom i vissa tidigare publikationer formulerar vi detta inversa problem som en minsta kvadratoptimering under bivillkoret att optionspriser följer Dupires partiella differentialekvation. Vi utvecklar två algoritmer för att utföra optimeringen: en baserad på tekniker från optimal kontrollteori och en annan där en numerisk kvasi-Newton metod direkt appliceras på målfunktionen. Regularisering av problemet kan enkelt införlivas i båda problemformuleringarna. Metoderna testas på tre månaders data med marknadspriser på optioner på två stora aktieindex. De resulterade lokala volatilitetsytorna från båda metoderna ger priser som överensstämmer mycket väl med observerade marknadspriser. Hedging inom finans innebär att uppväga risken i ett finansiellt instrument genom att ta positioner i en eller flera andra handlade tillgångar. Kvadratisk hedging är en väl utvecklad teori för hedging av betingade kontrakt i inkompletta marknader genom att minimera replikeringsfelet i en passande L2-norm. Denna teori används emellertid inte i någon högre utsträckning av marknadsaktörer och relativt få vetenskapliga artiklar utvärderar hur väl kvadratisk hedging fungerar på verklig marknadsdata. Vi utvecklar ett ramverk för att jämföra hedgingstrategier och använder det för att empiriskt pröva hur väl kvadratisk hedging fungerar för europeiska köpoptioner på aktieindexet Euro Stoxx 50 när det modelleras med en affin stokastisk volatilitetsmodell med och utan hopp. Som jämförelse använder vi hedging i Black-Scholes modell.Vi visar att kvadratiska hedgingstrategier är signifikant bättre än hedging i Black-Scholes modell för optioner utanför pengarna och optioner nära pengarna med kort löptid när endast spot används i hedgen. När en annan option används i hedgen utöver spot är kvadratiska hedgingstrategier bättre än hedging i Black-Scholes modell även för optioner nära pengarna medmedellång löptid.
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Nance, Deana R. (Deana Reneé). "The Determinants of Off-Balance-Sheet Hedging in the Value-Maximizing Firm: an Empirical Analysis". Thesis, University of North Texas, 1988. https://digital.library.unt.edu/ark:/67531/metadc331494/.
Testo completoYick, Ho-yin. "Theories on derivative hedging". Click to view the E-thesis via HKUTO, 2004. http://sunzi.lib.hku.hk/hkuto/record/B30703530.
Testo completoOgg, Richard. "Hedging volatility: different perspectives compared". Master's thesis, Faculty of Commerce, 2020. http://hdl.handle.net/11427/32900.
Testo completoYick, Ho-yin, e 易浩然. "Theories on derivative hedging". Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2004. http://hub.hku.hk/bib/B30703530.
Testo completoHaria, Krisan. "New developments in hedging in finance and insurance". Thesis, Imperial College London, 2007. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.441279.
Testo completoZiervogel, Graham. "Hedging performance of interest-rate models". Master's thesis, University of Cape Town, 2016. http://hdl.handle.net/11427/20482.
Testo completoKauppila, M. (Mikko). "Hedge fund tail risk:performance and hedging mechanisms". Master's thesis, University of Oulu, 2014. http://urn.fi/URN:NBN:fi:oulu-201412042095.
Testo completoZheng, Wendong. "Hedging and pricing of constant maturity swap derivatives /". View abstract or full-text, 2009. http://library.ust.hk/cgi/db/thesis.pl?MATH%202009%20ZHENG.
Testo completoMavuso, Melusi Manqoba. "Mean-variance hedging in an illiquid market". Master's thesis, University of Cape Town, 2015. http://hdl.handle.net/11427/15595.
Testo completoLibri sul tema "Hedging Finance"
Financial hedging. Hauppauge, NY: Nova Science Publishers, 2009.
Cerca il testo completoRheinländer, Thorsten. Hedging derivatives. New Jersey: World Scientific, 2011.
Cerca il testo completoMiller, Sennholz Lyn, e Helstrom Carl O, a cura di. Options hedging handbook. Cedar Falls, IA: Center for Futures Education, 1985.
Cerca il testo completoHaughey, Brian J. Hedging Irish Options. Dublin: University College Dublin, 1990.
Cerca il testo completoEades, Simon. Options, hedging & arbitrage. London: McGraw-Hill, 1992.
Cerca il testo completoReichling, Peter. Hedging mit Warenterminkontrakten. Bern: P. Haupt, 1991.
Cerca il testo completoMiron, Paul. Pricing and hedging swaps. London: Euromoney Books, 1991.
Cerca il testo completoRozanov, Andrew, e Ryan McRandal. Tail risk hedging. London: Risk Books, 2014.
Cerca il testo completoLangowski, Larry. Hedging mortgage servicing rights. Chicago: Market and Product Development, Chicago Board of Trade, 1999.
Cerca il testo completoMerrick, John J. Hedging with mispriced futures. [Philadelphia]: Federal Reserve Bank of Philadelphia, 1987.
Cerca il testo completoCapitoli di libri sul tema "Hedging Finance"
Connor, Gregory. "Hedging". In Finance, 164–71. London: Palgrave Macmillan UK, 1989. http://dx.doi.org/10.1007/978-1-349-20213-3_18.
Testo completoEberlein, Ernst, e Jan Kallsen. "Mean-Variance Hedging". In Springer Finance, 595–615. Cham: Springer International Publishing, 2019. http://dx.doi.org/10.1007/978-3-030-26106-1_12.
Testo completoNewbery, David M. "Futures Markets, Hedging and Speculation". In Finance, 145–52. London: Palgrave Macmillan UK, 1989. http://dx.doi.org/10.1007/978-1-349-20213-3_15.
Testo completoHatherley, Anthony. "Hedging Asymmetric Dependence". In Asymmetric Dependence in Finance, 110–32. Chichester, UK: John Wiley & Sons Ltd, 2018. http://dx.doi.org/10.1002/9781119288992.ch5.
Testo completoDavis, Mark H. A., Walter Schachermayer e Robert G. Tompkins. "Installment Options and Static Hedging". In Mathematical Finance, 130–39. Basel: Birkhäuser Basel, 2001. http://dx.doi.org/10.1007/978-3-0348-8291-0_12.
Testo completoWillsher, Richard. "Currency Risk and Hedging Techniques". In Export Finance, 139–42. London: Palgrave Macmillan UK, 1995. http://dx.doi.org/10.1007/978-1-349-13980-4_16.
Testo completoLee, Raymond S. T. "Quantum Trading and Hedging Strategy". In Quantum Finance, 119–58. Singapore: Springer Singapore, 2019. http://dx.doi.org/10.1007/978-981-32-9796-8_6.
Testo completoVasigh, Bijan, e Zane C. Rowe. "Airline fuel hedging practice". In Foundations of Airline Finance, 473–515. Third edition. | Abingdon, Oxon ; New York, NY : Routledge, 2019.: Routledge, 2019. http://dx.doi.org/10.4324/9780429429293-11.
Testo completoBielecki, Tomasz R., e Stéphane Crépey. "Dynamic Hedging of Counterparty Exposure". In Inspired by Finance, 47–71. Cham: Springer International Publishing, 2014. http://dx.doi.org/10.1007/978-3-319-02069-3_3.
Testo completoEberlein, Ernst, e Jan Kallsen. "Arbitrage-Based Valuation and Hedging of Derivatives". In Springer Finance, 537–93. Cham: Springer International Publishing, 2019. http://dx.doi.org/10.1007/978-3-030-26106-1_11.
Testo completoAtti di convegni sul tema "Hedging Finance"
Kurmanova, L. "Hedging Market Risks". In International Conference on Finance, Entrepreneurship and Technologies in Digital Economy. European Publisher, 2021. http://dx.doi.org/10.15405/epsbs.2021.03.28.
Testo completoCosta, O. L. V., A. C. Maiali e A. de C. Pinto. "Mean-variance hedging strategies in discrete time and continuous state space". In COMPUTATIONAL FINANCE 2006. Southampton, UK: WIT Press, 2006. http://dx.doi.org/10.2495/cf060111.
Testo completoFlorianová, Hana. "THE PORTFOLIO SELECTION FOR A HEDGING STRATEGY". In 7th Economics & Finance Conference, Tel Aviv. International Institute of Social and Economic Sciences, 2017. http://dx.doi.org/10.20472/efc.2017.007.001.
Testo completoFukasawa, Masaaki. "Conservative Delta Hedging under Transaction Costs". In Proceedings of the International Workshop on Finance 2011. WORLD SCIENTIFIC, 2012. http://dx.doi.org/10.1142/9789814407335_0004.
Testo completoMurray, Phillip, Ben Wood, Hans Buehler, Magnus Wiese e Mikko Pakkanen. "Deep Hedging: Continuous Reinforcement Learning for Hedging of General Portfolios across Multiple Risk Aversions". In ICAIF '22: 3rd ACM International Conference on AI in Finance. New York, NY, USA: ACM, 2022. http://dx.doi.org/10.1145/3533271.3561731.
Testo completoGrépat, J. "On the Limit Behavior of Option Hedging Sets under Transaction Costs". In International Workshop on Finance 2012. WORLD SCIENTIFIC, 2014. http://dx.doi.org/10.1142/9789814571647_0004.
Testo completoHsu, Shuo-Fen, Po-Sheng Ko, Cheng-Chung Wu, Ming Jen Cheng e Y. L. Shih. "Hedging of Derivative Financial Products: Non-Finance Taiwanese Industry". In 2009 International Association of Computer Science and Information Technology - Spring Conference. IEEE, 2009. http://dx.doi.org/10.1109/iacsit-sc.2009.101.
Testo completoVittori, Edoardo, Michele Trapletti e Marcello Restelli. "Option hedging with risk averse reinforcement learning". In ICAIF '20: ACM International Conference on AI in Finance. New York, NY, USA: ACM, 2020. http://dx.doi.org/10.1145/3383455.3422532.
Testo completoBao, Li, Mingyan Cheung e Stephan Unger. "Does Hedging Matter for Household Finance? Evidence from Hedging Housing Price Risks with Exchange Traded Options". In 25th Annual European Real Estate Society Conference. European Real Estate Society, 2016. http://dx.doi.org/10.15396/eres2016_284.
Testo completoVittori, Edoardo, Amarildo Likmeta e Marcello Restelli. "Monte carlo tree search for trading and hedging". In ICAIF'21: 2nd ACM International Conference on AI in Finance. New York, NY, USA: ACM, 2021. http://dx.doi.org/10.1145/3490354.3494402.
Testo completoRapporti di organizzazioni sul tema "Hedging Finance"
León, John Jairo, Leandro Gaston Andrian e Jorge Mondragón. Optimal Commodity Price Hedging. Banco Interamericano de Desarrollo, dicembre 2022. http://dx.doi.org/10.18235/0004649.
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