Download or read book Optimal Hedging in Futures Markets with Multiple Delivery Specifications written by Avraham Kamara and published by . This book was released on 1986 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Impact of Delivery Risk on Optimal Production and Futures Hedging written by Axel F. A. Adam-Müller and published by . This book was released on 2002 with total page 19 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Hedging with Commodity Futures written by Su Dai and published by GRIN Verlag. This book was released on 2013-11-12 with total page 80 pages. Available in PDF, EPUB and Kindle. Book excerpt: Master's Thesis from the year 2013 in the subject Business economics - Banking, Stock Exchanges, Insurance, Accounting, grade: 1,7, University of Mannheim, language: English, abstract: The commodity futures contract is an agreement to deliver a specific amount of commodity at a future time . There are usually choices of deliverable grades, delivery locations and delivery dates. Hedging belongs to one of the fundamental functions of futures market. Futures can be used to help producers and buyers protect themselves from price risk arising from many factors. For instance, in crude oil commodities, price risk occurs due to disrupted oil supply as a consequence of political issues, increasing of demand in emerging markets, turnaround in energy policy from the fossil fuel to the solar and efficient energy, etc. By hedging with futures, producers and users can set the prices they will receive or pay within a fixed range. A hedger takes a short position if he/she sells futures contracts while owning the underlying commodity to be delivered; a long position if he/she purchases futures contracts. The commonly known basis is defined as the difference between the futures and spot prices, which is mostly time-varying and mean-reverting. Due to such basis risk, a naïve hedging (equal and opposite) is unlikely to be effective. With the popularity of commodity futures, how to determine and implement the optimal hedging strategy has become an important issue in the field of risk management. Hedging strategies have been intensively studied since the 1960s. One of the most popular approaches to hedging is to quantify risk as variance, known as minimum-variance (MV) hedging. This hedging strategy is based on Markowitz portfolio theory, resting on the result that “a weighted portfolio of two assets will have a variance lower than the weighted average variance of the two individual assets, as long as the two assets are not perfectly and positively correlated.” MV strategy is quite well accepted, however, it ignores the expected return of the hedged portfolio and the risk preference of investors. Other hedging models with different objective functions have been studied intensively in hedging literature. Due to the conceptual simplicity, the value at risk (VaR) and conditional value at risk (C)VaR have been adopted as the hedging risk objective function. [...]
Download or read book Hedging Long Term Exposures with Multiple Short Term Futures Contracts written by Anthony Neuberger and published by . This book was released on 1999 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The paper analyzes the problem facing an agent who has a long term commodity supply commitment, and who wishes to hedge that commitment using short maturity commodity futures contracts. As time evolves, the agent has to roll the hedge as old futures contracts mature and new futures contracts are listed. This gives rise to hedge errors. The optimal hedging strategy is characterized in a world where contracts of several different maturities coexist. The strategy is independent both of the agent's risk aversion and, under certain conditions, of beliefs about expected returns from holding futures contracts. The methodology is compared with approaches based on dynamic models of the term structure. It is tested on data from the oil futures market.
Download or read book Optimal Settlement Specifications on Futures Contracts written by Da-Hsiang Donald Lien and published by . This book was released on 1989 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Research in Finance written by Andrew H. Chen and published by Emerald Group Publishing. This book was released on 2008-03-04 with total page 333 pages. Available in PDF, EPUB and Kindle. Book excerpt: Contains contributions on a range of important issues in research in finance and economics. This volume includes topics such as the IPO underwriting spreads, the moral hazard problems in bank regulation as well as in the cost of deposit insurance, the loan yield spreads, and the aggregate bank performance at the state-level.
Download or read book Limited futures delivery dates and the firm s optimal hedging strategy written by Steven Bruce Perfect and published by . This book was released on 1991 with total page 534 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Fundamentals of Futures and Options Markets written by John C. Hull and published by Prentice Hall. This book was released on 2007-05-29 with total page 561 pages. Available in PDF, EPUB and Kindle. Book excerpt: This new edition presents a reader-friendly textbook with lots of numerical examples and accounts of real-life situations.
Download or read book Derivatives and Risk Management written by Sundaram Janakiramanan and published by Pearson Education India. This book was released on 2011 with total page 548 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Derivatives and Risk Management written by Madhumathi and published by Pearson Education India. This book was released on 2011 with total page 542 pages. Available in PDF, EPUB and Kindle. Book excerpt: Through the incorporation of real-life examples from Indian organizations, Derivatives and Risk Management provides cutting-edge material comprising new and unique study tools and fresh, thought-provoking content. The organization of the text is designed to conceptually link a firm’s actions to its value as determined in the derivatives market. It addresses the specific needs of Indian students and managers by successfully blending the best global derivatives and risk management practices with an in-depth coverage of the Indian environment.
Download or read book Focus on Agricultural Economics written by Ami R. Bellows and published by Nova Publishers. This book was released on 2005 with total page 214 pages. Available in PDF, EPUB and Kindle. Book excerpt: This new book covers both theoretical and applied agricultural economics research. Its scope also includes a wide range of topics related to agricultural economics. Topic areas include, for example: production economics and farm management, agricultural policy, agricultural environmental issues, regional planning and rural development, factor markets, supply and demand analysis, marketing of agricultural and food products, international trade and development, and methodology. It also examines the linkages between and among financial institutions, the macroeconomy, world markets, government programs, farms, agribusinesses, food marketing, and the environment.
Download or read book Risk Management Speculation and Derivative Securities written by Geoffrey Poitras and published by Elsevier. This book was released on 2002-07-12 with total page 622 pages. Available in PDF, EPUB and Kindle. Book excerpt: Its unified treatment of derivative security applications to both risk management and speculative trading separates this book from others. Presenting an integrated explanation of speculative trading and risk management from the practitioner's point of view, Risk Management, Speculation, and Derivative Securities is the only standard text on financial risk management that departs from the perspective of an agent whose main concerns are pricing and hedging derivatives. After offering a general framework for risk management and speculation using derivative securities, it explores specific applications to forward contracts and options. Not intended as a comprehensive introduction to derivative securities, Risk Management, Speculation, and Derivative Securities is the innovative, useful approach that addresses new developments in derivatives and risk management.*The only standard text on financial risk management that departs from the perspective of an agent whose main concerns are pricing and hedging derivatives*Examines speculative trading and risk management from the practitioner's point of view*Provides an innovative, useful approach that addresses new developments in derivatives and risk management
Download or read book Essays in Financial Economics written by Rita Biswas and published by Emerald Group Publishing. This book was released on 2019-10-24 with total page 168 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume, dedicated to John W. Kensinger, explores a variety of topics in financial economics, including firm growth, investment risks, and the profitability of the banking industry. With its global perspective, Essays in Financial Economics is a valuable addition to the bookshelf of any researcher in finance.
Download or read book Modern Portfolio Theory and Investment Analysis written by Edwin J. Elton and published by John Wiley & Sons. This book was released on 2014-01-21 with total page 754 pages. Available in PDF, EPUB and Kindle. Book excerpt: Modern Portfolio Theory and Investment Analysis, 9th Editionexamines the characteristics and analysis of individual securities, as well as the theory and practice of optimally combining securities into portfolios. It stresses the economic intuition behind the subject matter while presenting advanced concepts of investment analysis and portfolio management. The authors present material that captures the state of modern portfolio analysis, general equilibrium theory, and investment analysis in an accessible and intuitive manner.
Download or read book The Review of Futures Markets written by and published by . This book was released on 1993 with total page 520 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Commodity Risk Management written by Geoffrey Poitras and published by Routledge. This book was released on 2013-03-05 with total page 425 pages. Available in PDF, EPUB and Kindle. Book excerpt: Commodity Risk Management goes beyond just an introductory treatment of derivative securities, dealing with more advanced topics and approaching the subject matter from a unique perspective. At its core lies the concept that commodity risk management decisions require an in-depth understanding of speculative strategies, and vice versa. The book offers readers a unified treatment of important concepts and techniques that are useful in applying derivative securities in the management of risk in commodity markets. While some of these techniques are well known and fairly common, Poitras offers applications to specific situations and links to speculative trading strategies - extensions of the material that not only are hard to come by, but helpful to both the academic and the practitioner. The book is divided into three parts. The first part deals with the general framework for commodity risk management, the second part focuses on the use of derivative security contracts in commodity risk management, and the third part deals with applications to three specific situations. As a textbook, this book is designed to appeal to classes at a senior undergraduate/MBA/MA levelof training in Finance, financial economics, actuarial science, management science, agriculturaleconomics and accounting. There will also be interest for the book as: a monograph for research libraries, a handbook for individuals working in the commodity risk management industry, and a guidebook for those in the general public interested in topics like farm risk management or the assessment of hedging practices of publicly-traded commodity producers.
Download or read book Intermediate Probability written by Marc S. Paolella and published by John Wiley & Sons. This book was released on 2007-09-27 with total page 430 pages. Available in PDF, EPUB and Kindle. Book excerpt: Intermediate Probability is the natural extension of the author's Fundamental Probability. It details several highly important topics, from standard ones such as order statistics, multivariate normal, and convergence concepts, to more advanced ones which are usually not addressed at this mathematical level, or have never previously appeared in textbook form. The author adopts a computational approach throughout, allowing the reader to directly implement the methods, thus greatly enhancing the learning experience and clearly illustrating the applicability, strengths, and weaknesses of the theory. The book: Places great emphasis on the numeric computation of convolutions of random variables, via numeric integration, inversion theorems, fast Fourier transforms, saddlepoint approximations, and simulation. Provides introductory material to required mathematical topics such as complex numbers, Laplace and Fourier transforms, matrix algebra, confluent hypergeometric functions, digamma functions, and Bessel functions. Presents full derivation and numerous computational methods of the stable Paretian and the singly and doubly non-central distributions. A whole chapter is dedicated to mean-variance mixtures, NIG, GIG, generalized hyperbolic and numerous related distributions. A whole chapter is dedicated to nesting, generalizing, and asymmetric extensions of popular distributions, as have become popular in empirical finance and other applications. Provides all essential programming code in Matlab and R. The user-friendly style of writing and attention to detail means that self-study is easily possible, making the book ideal for senior undergraduate and graduate students of mathematics, statistics, econometrics, finance, insurance, and computer science, as well as researchers and professional statisticians working in these fields.
