Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 20 of 339 for “"hedging"”.
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Speculation and hedging with virtuals
<p>"Virtual bid" and "Virtual offer" are purely financial products offered in certain electricity markets. Theoretically, virtual bids and offers can change the electricity price as the bids and offers are stacked along with the demand and supply, respectively. This dissertation discusses how …
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Deep hedging in incomplete markets
… neural network approximation of mean-variance hedging with a comparison between the current neural network approaches and the theoretical solutions. These theoretical solutions provide a simulation-based performance benchmark for this comparison. Furthermore, this dissertation implements a …
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Hedging volatility: different perspectives compared
The accuracy of the Black and Scholes (1973) delta and vega neutral portfolio for a vanilla option was compared to a benchmark set by the Heston (1993) model in a stochastic volatility environment. The Black-Scholes portfolio was implemented using a fixed volatility and by implying volatility from …
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Deep Hedging of basis risk
… There are several existing approaches to hedging and pricing of contingent claims in the presence of basis risk. The existing approaches considered in this dissertation are based on the quadratic and exponential utility functions. This dissertation compares these current approaches to a …
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An Application of Deep Hedging in Pricing and Hedging Caplets on the Prime Lending Rate
… This dissertation focuses on the pricing and hedging of caplets written on the South African prime lending rate. In a complete market, caplets can be continuously hedged with zero risk. However, in the particular case of caplets written on the prime lending rate, market completeness ceases to …
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Dynamic hedging in illiquid financial markets
… we address the problem of constructing effective hedging strategies against the financial risk of writing a contingent claim in an illiquid financial market. Mathematically, this amounts to study various stochastic optimal control problems with suitable nonlinear dynamics. We introduce a price …
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Hedge Fund Performance and Derivative Hedging
… focus on hedge fund performance and derivative hedging. The first essay uses ETF returns as proxies for tradable risk factors in hedge fund performance evaluation and identifies contemporaneously relevant risk factors from the entire universe of ETFs. The model provides more informative …
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Option hedging error in commodity markets
Hedging options are a common practice to reduce or specify the risk of an option position. In most institutions, it takes place daily. The hedge coefficients used are often determined by the Black Scholes option pricing model and are commonly referred to as the “greeks”. Although the flaws of the …
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Hedging performance of interest-rate models
This dissertation is a hedging back-study which assesses the effectiveness of interest- rate modelling and the hedging of interest-rate derivatives. Caps that trade in the Johannesburg swap market are hedged using two short-rate models, namely the Hull and White (1990) one-factor model and the …
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Hedging risk in commercial real estate
Thesis (M.S.)--Massachusetts Institute of Technology, Dept. of Architecture, 1995.
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Price hedging in salmon farming : is price hedging a viable, profit inducing option for salmon farming companies?
… of this thesis is to analyze whether price hedging is a viable option for salmon farming companies, and the effect hedging might have on profitability opportunities facing the companies on a year round basis. The desired result from this thesis is to present a statistical and economical …
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Hedging strategies to manage commodity price risk
Price fluctuations in commodity markets can have a significant impact on potential profits, both for those who use and produce that commodity. Commodity prices, which are based on the supply and demand of a market, are very volatile and it is nearly impossible to predict exactly which way a price …
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Electricity Market Pricing, Risk Hedging and Modeling
Finally, the complexity of the power market and size of the transmission grid make it difficult for market participants to efficiently analyze the long-term market behavior. We propose a simplified power system commercial model by simulating the PTDFs of critical transmission bottlenecks of the …
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Can intraday data improve commodity hedging performance?
Submission published under a 24 month embargo labeled 'U of I Access', the embargo will last until 2024-12-01
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Mean-variance hedging in an illiquid market
… written on the illiquid asset, we find a hedging strategy consisting of a constant (time 0) holding in the illiquid asset and dynamic trading strategies in the liquid asset and a riskless bank account that minimizes the expected square replication error at maturity. This mean-variance …
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Hedging optimization algorithms for deregulated electricity markets
… we discuss two major frameworks for hedging risk optimally. We begin by first developing a method for static hedging optimization, where we optimize a hedging strategy from a fixed point of time over a finite delivery period. Then we develop a more robust dynamic optimization, where …
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Greed, hedging, and acceleration in convex optimization
… This phenomenon can be intuively understood as "hedging" between safe strategies (e.g. slowly converging algorithms) and aggressive strategies (e.g. divergent algorithms) since bad cases for the former are good cases for the latter, and vice versa. Concretely, we implement the optimal hedging by …
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Cross-Hedging Bison with Live Cattle Futures
… for producers. Following price risk theory, hedging opportunities for bison producers are investigated using the live cattle futures contract. For the time periods researched, there is no clear evidence that cross-hedging reduces price risk for bison producers. However, there is a possibility …
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