An Empirical Comparison of Hedging Strategies with Financial Futures and Options on Futures

1995 ◽  
Vol 14 ◽  
pp. 81-104
Keyword(s):  
Empirical Comparison ◽  
Hedging Strategies ◽  
Futures And Options

Shaping the Risk

2021 ◽  
pp. 299-314
Author(s):  
Andrew C. A. Elliott
Keyword(s):  
Financial Engineering ◽  
Financial Risks ◽  
Board Game ◽  
The Past ◽  
Financial Difficulties ◽  
Hedging Strategies ◽  
Futures And Options ◽  
Overall Risk

The board game backgammon illustrates that we can control the effects of risk by understanding chances, controlling our exposure to risk, and attending to the preparation of our responses. If we understand the risks we face in a financial context, hedging strategies can allow us to shape the overall risk by offsetting some or all of it, but this comes at a price. Financial futures and options are some of the tools that allow financial risks to be shaped in creative ways. Where risks are poorly understood, though, these financial engineering approaches may not always be effective, and have in the past led to financial difficulties.

scholarly journals Dynamic Currency Futures and Options Hedging Model

2019 ◽  
Vol 2019 ◽  
pp. 1-11
Author(s):  
Xing Yu ◽  
Yanyin Li ◽  
Zhongkai Wan
Keyword(s):  
Optimization Method ◽  
Risk Exposure ◽  
Closed Form Solutions ◽  
Currency Futures ◽  
Dynamic Setting ◽  
Hedging Strategies ◽  
Competitive Firm ◽  
Futures And Options ◽  
Hedging Problem ◽  
Options Hedging

In this paper, we consider a risk averse competitive firm that adopts currency futures and options for hedging purpose. Based on the assumption of unbiased markets of currency futures and options, we propose the optimal hedging model in dynamic setting. By using two-stage optimization method, we prove that it is desirable for the prudent enterprise to buy exchange rate options to hedge currency risk. Furthermore, we derive the closed-form solutions of the multiperiod hedging problem with the quadratic utility function. We investigate an empirical study incorporated into GARCH-t prediction on the efficiency of hedging with currency futures and options. The empirical results demonstrate that hedging with currency futures and options can reduce the silver export firm’s risk exposure. Profits and the effective boundaries are compared in three cases: hedging with futures and options synchronously, only with futures and without any hedge. The results of multiple comparisons among different hedging strategies show that hedging with linear and nonlinear derivatives is advisable for the export firm.

THE BEST HEDGING STRATEGY IN THE PRESENCE OF TRANSACTION COSTS

2009 ◽  
Vol 12 (06) ◽  
pp. 833-860 ◽  
Author(s):  
VALERI ZAKAMOULINE
Keyword(s):  
Transaction Costs ◽  
Theoretical Work ◽  
Optimization Method ◽  
Call Option ◽  
Empirical Comparison ◽  
Hedging Strategy ◽  
Option Hedging ◽  
Hedging Strategies ◽  
Short Call ◽  
The Subject

Considerable theoretical work has been devoted to the problem of option pricing and hedging with transaction costs. A variety of methods have been suggested and are currently being used for dynamic hedging of options in the presence of transaction costs. However, very little was done on the subject of an empirical comparison of different methods for option hedging with transaction costs. In a few existing studies the different methods are compared by studying their empirical performances in hedging only a plain-vanilla short call option. The reader is tempted to assume that the ranking of the different methods for hedging any kind of option remains the same as that for a vanilla call. The main goal of this paper is to show that the ranking of the alternative hedging strategies depends crucially on the type of the option position being hedged and the risk preferences of the hedger. In addition, we present and implement a simple optimization method that, in some cases, improves considerably the performance of some hedging strategies.

An empirical review of gambling expansion and gambling-related harm

2018 ◽  
Vol 64 (5-6) ◽  
pp. 295-306 ◽  
Author(s):  
Debi A. LaPlante ◽  
Heather M. Gray ◽  
Pat M. Williams ◽  
Sarah E. Nelson
Keyword(s):  
Literature Review ◽  
Peer Review ◽  
Empirical Data ◽  
Empirical Studies ◽  
Expansion Method ◽  
Responsible Gambling ◽  
Review Literature ◽  
Evidence Based ◽  
Empirical Comparison ◽  
Related Harm

Abstract. Aims: To discuss and review the latest research related to gambling expansion. Method: We completed a literature review and empirical comparison of peer reviewed findings related to gambling expansion and subsequent gambling-related changes among the population. Results: Although gambling expansion is associated with changes in gambling and gambling-related problems, empirical studies suggest that these effects are mixed and the available literature is limited. For example, the peer review literature suggests that most post-expansion gambling outcomes (i. e., 22 of 34 possible expansion outcomes; 64.7 %) indicate no observable change or a decrease in gambling outcomes, and a minority (i. e., 12 of 34 possible expansion outcomes; 35.3 %) indicate an increase in gambling outcomes. Conclusions: Empirical data related to gambling expansion suggests that its effects are more complex than frequently considered; however, evidence-based intervention might help prepare jurisdictions to deal with potential consequences. Jurisdictions can develop and evaluate responsible gambling programs to try to mitigate the impacts of expanded gambling.

Empirical comparison of the adjustable spanner and the adaptive toolbox models of choice.

2019 ◽  
Vol 45 (7) ◽  
pp. 1151-1165 ◽  
Author(s):  
Antonia Krefeld-Schwalb ◽  
Chris Donkin ◽  
Ben R. Newell ◽  
Benjamin Scheibehenne
Keyword(s):  
Empirical Comparison ◽  
Adaptive Toolbox

The Russian ruble crisis of December 2014

2016 ◽  
pp. 66-86
Author(s):  
A. Obizhaeva
Keyword(s):  
Microstructure Analysis ◽  
Future Market ◽  
Effective Response ◽  
Large Order ◽  
Short Period ◽  
The Face ◽  
Front Running ◽  
Futures And Options

The paper presents a microstructure analysis of the crash of the Russian ruble in mid-December 2014. The author shows that the market break probably happened due to the execution of a large order that converted Russian rubles into U.S. dollars over a short period of a few days. Expirations of futures and options as well as possible front-running could have exacerbated the collapse of the Russian currency. The paper discusses measures taken by the Moscow Exchange and Bank of Russia during the episode and makes several recommendations to prevent a repetition of the similar events and provide an effective response in the face of future market breaks.

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