Detail Risk management and hedging in financial markets Bibliografi Author: Xuan, Changneng ; Ronn, Ehud I. (Advisor) Topik: ECONOMICS; FINANCE|BUSINESS ADMINISTRATION; BANKING|BUSINESS ADMINISTRATION; GENERAL Bahasa: (EN )    ISBN: 0-591-77595-6     Penerbit: THE UNIVERSITY OF TEXAS AT AUSTIN     Tahun Terbit: 1997     Jenis: Theses - Dissertation Fulltext: 9825138.pdf (0.0B; 13 download) Abstract This thesis deals with issues on risk management and hedging in financial markets. It includes three essays. Essay I demonstrated the desirability of vega-hedging as a solution to the potential problem of misspecification in option pricing models. We conclude that time series-based attempts to estimate the parameters of the underlying assets' stochastic processes is a misplaced activity, that regulators should encourage broker-dealers to adopt vega-hedging strategies, and that organized exchanges should list long-dated volatility-dependent instruments to provide proper price-discovery and vega-hedging capability. In essay II, we identify a static portfolio of standard options that replicates an up-and-out barrier option when the underlying asset follows a stochastic volatility model. Our simulation experiments conclude that static hedges replicate barrier options quite well if the volatility of volatility is moderate or if the barrier option's payoff does not exhibit discontinuities. However, if the payoff on the boundary is non-continuous, the quality of the static hedge deteriorates rapidly when the volatility of volatility is large. This happens because a static hedge typically overhedges the volatility exposure of the target barrier option. Motivated in part by the financial difficulties exhibited by Metallgesellschaft GmbH, essay III of this work investigates the empirical feasibility of hedging illiquid long-dated futures contracts with their liquid, shorter-dated counterparts. Using the (one-factor) cost-of-carry model for the valuation of futures contracts, we deliberately implement a theoretically redundant portfolio by hedging, separately, the underlying commodity spot price, the convenience yield and the term structure of interest rates. Our results demonstrate empirically that such strategies significantly outperform naive one for-one-factor hedge strategies, and that (in accordance with prior literature) simple strategies tend to overhedge oil futures exposure. We conclude that it is indeed feasible to hedge the long-dated futures contract with shorter-maturity contracts. Opini Anda Klik untuk menuliskan opini Anda tentang koleksi ini! Lihat Sejarah Pengadaan  Konversi Metadata   Kembali

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