- Hedging Strategies for Energy Derivatives

Commodities ◽  
2015 ◽  
pp. 658-679
Keyword(s):  
Energy Derivatives ◽  
Hedging Strategies

Hedging strategies for energy derivatives

2013 ◽  
Vol 14 (10) ◽  
pp. 1725-1737 ◽  
Author(s):  
P. Leoni ◽  
N. Vandaele ◽  
M. Vanmaele
Keyword(s):  
Energy Derivatives ◽  
Hedging Strategies

MENGELOLA RESIKO DENGAN PRODUK DERIVATIF

2008 ◽  
Author(s):  
Dandes Rifa
Keyword(s):  
Risk Management ◽  
Value At Risk ◽  
Foreign Currency ◽  
Balance Sheet ◽  
Cash Flows ◽  
Market Risks ◽  
Hedging Strategies ◽  
Operational Hedging ◽  
Potential Risks ◽  
Derivative Products

The main objective of risk management is to minimize the potential for losses (risk) arising from unexpected changes in currency rates, credit, commodities and equities. One of the risks faced by companies is market risk (value at risk). This article aims to explain that risk management can be one of them by using derivative products. Derivative transactions is very useful for business people who want to hedge (hedging) against a commodity, which always experience price changes from time to time. There are three strategies that can be used to hedge the balance sheet hedging strategy, operational hedging strategies and contractual hedging strategies. Staregi contractual hedging is a form of protection that is done by forming a contractual hedging instruments in order to provide greater flexibility to managers in managing the potential risks faced by foreign currency. Most of these contractual hedging instrument in the form of derivative products. The management can enhance shareholder value by controlling risk. -Party investors and other interested parties hope that the financial manager is able to identify and manage market risks to be faced. If the value of the firm equals the present value of future cash flows, then risk management can be justified. 

scholarly journals Multi-Transformer: A New Neural Network-Based Architecture for Forecasting S&P Volatility

Mathematics ◽  
2021 ◽  
Vol 9 (15) ◽  
pp. 1794
Author(s):  
Eduardo Ramos-Pérez ◽  
Pablo J. Alonso-González ◽  
José Javier Núñez-Velázquez
Keyword(s):  
Neural Network ◽  
Language Processing ◽  
Short Term Memory ◽  
Risk Measures ◽  
Hybrid Models ◽  
Stock Volatility ◽  
Management Actions ◽  
Equity Risk ◽  
Hedging Strategies ◽  
Volatility Models

Events such as the Financial Crisis of 2007–2008 or the COVID-19 pandemic caused significant losses to banks and insurance entities. They also demonstrated the importance of using accurate equity risk models and having a risk management function able to implement effective hedging strategies. Stock volatility forecasts play a key role in the estimation of equity risk and, thus, in the management actions carried out by financial institutions. Therefore, this paper has the aim of proposing more accurate stock volatility models based on novel machine and deep learning techniques. This paper introduces a neural network-based architecture, called Multi-Transformer. Multi-Transformer is a variant of Transformer models, which have already been successfully applied in the field of natural language processing. Indeed, this paper also adapts traditional Transformer layers in order to be used in volatility forecasting models. The empirical results obtained in this paper suggest that the hybrid models based on Multi-Transformer and Transformer layers are more accurate and, hence, they lead to more appropriate risk measures than other autoregressive algorithms or hybrid models based on feed forward layers or long short term memory cells.

Hedging of Variable Annuities under Basis Risk

2020 ◽  
Vol 14 (2) ◽  
Author(s):  
Jan Bauer
Keyword(s):  
Financial Market ◽  
Negative Impact ◽  
Mathematical Finance ◽  
Insurance Company ◽  
Hedging Strategy ◽  
Variable Annuities ◽  
Basis Risk ◽  
Hedging Strategies ◽  
Cross Hedging ◽  
Geometric Brownian Motions

AbstractI study dynamic hedging for variable annuities under basis risk. Basis risk, which arises from the imperfect correlation between the underlying fund and the proxy asset used for hedging, has a highly negative impact on the hedging performance. In this paper, I model the financial market based on correlated geometric Brownian motions and analyze the risk management for a pool of stylized GMAB contracts. I investigate whether the choice of a suitable hedging strategy can help to reduce the risk for the insurance company. Comparing several cross-hedging strategies, I observe very similar hedging performances. Particularly, I find that well-established but complex strategies from mathematical finance do not outperform simple and naive approaches in the context studied. Diversification, however, could help to reduce the adverse impact of basis risk.

scholarly journals Option Pricing Driven by a Telegraph Process with Random Jumps

2012 ◽  
Vol 49 (3) ◽  
pp. 838-849 ◽  
Author(s):  
Oscar López ◽  
Nikita Ratanov
Keyword(s):  
Option Pricing ◽  
Financial Market ◽  
Option Prices ◽  
Martingale Measures ◽  
Market Models ◽  
Telegraph Process ◽  
Equivalent Martingale Measures ◽  
Hedging Strategies ◽  
Random Jumps ◽  
Equivalent Martingale

In this paper we propose a class of financial market models which are based on telegraph processes with alternating tendencies and jumps. It is assumed that the jumps have random sizes and that they occur when the tendencies are switching. These models are typically incomplete, but the set of equivalent martingale measures can be described in detail. We provide additional suggestions which permit arbitrage-free option prices as well as hedging strategies to be obtained.

scholarly journals Trusting relationships in international politics: No need to hedge

2014 ◽  
Vol 40 (4) ◽  
pp. 753-770 ◽  
Author(s):  
VINCENT CHARLES KEATING ◽  
JAN RUZICKA
Keyword(s):  
International Relations ◽  
International Politics ◽  
Hedging Strategies ◽  
The Us ◽  
Trusting Relationships

AbstractHow can trusting relationships be identified in international politics? The recent wave of scholarship on trust in International Relations answers this question by looking for one or the combination of three indicators – the incidence of cooperation; discourses expressing trust; or the calculated acceptance of vulnerability. These methods are inadequate both theoretically and empirically. Distinguishing between the concepts of trust and confidence, we instead propose an approach that focuses on the actors' hedging strategies. We argue that actors either declining to adopt or removing hedging strategies is a better indicator of a trusting relationship than the alternatives. We demonstrate the strength of our approach by showing how the existing approaches would suggest the US-Soviet relationship to be trusting when it was not so. In contrast, the US-Japanese alliance relationship allows us to show how we can identify a developing trusting relationship.

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