This dissertation proposes a bivariate markov switching dynamic conditional correlation model for estimating the optimal hedge ratio between spot and futures contracts. It considers the cointegration between series and ...

The goal of this work is to assess the empirical performance of some hedging strategies in the Brazilian derivative market. In particular, we entertain a portfolio of exotic options with knock-in and knock-out barriers. ...

This thesis is divided in two chapters. The first chapter entitled 'The Dynamics of the Dynamic Hedging' derives an optimal hedging ratio in a dynamic discrete-time stochastic setting allowing for margin requirements. Then, ...

The investor, that negotiate assets, is subject to economic risks of any negotiation because there is no certainty regarding the appreciation or depreciation of an asset. Here comes the futures market, where contracts can ...

In this paper we study the dynamic hedging problem using three different utility specifications: stochastic differential utility, terminal wealth utility, and a new utility transformation which includes features from the two ...

In this paper we study the dynamic hedging problem using three different utility specifications: stochastic differential utility, terminal wealth utility, and we propose a particular utility transformation connecting both ...

Na Argentina e no Uruguai, diversas tentativas de negociação de contratos futuros e de índice de preços de carne bovina foram frustradas ao longo dos anos, tendo os derivativos lançados fracassado, em um curto espaço de ...

This research aims to investigate the Hedge Efficiency and Optimal Hedge Ratio for the future market of cattle, coffee, ethanol, corn and soybean. This paper uses the Optimal Hedge Ratio and Hedge Effectiveness through ...