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 paper investigates whether currencies enhance performance of portfolios diversified over a number of different international markets from the perspective of an American based investor and determines what is the source ...

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 ...

Several theoretical works have been developed in the last five decades proposing texting delta-hedge strategies when the premises of the Black e Scholes (1973) are relaxed. This paper sets out to find the best delta-hedge ...

This paper aims to analyze the results of an operation to hedge a diversified credit portfolio through the use of equity. Initially, a reference to the main theoretical aspects of this dissertation with their definitions ...

Financial derivatives are broadly used for hedging purposes by large financial and non-financial corporations in developed countries. Thereof, currency derivatives represent the biggest class. For some currencies, foreign ...

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 ...