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Hedging no modelo com processo de Poisson composto
(Universidade Federal de São CarlosUFSCarPrograma Interinstitucional de Pós-Graduação em Estatística - PIPGEsCâmpus São Carlos, 2015-12-07)
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 ...
Mean-variance hedging strategies in discrete time and continuous state space
(2006)
In this paper we consider the mean-variance hedging problem of a continuous state space financial model with the rebalancing strategies for the hedging portfolio taken at discrete times. An expression is derived for the ...
Sampled Control for Mean-Variance Hedging in a Jump Diffusion Financial Market
(IEEE-INST ELECTRICAL ELECTRONICS ENGINEERS INC, 2010)
In this technical note we consider the mean-variance hedging problem of a jump diffusion continuous state space financial model with the re-balancing strategies for the hedging portfolio taken at discrete times, a situation ...
Sampled control for mean-variance hedging in a jump diffusion financial market
(IEEE - Inst Electrical Electronics Engineers Inc, 2010-07)
In this technical note we consider the mean-variance hedging problem of a jump diffusion continuous state space financial model with the re-balancing strategies for the hedging portfolio taken at discrete times, a situation ...
Sampled control for mean-variance hedging in a jump diffusion financial market
(IEEE, 2009)
In this paper we consider the mean-variance hedging problem of a jump diffusion continuous state space financial model with the re-balancing strategies for the hedging portfolio taken at discrete times, a situation that ...
Estratégias de hedging para a fruticultura exportadora brasileira
(Universidade Federal de PernambucoUFPEBrasilPrograma de Pos Graduacao em Administracao, 2016)
Delta hedge com custos de transação: uma análise comparativa
(2013-01-18)
Dentre as premissas do modelo de Black-Scholes, amplamente utilizado para o apreçamento de opções, assume-se que é possível realizar a replicação do payoff da opção através do rebalanceamento contínuo de uma carteira ...
Modeling electricity price and quantity uncertainty: An application for hedging with forward contracts
(Universidad EAFITEscuela de Economía y Finanzas, 2020-06-08)
Energy purchases/sales in liberalized markets are subject to price and quantity uncertainty, which should be jointly modeled by relaxing the unreliable normality assumption for capturing risk. In this paper, we consider ...
Managing exchange rate risk by cross-hedging using commodity futures and by diversification
(2020-05-26)
A presente tese investiga estratégias alternativas, ou estratégias que não usam contratos futuros de moeda, para gestão do risco cambial. Os capítulos 1 e 2 investigam o uso de contratos futuros de commodities, ou ...