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Hedge Pattern Partial Derivative
[chapter]
2009
Lecture Notes in Computer Science
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We propose hedge pattern partial derivatives, an extension of Antimirov's partial derivatives, in order to give an operational semantics of pattern matching of regular hedge expression patterns, which ...
We show that correct and small matching automata can be constructed from hedge pattern partial derivatives. ...
Hedge pattern partial derivative is an extension of partial derivative of a regular (word) expression, proposed by Antimirov [1], to regular hedge expression patterns. ...
doi:10.1007/978-3-642-02979-0_16
fatcat:5ixq2iak4ze7fanpc23vs3nrtq
Downside risk for short and long hedgers
2003
International Review of Economics and Finance
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This paper assumes that each individual attempts to minimize the downside risk measured by the lower partial moments. ...
Optimal hedge ratios and the resultant hedging performance are compared for short versus long hedgers across ten different markets. ...
Minimum Lower Partial Moment Hedge Ratios The lower partial moment is related to downside risk. ...
doi:10.1016/s1059-0560(02)00144-2
fatcat:qj6rpy3wjbdefjjmlxib5kvo3i
Optimal Hedging and Scale Invariance: A Taxonomy of Option Pricing Models
2005
Social Science Research Network
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The partial price sensitivities of scaleinvariant models provide the poorest hedges. ...
We derive optimal hedge ratios for stochastic and local volatility models that have not always been used in the literature. ...
model, in which the MV hedge ratios are the same as the partial price derivatives. ...
doi:10.2139/ssrn.763204
fatcat:oxn45vvrbjhvho2vbvubiefdsu
Page 2662 of The Journal of Business Vol. 79, Issue 5
[page]
2006
The Journal of Business
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In addition, because we assume complete financial markets rather than restrict the utilities to hedging with simple forward con- tracts, we derive fairly complex nonlinear optimal hedging strategies that ...
Partial deregulation commits physical baseload supply to the retail base and fixes consumer prices. ...
A Logistic Nonlinear Black-Scholes-Merton Partial Differential Equation: European Option
2018
Zenodo
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The objective of this study was to derive a Logistic Nonlinear Black Scholes Merton Partial Differential equation by incorporating the Logistic geometric Brownian motion. ...
partial differential equation. ...
Finally, an attempt will be made to derive the Logistic Non-linear Black-Scholes-Merton Partial Differential Equation. ...
doi:10.5281/zenodo.1313137
fatcat:o5obpypr7fc3xgekgwsfkaxqkm
Model-free hedge ratios and scale-invariant models
2007
Journal of Banking & Finance
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than minimum variance hedge ratios. ...
We also prove that price hedge ratios for a wide class of contingent claims under a wide class of pricing models are model-free. ...
Also (g K ) nx1 is the gradient vector of partial derivatives and (g KK ) nxn is the Hessian matrix of second partial derivatives of g with respect to K, all evaluated at time t when S = S t . ...
doi:10.1016/j.jbankfin.2006.11.011
fatcat:bhmdlvk5wffxziefptglud5jim
The Valuation and Hedging of Variable Rate Savings Accounts
2003
ASTIN Bulletin: The Journal of the International Actuarial Association
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This paper focuses on measuring the interest rate risk of variable rate savings accounts on a value basis (duration) and analyzes the problem how to hedge these accounts. ...
In order to model the embedded options and the customer behaviour we implement a partial adjustment specification. The interest rate policy of the bank is described in an error-correction model. ...
For the model presented in the previous section we can derive the following partial derivatives with respect to an interest rate change P-4 ai -= 1 -e-nt aR The long run derivative of the savings rate ...
doi:10.1017/s0515036100013520
fatcat:z4hwc77k3rce7ev35cf7vxytgu
Risk Management for Derivatives in Illiquid Markets: A Simulation Study
[chapter]
2002
Advances in Finance and Stochastics
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In this paper we study the hedging of derivatives in illiquid markets. ...
We present numerical results on the impact of market illiquidity on hedge cost and Greeks of derivatives. ...
We chose the implicit scheme, which is an unconditionally stable scheme, for the discretization of the partial derivatives in the PDE. ...
doi:10.1007/978-3-662-04790-3_8
fatcat:f43lzbsrrnf7zbfmbrvrf6skny
Risk Management For Derivatives In Illiquid Markets: A Simulation Study
2002
Social Science Research Network
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In this paper we study the hedging of derivatives in illiquid markets. ...
We present numerical results on the impact of market illiquidity on hedge cost and Greeks of derivatives. ...
We chose the implicit scheme, which is an unconditionally stable scheme, for the discretization of the partial derivatives in the PDE. ...
doi:10.2139/ssrn.300527
fatcat:g2snyhyq65cvxbcvhk554yuloy
Electricity load pattern hedging with static forward strategies
2005
Managerial Finance
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We consider the partial hedging of stochastic electricity load pattern with static forward strategies. ...
Moreover, negative correlation between forwards and electricity load pattern postpones the hedging timing. ...
Partial financing by the Nordic Energy Research is gratefully acknowledged. ...
doi:10.1108/03074350510769721
fatcat:prnrigjmazbgzajltdvmew6x4y
Pattern of Corporate Hedging Through Financial Derivatives in Non-Financial Companies of India
2016
Journal of Commerce and Management Thought
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like: motivation to use financial derivatives, reason behind not to go for financial derivatives, difference in hedging pattern between public (Govt.) and private companies etc. ...
Therefore an attempt has been made in form of a research work by the author to discover the hedging pattern of Indian Inc by using financial derivatives as a risk management tool along with other aspects ...
This appears to be partially a result of stricter policies of control over derivatives activities within the firm. ...
doi:10.5958/0976-478x.2016.00026.4
fatcat:sedoytqczrf75bsya4r44gyboe
Derivatives Usage in Risk Management by US and German Non-Financial Firms: A Comparative Survey
1999
Journal of International Financial Management & Accounting
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Aside from this higher overall usage, the general pattern of usage across industry and size groupings is comparable across the two countries. ...
In contrast to the similarities, firms in the two countries differ notably on issues such as the primary goal of hedging, their choice of instruments, and the influence of their market view when taking ...
This similarity in the pattern of derivative use across industries supports the view that derivative usage is driven (at least partially) by underlying economic factors rather than random choice. ...
doi:10.1111/1467-646x.00049
fatcat:b4mx32qgjfcc5okbkjiodvukya
The Valuation and Hedging of Variable Rate Savings Accounts
2003
ASTIN Bulletin: The Journal of the International Actuarial Association
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This paper focuses on measuring the interest rate risk of variable rate savings accounts on a value basis (duration) and analyzes the problem how to hedge these accounts. ...
In order to model the embedded options and the customer behaviour we implement a partial adjustment specification. The interest rate policy of the bank is described in an error-correction model. ...
Cov ( dW 1 (t), dW 2 (t) ) = 0, and noticing that the partial derivatives (9a) and (9b) are non-stochastic, we can work out the partial derivative of the value: ( ) ( ) E R V se R i s D s ds 0 D Rs 0 ...
doi:10.2143/ast.33.2.503699
fatcat:u5eol7kgprhddj7ruqfeezgire
Managing foreign exchange risk with derivatives
2001
Journal of Financial Economics
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firm manages its foreign exchange exposure are explored through the use of internal firm documents and communiqués, extensive discussions with management, and data on more than 3100 foreign-exchange derivative ...
How HDG hedges depends on foreign exchange volatility, exposure volatility, technical factors, and recent hedging outcomes. ...
First, the partial-sample currencies are generally less liquid and therefore hedging with derivatives may be relatively more expensive (in terms of bid/ask spreads) thus limiting the degree of hedging. ...
doi:10.1016/s0304-405x(01)00049-6
fatcat:bzbdz6rz3bfqxhumok2eopkhca
Financial Statement Outcomes When Alternative Derivative Hedging Designations Exist
2011
Journal of Applied Business Research
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<span style="mso-spacerun: yes;"> </span>Both designations achieve the objective of matching the gain <loss> on the derivative with the loss <gain> on the hedged item in the same reporting ...
<span style="mso-spacerun: yes;"> </span>Certain hedging transactions may be designated as either a fair value hedge or a cash flow hedge. ...
This swap represents a partial hedge and can be designated as a fair value hedge of the loans or a cash flow hedge of the debt. 2 Many firms use interest rate swaps to manage the payment structure of ...
doi:10.19030/jabr.v19i3.2167
fatcat:fqr2yl76tbhnlp6nmr3s636fi4
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