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Hedge Pattern Partial Derivative [chapter]

Taro Suzuki, Satoshi Okui
2009 Lecture Notes in Computer Science  
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

Rıza Demirer, Donald Lien
2003 International Review of Economics and Finance  
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

Carol Alexander, Leonardo M. Nogueira
2005 Social Science Research Network  
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  
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

Joseph Otula Nyakinda
2018 Zenodo  
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

Carol Alexander, Leonardo M. Nogueira
2007 Journal of Banking & Finance  
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

Frank de Jong, Jacco Wielhouwer
2003 ASTIN Bulletin: The Journal of the International Actuarial Association  
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]

Rüdiger Frey, Pierre Patie
2002 Advances in Finance and Stochastics  
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

Rüdiger Frey, Pierre Patie
2002 Social Science Research Network  
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

Erkka Näsäkkälä, Jussi Keppo
2005 Managerial Finance  
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

CA. Abhimanyu Sahoo
2016 Journal of Commerce and Management Thought  
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

Gordon M. Bodnar, Gunther Gebhardt
1999 Journal of International Financial Management & Accounting  
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

Frank de Jong, Jacco Wielhouwer
2003 ASTIN Bulletin: The Journal of the International Actuarial Association  
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

Gregory W Brown
2001 Journal of Financial Economics  
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

Arlette C. Wilson, Ronald L. Clark, William Pugh
2011 Journal of Applied Business Research  
<span style="mso-spacerun: yes;">&nbsp; </span>Both designations achieve the objective of matching the gain &lt;loss&gt; on the derivative with the loss &lt;gain&gt; on the hedged item in the same reporting  ...  <span style="mso-spacerun: yes;">&nbsp; </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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