Browsing by Keywords "Hedging"
Now showing items 1-11 of 11
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Energy, precious metals, and GCC stock markets: Is there any risk spillover?
(Elsevier, 2019)We analyze dynamic return and risk spillovers between commodity futures (energy & precious metals) and the Gulf Cooperation Council (GCC) stock markets. Utilizing dynamic equicorrelation (DECO) models and the spillover ... -
Expected gain-loss pricing and hedging of contingent claims in incomplete markets by linear programming
(Elsevier, 2010)We analyze the problem of pricing and hedging contingent claims in the multi-period, discrete time, discrete state case using the concept of a "λ gain-loss ratio opportunity". Pricing results somewhat different from, but ... -
Gain-loss pricing under ambiguity of measure
(E D P Sciences, 2010)Motivated by the observation that the gain-loss criterion, while offering economically meaningful prices of contingent claims, is sensitive to the reference measure governing the underlying stock price process (a situation ... -
Hedging of a multinational firm using futures and options that is subject to price uncertainty due to foreign exchange fluctuations
(Bilkent University, 1994)After the switch to floating exchange rates in 1973, internationally active companies became exposed to interest and foreign exchange risks. In this thesis, the hedging alternatives due. to foreign currency risk and ... -
An integer programming model for pricing American contingent claims under transaction costs
(2012)We study the problem of computing the lower hedging price of an American contingent claim in a finite-state discrete-time market setting under proportional transaction costs. We derive a new mixed-integer linear programming ... -
Lower hedging of American contingent claims with minimal surplus risk in finite-state financial markets by mixed-integer linear programming
(2014)The lower hedging problem with a minimal expected surplus risk criterion in incomplete markets is studied for American claims in finite state financial markets. It is shown that the lower hedging problem with linear expected ... -
Pricing American contingent claims by stochastic linear programming
(Taylor & Francis, 2009)We consider pricing of American contingent claims (ACC) as well as their special cases, in a multi-period, discrete time, discrete state space setting. Until now, determining the buyer's price for ACCs required solving an ... -
Pricing and hedging of contingent claims in incomplete markets
(Bilkent University, 2010)In this thesis, we analyze the problem of pricing and hedging contingent claims in the multi-period, discrete time, discrete state case. We work on both European and American type contingent claims. For European contingent ... -
Sharpe-ratio pricing and hedging of contingent claims in incomplete markets by convex programming
(Elsevier, 2008-08)We analyze the problem of pricing and hedging contingent claims in a financial market described by a multi-period, discrete-time, finite-state scenario tree using an arbitrage-adjusted Sharpe-ratio criterion. We show that ... -
U.S. equity and commodity futures markets: Hedging or financialization
(Elsevier, 2020)In this paper, we investigate the hedging versus the financialization nature of commodity futures vis-à-vis the equity market using a ARMA filter-based correlation approach. Our results suggest that while gold futures are ... -
Use of currency hedging instruments by non-financial Turkish firms
(Bilkent University, 2018-09)Having significant exchange rate exposure, Turkish non-financial firms face both operational and financial risk caused by exchange rate movements. Despite not being as deep as in the developed countries, Turkish financial ...
