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You searched for subject:(Hedging schemes ). Showing records 1 – 3 of 3 total matches.

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University of Technology, Sydney

1. Cheng, Benjamin Tin Chun. Pricing and hedging of long-dated commodity derivatives.

Degree: 2017, University of Technology, Sydney

Commodity markets have grown substantially over the last decade and significantly contribute to all major financial sectors such as hedge funds, investment funds and insurance. Crude oil derivatives, in particular, are the most actively traded commodity derivative in which the market for long-dated contracts have tripled over the last 10 years. Given the rapid development and increasing importance of long-dated commodity derivatives contracts, models that can accurately evaluate and hedge this type of contracts become of critical importance. Early commodity pricing models proposed in the literature are spot price models with convenience yields either modelled as a function of the spot price or as a correlated stochastic process. These models may have desired features of commodity prices such as mean-reversion and seasonality. However, futures prices from this type of models are endogenously derived. Consequently, futures prices of different maturities are highly correlated. Multi-factor spot price models may remedy this issue. Aiming to model the entire term structure of commodity futures price curve, several authors have proposed commodity pricing models within the Heath, Jarrow & Morton (1992) (hereafter HJM) framework, with different levels of generality. These models, albeit having captured empirically observed features of commodity derivatives, such as unspanned stochastic volatility and hump volatility structures, may not be suitable to price and/or hedge long-dated commodity derivatives as they assume deterministic interest rates. Models featuring stochastic volatility and stochastic interest rates have been studied for equity and FX markets, known as hybrid models, and yet the research in commodity derivatives markets is limited. The main contributions of this thesis include: ▷ Pricing of long-dated commodity derivatives with stochastic volatility and stochastic interest rates – Chapter 2. This chapter develops a class of forward price models within the HJM framework for commodity derivatives that incorporates stochastic volatility and stochastic interest rates and allows a correlation structure between the underlying processes. The functional form of the futures price volatility is specified, so that the model admits finite dimensional realisations and retains affine representations; henceforth, quasi-analytical European futures option pricing formulae can be obtained. A sensitivity analysis of the model parameters on pricing long-dated contracts is conducted, and the results are discussed. ▷ Empirical pricing performance on long-dated crude oil derivatives – Chapter 3. This chapter conducts an empirical study on the pricing performance of stochastic volatility/stochastic interest-rate models on long-dated crude oil derivatives. Forward price stochastic volatility models for commodity derivatives with deterministic and stochastic interest-rate specifications are considered that allow for a full correlation structure. By using historical crude oil futures and option prices, the proposed models are…

Subjects/Keywords: Commodity markets.; Hedge funds, investment funds and insurance.; Crude oil derivatives.; Early commodity pricing models.; Multi-factor spot price models.; Hybrid models.; Forward price models within the HJM framework.; Futures price volatility.; Hedging schemes.

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Cheng, B. T. C. (2017). Pricing and hedging of long-dated commodity derivatives. (Thesis). University of Technology, Sydney. Retrieved from http://hdl.handle.net/10453/116280

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Cheng, Benjamin Tin Chun. “Pricing and hedging of long-dated commodity derivatives.” 2017. Thesis, University of Technology, Sydney. Accessed September 28, 2020. http://hdl.handle.net/10453/116280.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Cheng, Benjamin Tin Chun. “Pricing and hedging of long-dated commodity derivatives.” 2017. Web. 28 Sep 2020.

Vancouver:

Cheng BTC. Pricing and hedging of long-dated commodity derivatives. [Internet] [Thesis]. University of Technology, Sydney; 2017. [cited 2020 Sep 28]. Available from: http://hdl.handle.net/10453/116280.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Cheng BTC. Pricing and hedging of long-dated commodity derivatives. [Thesis]. University of Technology, Sydney; 2017. Available from: http://hdl.handle.net/10453/116280

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

2. Gutkowska, A.B. Essays on the Dynamic Portfolio Choice.

Degree: 2006, Erasmus Research Institute of Management

textabstractHet onderwerp van dit proefschrift is dynamische portfoliokeuze. In de eerste twee hoofdstukken behandelen we het probleem dat vaak bij portfoliokeuze zonder beperkingen een rol speelt, namelijk afdekking (hedging) van ongunstige veranderingen in de toestandsvariabelen. In deze context concentreren we ons op het afdekken van het renterisico. We analyseren dit probleem zowel in continue als in discrete tijd door het toepassen van de martingale methode voor optimale portfoliokeuze, gecombineerd met Malliavin calculus. In de continue tijd geven we een alternatieve afleiding voor het berekenen van het optimale portfoliobeleid in het gekozen model en we bevestigen dat de optimale portfoliokeuze die door simulaties met behulp van Malliavincalculus verkregen wordt, naar de continue-tijd limieten convergeren. In de discrete tijd bevestigen we een aantal eigenschappen van optimale portfolio’s die uit de continue analyse bekend zijn. Eigenschappen die in continue tijd niet voldoende intuïtief zijn worden in discrete tijd in meer detail geanalyseerd. De laatste twee hoofdstukken zijn gewijd aan portfoliokeuze onder restricties. We onderzoeken het probleem van asset en liability management in een defined-benefit pensioenstelsel met onzekere verplichtingen. Met behulp van simulaties vergelijken we de performance van een aantal dynamische portfoliostrategieën en fixed mixes in zowel volledige als onvolledige financiële markten. We concluderen dat dynamische strategieën niet beter zijn dan vaste portefeuilles. Het laatste deel van dit proefschrift is een empirisch onderzoek van constant proportion portfolio insurance (CPPI) strategieen, waarvan de theoretische eigenschappen goed in de literatuur bekend zijn. We vergelijken de theorie met empirische resultaten en CPPI met de alternatieve strategie van portfolioverzekering.

Subjects/Keywords: Dynamic optimal portfolio choice; Malliavin calculus; asset liability management; constant proportion portfolio insurance; interest rate risk hedging; martingale approach; pension schemes

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Gutkowska, A. B. (2006). Essays on the Dynamic Portfolio Choice. (Doctoral Dissertation). Erasmus Research Institute of Management. Retrieved from http://hdl.handle.net/1765/7994

Chicago Manual of Style (16th Edition):

Gutkowska, A B. “Essays on the Dynamic Portfolio Choice.” 2006. Doctoral Dissertation, Erasmus Research Institute of Management. Accessed September 28, 2020. http://hdl.handle.net/1765/7994.

MLA Handbook (7th Edition):

Gutkowska, A B. “Essays on the Dynamic Portfolio Choice.” 2006. Web. 28 Sep 2020.

Vancouver:

Gutkowska AB. Essays on the Dynamic Portfolio Choice. [Internet] [Doctoral dissertation]. Erasmus Research Institute of Management; 2006. [cited 2020 Sep 28]. Available from: http://hdl.handle.net/1765/7994.

Council of Science Editors:

Gutkowska AB. Essays on the Dynamic Portfolio Choice. [Doctoral Dissertation]. Erasmus Research Institute of Management; 2006. Available from: http://hdl.handle.net/1765/7994


University of South Africa

3. Ondo, Guy-Roger Abessolo. Mathematical methods for portfolio management .

Degree: 2009, University of South Africa

Portfolio Management is the process of allocating an investor's wealth to in­ vestment opportunities over a given planning period. Not only should Portfolio Management be treated within a multi-period framework, but one should also take into consideration the stochastic nature of related parameters. After a short review of key concepts from Finance Theory, e.g. utility function, risk attitude, Value-at-rusk estimation methods, a.nd mean-variance efficiency, this work describes a framework for the formulation of the Portfolio Management problem in a Stochastic Programming setting. Classical solution techniques for the resolution of the resulting Stochastic Programs (e.g. L-shaped Decompo­ sition, Approximation of the probability function) are presented. These are discussed within both the two-stage and the multi-stage case with a special em­ phasis on the former. A description of how Importance Sampling and EVPI are used to improve the efficiency of classical methods is presented. Postoptimality Analysis, a sensitivity analysis method, is also described. Advisors/Committee Members: Potgieter, Petrus H (advisor).

Subjects/Keywords: Approximation schemes; Extreme value theory; Importance sampling; Nested decomposition; Portfolio management; Postoptimality analysis; Progressive hedging; Scenario aggregation; Stochastic programming; Stochastic Quasi-gradient; Value-at-risk

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Ondo, G. A. (2009). Mathematical methods for portfolio management . (Masters Thesis). University of South Africa. Retrieved from http://hdl.handle.net/10500/784

Chicago Manual of Style (16th Edition):

Ondo, Guy-Roger Abessolo. “Mathematical methods for portfolio management .” 2009. Masters Thesis, University of South Africa. Accessed September 28, 2020. http://hdl.handle.net/10500/784.

MLA Handbook (7th Edition):

Ondo, Guy-Roger Abessolo. “Mathematical methods for portfolio management .” 2009. Web. 28 Sep 2020.

Vancouver:

Ondo GA. Mathematical methods for portfolio management . [Internet] [Masters thesis]. University of South Africa; 2009. [cited 2020 Sep 28]. Available from: http://hdl.handle.net/10500/784.

Council of Science Editors:

Ondo GA. Mathematical methods for portfolio management . [Masters Thesis]. University of South Africa; 2009. Available from: http://hdl.handle.net/10500/784

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