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Thesis (MScAgric)--Stellenbosch University, 2012. / ENGLISH ABSTRACT: Maize is the most important field crop in South Africa. It is used for both animal feeds and human consumption. It is also used by many industries as an input, is a source of foreign exchange and of employment opportunities for many people in the country. It is an important component of the agricultural sector, plays an important role in the economy and presents opportunities in terms of agricultural investment and employment creation. The maize industry in South Africa has long history of government intervention where the price of maize was set by government through the office of the Minister of Agriculture. This was fuelled by the two Marketing Acts (of 1937 and 1968). During the period of these Acts, farmers were not exposed to international markets. However after the introduction of the Marketing of Agricultural Products Act (Act 47 of 1996), farmers have been exposed to international maize prices, i.e. to the forces of supply and demand. Farmers are no longer guaranteed a maize price during the beginning of the production season, and now have to use different methods to protect their income against a volatile maize price. Through forward contracting (hedging) their maize, farmers can minimize the price risk that they are facing. A number of instruments have been developed to assist farmers to protect themselves against price risk. In South Africa, SAFEX is used to reflect the expected future price of maize and it can be used by farmers as a reference for the expected price. Different factors affect the hedging decisions of farmers. The main objective of this study was to identify factors affecting the hedging decision of maize farmers in Gauteng, and hence their rate of adoption of hedging strategies. The study employed a number of methods in an effort to answer this question. Data analysis relating to factors affecting the hedging decision of the farmers was carried out using Excel and the SPSS statistical package and took the form of multiple cross tabulation. A Probit regression equation was estimated using the SPSS 20 statistical software package. In the case of the adoption rate of hedging by maize farmers in Gauteng, it was found that only 35 per cent of the maize farmers forward contract their maize against price risk. This implies that they are not protecting their income against price volatility through forward contracting. The results show that the factors that have the most influence on the decision whether to hedge are: the gender, age, and agricultural qualification of the principal decision maker; whether the decision maker is a member of a grain association and the size of that grain association; the length of period that the decision maker has been producing grain; the size of the farm; whether the farmer rents in land; the proportion of off-farm income earned and whether the farmer takes out insurance. These variables are all statistically significant at the 5 per cent level. / AFRIKAANSE OPSOMMING: Mielies is die belangrikste akkerbougewas in Suid-Afrika. Dit word gebruik vir beide dierevoere en menslike verbruik. Dit word ook in baie bedrywe as ’n inset gebruik, vorm ’n bron van buitelandse valuta en verskaf werksgeleenthede aan baie mense in die land. Dit is ’n belangrike komponent van die landbousektor, speel ’n belangrike rol in die ekonomie en verskaf geleenthede in terme van landboubelegging en werkskepping. Die mieliebedryf in Suid-Afrika het ’n lang geskiedenis van regeringsingryping waardeur die prys van mielies deur die regering, by name van die kantoor van die Minister van Landbou, vasgestel is. Dit is aangevuur deur twee Bemarkingswette (van 1937 en 1968). Gedurende die tydperk van hierdie wette is boere nie aan internasionale markte blootgestel nie. Met die aanvang van die Wet op die Bemarking van Landbouprodukte (Wet 47 van 1996) is boere aan internasionale mieliepryse blootgestel, m.a.w. aan die kragte van vraag en aanbod. Boere word nie meer aan die begin van die produksieseisoen ’n mielieprys gewaarborg nie, en moet nou ander maniere vind om hulle inkomste teen ’n onbestendige mielieprys te beskerm. Deur die koop van termynkontrakte op hulle mielies (verskansing) kan boere die prysrisiko’s wat hulle in die gesig staar, minimaliseer. ’n Aantal instrumente is ontwikkel om boere te help om hulleself teen prysrisiko te beskerm. In Suid-Afrika word SAFEX gebruik om die verwagte toekomstige prys van mielies te weerspieël en dit kan deur boere as ’n verwysing na die verwagte prys gebruik word. Verskeie faktore beïnvloed die verskansingsbesluite van boere. Die belangrikste doelwit van hierdie studie was om faktore te identifiseer wat die verskansingsbesluit van mielieboere in Gauteng beïnvloed, en dus die tempo waarteen hulle verskansingstrategieë in gebruik neem. Die studie het ’n aantal metodes gebruik in ’n poging om hierdie vraag te beantwoord. Data-analise m.b.t. die faktore wat die verskansingsbesluit van die boere beïnvloed, is met Excel en die SPSS statistiese pakket uitgevoer en het die vorm van meervoudige kruistabellering aangeneem. ’n Probitregressievergelyking is met behulp van SPSS 20 statistiese sagteware beraam. In die geval van die tempo van aanneming van verskansing deur mielieboere in Gauteng is daar gevind dat net 35 persent van die mielieboere termynkontrakte op hulle mielies gebruik om hulle teen prysrisiko te beskerm. Dit impliseer dat hulle nie hulle inkomste teen onbestendige pryse beskerm nie. Die resultate toon dat die faktore wat die grootste invloed het op die besluit om te verskans die volgende is: die geslag, ouderdom en landboukwalifikasie van die hoof besluitnemer; of die besluitnemer ’n lid van ’n graanvereniging is, en die grootte van dié graanvereniging; hoe lank die besluitnemer reeds graan produseer; die grootte van die plaas; of die boer grond inhuur; die proporsie van inkomste wat weg van die plaas af verdien word; en of die boer versekering uitneem. Hierdie veranderlikes is almal statisties betekenisvol by die 5 persent vlak.

Thesis (MBA)--Stellenbosch University, 2001. / ENGLISH ABSTRACT: The objective of this study was to determine whether a number of hedging strategies, based on option and future contracts, can be implemented to hedge a share portfolio in a successful and cost-effective way during periods of market uncertainty. The study consists of two main sections, a review of the literature and an empirical survey. The review of the literature deals with the specifications of option and future contracts that trade on SAFEXand the use of option contracts to develop different hedging strategies. In the empirical survey the different hedging strategies were applied on a share portfolio of Rim over periods of three, six, nine and twelve months. The study yielded the following conclusions: o Call and put options can be combined in various ways to create different hedging strategies such as bear spread, straddle, strip, strangle and zero cost col/ar strateg ies. o By managing the option positions of the zero cost col/arstrategy actively, the portfolio can be hedged fully and cost effectively over any period. o The portfolio can be hedged fully and cost effectively over any period through the active management of future positions. The outcome of any hedging strategy ultimately depends on the assumptions and decisions made by the portfolio manager. / AFRIKAANSE OPSOMMING: Die doel van die studie was om te bepaal of 'n aantal verskansingstrategieë, wat op opsie- en termynkontrakte gebaseer is, suksesvol en kostedoeltreffend toegepas kan word om 'n aandeleportefeulje teen verwagte markdalings te beskerm. Die studie is in twee hoofafdelings verdeel, naamlik 'n teoretiese en empiriese ondersoek. Die teoretiese ondersoek handel oor die spesifikasies van opsie- en termynkontrakte wat op SAFEX verhandel en die gebruik van koop- en verkoopopsies om verskillende opsiestrategieë daar te stel. In die empiriese ondersoek is die verskillende verskansingstrategieë op 'n aandeleportefeulje van R1m oor 'n aantal tydperke van drie, ses, nege en twaalf maande getoets. Die volgende gevolgtrekkings kan uit die studie gemaak word: o Koop- en verkoopopsies kan in verskeie kombinasies gebruik word om verskillende verskansingstrategieë daar te stel. Voorbeelde van sulke strategieë is die bear spread-, straddle-, strip-, strangle- en zero cost collarstrategieë. o Deur die aktiewe bestuur van opsieposisies by die zero cost collar-strategie kan 'n portefeulje te alle tye ten volle verskans word. Die strategie is ook kostedoeltreffend . o Deur die aktiewe bestuur van termynkontrakte kan 'n aandeleportefeulje ook te alle tye ten volle en kostedoeltreffend verskans word. Die uiteindelike resultaat by die gebruik van termynkontrakte om 'n portefeulje te verskans, is soos by opsiekontrakte egter afhanklik van die aannames en besluite wat deur die portefeuljebestuurder geneem word.

Thesis (MBA)--Stellenbosch University, 2003. / ENGLISH ABSTRACT: This study project aims to use "Real Option Analysis" as a tool to translate financial hedging strategies into business strategies that can be used to hedge business projects against their associated risks. Financial investments are often hedged by means of further investment in financial option structures. These option structures give the investor the option (and sometimes the obligation) to change the constituents of his original investment, depending on changes in the external environment. A well engineered option structure will protect the investor against downside risk, while maximizing profits from upside risk. The objective of this study project is then to adapt some of the standard structures to such an extent that they can be used with similar success in the real business environment. This adaptation is done by means of Real Option Analysis - a relatively new theory whereby business uncertainty and managerial flexibility can be evaluated and quantified in a way similar to financial options. It will be seen that a careful application of Real Option Analysis allows one to take a certain business situation, identify the risks inherent to it, find a suitable option structure to hedge against those risks, and modify this option structure so that it can be implemented as a pure business strategy. This analysis is supported by a detailed derivation of a popular Real Option Analysis model, and an in depth discussion of the differences between Real- and financial options as well as difficulties associated with the implementation of Real Option-based strategies. Several examples of specific business situations are analyzed and it is concluded that Real Option Analysis can provide useful, practical and competitive strategies. Above all, the thought process leading to said strategies is deemed to provide powerful insight into the dynamics of the business/project under evaluation. / AFRIKAANSE OPSOMMING: Hierdie studie projek poog om "Real Option Analysis" te gebruik om finansiele immuniserings strategiee om te skakel in besigheids strategiee wat gebruik kan word om besigheids projekte te beskerm teen hul inherente risikos. Finansiele beleggings word dikwels geimmuniseer deur middel van verdere beleggings in finansiele opsie strukture. Hierdie strukture gee aan die belegger die opsie (en soms die verpligting) om die samestelling van sy oorspronklike belegging aan te pas na gelang van veranderinge in die omgewing. 'n Goed ontwerpte struktuur sal die belegger toelaat om sy winste te maksimeer terwyl verliese as gevolg van negatiewe risiko beperk word. Die doel van die studie projek is dan om sommige van hierdie standaard opsie strukture aan te pas sodat dit nie net in die beleggings wereld nie, maar ook in die besigheids wereld toegepas kan word. Hierdie aanpassing word gedoen met behulp van "Real Option Analysis" - 'n relatief nuwe teorie waarvolgens besigheids onsekerhede and bestuurs aanpasbaarhede geevalueer en gekwantifiseer kan word op 'n soortgelyke wyse as finansiele opsies. Dit sal gesien word dat 'n deeglike toepassing van "Real Option Analysis" die gebruiker toelaat om 'n besigheids situasie te evalueer, die risikos daaran verbonde te identifiseer, 'n toepaslike opsie struktuur te vind wat beskerming sal bied teen hierdie risikos, en dan hierdie struktuur aan te pas sodat dit as 'n besigheid strategie toegepas kan word. Hierdie analise word ondersteun deur die afleiding van 'n populere "Real Option Analysis" model, 'n bespreking van die verskille tussen Rieele- en finansiele opsies, sowel as komplikasies wat verwag kan word tydens die implimentasie van 'n strategie gebasseer op Rieele Opsies. Verskeie voorbeelde van spesifieke besigheids situasies word geanaliseer en dit gee aanleiding tot die gevolgtrekking dat "Real Option Analysis" wel sinvolle, bruikbare en kompeterende strategiee kan voorsien. Verder word daar aangedui dat die denk proses wat lei tot hierdie strategiee, 'n kragtige bron van insig in die besigheid/projek dinamika kan gee.

O arroz é uma commodity de grande importância para o agronegócio brasileiro e alimento essencial para garantir a segurança alimentar de população de baixa renda do país. Porém, diferentemente de outras commodities de similar ou maior importância, o arroz não possui um contrato futuro em bolsa que auxilie seus agentes a uma melhor gestão do risco de preços. Neste sentido, este trabalho avaliou a viabilidade de implantação de um contrato futuro de arroz no Brasil. Para isso, a presente pesquisa foi dividida em três capítulos distintos. O primeiro avalia as condições primárias necessárias para a implantação de um novo contrato futuro no país, sob a ótica da literatura acerca do sucesso e fracasso de novos contratos futuros. Utilizando-se de uma revisão de literatura crítica, foi possível identificar que, embora a orizicultura apresente algumas condições favoráveis a um novo contrato, como por exemplo, tamanho de mercado potencial, homogeneidade do produto e concentração de mercado, outras características mostram-se inibidoras à sua liquidez, como, por exemplo, uma baixa diversificação do produto final e, principalmente, uma participação estatal ainda ativa no setor, com diferentes programas de subvenção à produção e comercialização do cereal, o que desestimularia a demanda pelo hedge por parte dos agentes beneficiados em tais programas. O segundo capítulo procurou mensurar o grau de risco de preços para os produtores de arroz e para os produtores de outras commodities com contratos futuros negociados em bolsa doméstica. A análise central baseou-se no cálculo de diferentes medidas de dispersão e de risco, como a volatilidade, coeficiente de variação, Lower Partial Moments, Value-at-risk e Conditional Value-at-risk. Para cada uma destas ferramentas, foram assumidos alguns benchmarks centrais para a mensuração do risco. A principal constatação é de que a atividade arrozeira possui o maior grau de risco de preço entre todas as culturas analisadas. Porém, a política de garantia de preços mínimos do governo atua como um importante mecanismo para redução deste risco aos produtores. Considerando esta política, o arroz ainda possui um grau de risco elevado, porém, a patamares semelhantes aos do milho. Por fim, o terceiro capítulo centrou sua discussão na análise de cross-hedge entre os preços à vista de arroz no Brasil com o contrato futuro de arroz de Chicago e os contratos futuros de culturas graneleiras na BM&FBOVESPA, milho e soja. Focando-se as análises no risco de base, na razão de hedge ótima e na efetividade do hedge, constatou-se que nenhum destes contratos futuros são suficientemente efetivos para atender aos agentes atuantes na orizicultura brasileira, não sendo capazes de gerar concorrência com um possível novo contrato de arroz a ponto de reduzir a sua liquidez. A conclusão final é de que o arroz é uma cultura com elevado grau de risco de preços e com a maior parte das condições favoráveis a um novo contrato. Porém, deve-se atentar à intervenção do governo no setor, a qual deve ser reduzida para permitir liquidez suficiente à sobrevivência deste contrato. / Rice is particularly an important agricultural commodity to Brazil and elementary for food security of the low income population. Unlike other important agricultural markets in the country, rice does not have a domestic futures contract. Thereby, the purpose of the thesis is to evaluate the feasibility of a rice futures contract development in Brazil. For that, the research was separated in three major chapters. The first chapter evaluates the primary conditions for a rice futures contract based on the literature of the success and failure of new futures contracts. By a critical literature review it was identified that some conditions are favorable for the contract creation, as the domestic potential market, the commodity homogeneity and the market concentration ratio. However, some features are not satisfactory enough for the new rice futures contract\'s liquidity. A low diversity of final product and also the current government intervention on the rice production and trade are considered as issues that might discourage the hedge demand from rice agents. The second chapter purposed the price risk measurement for rice producers as for producers of several Brazilian agricultural commodities that already have a domestic futures contract. The central analysis was based on dispersion and risk measures calculation, as volatility, coefficient of variation, lower partial moments, value-at-risk and conditional value-at-risk. At each downside risk framework were assumed some benchmarks. Results suggest that rice market presents the highest price risk. However, the government minimum price policy acts as an important mechanism for rice producers risk management. Considering this policy, although rice still have an elevated risk degree, this level decreases and reach a baseline similar than corn. The third chapter centralizes its discussion on the cross-hedge analysis among Brazilian rice cash prices and rice futures prices in Chicago as with corn and soybean futures prices in BM&FBOVESPA. The methods were focused on the basis risk behavior and on the estimation of the optimal hedge ratio and hedge effectiveness. Estimations suggest that none of those cross-hedge operations are enough feasible to attend Brazilian rice agents. Then, cross-hedge operations might not result in cannibalism against a new rice futures contract. Final conclusions lead to a comprehension that rice presents a high price risk level and many primary conditions favorable to the contract creation. Nevertheless, it is necessary carefully attention to the government agricultural policies impacts at this market.

by Cheng Ping Kuen, Franco [and] Chin Nai Yun, William. / Bibliography : leaf 85 / Thesis (M.B.A.)--Chinese University of Hong Kong, 1984

Su, Yiwen. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2009. / Includes bibliographical references (p. 76-84). / Abstract also in Chinese. / Abstract --- p.i / Acknowledgement --- p.iii / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- Literature Review --- p.9 / Chapter 2.1 --- Hedge Ratio Review --- p.9 / Chapter 2.2 --- Estimating the Hedge Ratio --- p.13 / Chapter 2.2.1 --- Static Hedge Ratio --- p.13 / Chapter 2.2.2 --- "Dynamic Hedge Ratio, Multivariate GARCH Frame-work and DCC Model" --- p.14 / Chapter 3 --- Futures Market Efficiency --- p.19 / Chapter 3.1 --- Market Efficiency and Cointegration Test --- p.20 / Chapter 4 --- Model Specifications and Hedging Strategy --- p.24 / Chapter 4.1 --- Model Specifications --- p.24 / Chapter 4.1.1 --- BGARCH-DCC Model --- p.25 / Chapter 4.1.2 --- Symmetric BGARCH-DCC Model --- p.28 / Chapter 4.1.3 --- Asymmetric BGARCH-DCC Model --- p.31 / Chapter 4.2 --- Hedge Ratio --- p.33 / Chapter 4.2.1 --- MV Hedge Ratio --- p.34 / Chapter 4.2.2 --- Zero-VaR Hedge Ratio --- p.35 / Chapter 4.3 --- Evaluation of Hedge Effectiveness --- p.38 / Chapter 5 --- Data Description and Empirical Results --- p.39 / Chapter 5.1 --- Preliminary Data Analysis --- p.39 / Chapter 5.2 --- Estimation Results --- p.42 / Chapter 5.3 --- Dynamic Hedging Performance --- p.53 / Chapter 6 --- Conclusion --- p.68 / Chapter A --- Equation Derivation --- p.72 / Bibliography --- p.76

Cheung, Kwan Hung Edwin. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2010. / Includes bibliographical references (leaves 39-40). / Abstracts in English and Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- The Levy Process --- p.4 / Chapter 2.1 --- Levy-Khintchine representation --- p.5 / Chapter 2.2 --- Variance Gamma process --- p.6 / Chapter 3 --- Minimum-Variance Static Hedge with Index futures --- p.8 / Chapter 3.1 --- Capital Asset Pricing Model with static hedge --- p.10 / Chapter 3.2 --- Continuous CAPM under Levy process --- p.11 / Chapter 4 --- Option pricing under Levy process --- p.15 / Chapter 4.1 --- Option pricing under the fast Fourier transform --- p.16 / Chapter 4.2 --- The modified fast Fourier transform on call option price --- p.19 / Chapter 5 --- Empirical Results --- p.23 / Chapter 5.1 --- Proposed model for empirical studies --- p.25 / Chapter 5.2 --- Calibration Procedure and Estimates of Betas --- p.26 / Chapter 5.3 --- Hedging performance of Betas --- p.32 / Chapter 6 --- Conclusion --- p.37 / Bibliography --- p.39

The validating roles of hedging and leverage as value-adding corporate strategies arise from their beneficial manipulation of deadweight market impositions such as taxes and financial distress costs. These roles may even be symbiotic in their value-adding effects, but they are antithetic in their effects on company risk. This study's modelling analysis indicates that hedging and leverage do interact for net benefit to company value; for sensible base-case exogenous parameters, the optimal (value-maximising) joint hedging and leverage strategy increases company value by about 4.0% compared to the unhedged optimal leverage strategy, by about 1.3% compared to the unlevered optimal hedge strategy, and by about 4.0% compared to the company being unlevered and unhedged. Furthermore an optimal joint hedging and leverage strategy is less financially risky than an unhedged optimal leverage strategy or an unhedged and unlevered strategy, and is often less financially risky than an unlevered optimal hedge strategy. Interestingly, the optimal joint hedging and leverage strategy entails some risk-seeking hedge reversal in response to weak price outcomes for production output.

This thesis examines the empirical performance of four Affine Jump Diffusion models in pricing and hedging S&P 500 Index options: the Black Scholes (BS) model, Heston???s Stochastic Volatility (SV) model, a Stochastic Volatility Price Jump (SVJ) model and a Stochastic Volatility Price-Volatility Jump (SVJJ) model. The SVJJ model structure allows for simultaneous jumps in price and volatility processes, with correlated jump size distributions. To the best of our knowledge this is the first empirical study to test the hedging performance of the SVJJ model. As part of our research we derive the SVJJ model minimum variance hedge ratio. We find the SVJ model displays the best price prediction. The SV model lacks the structural complexity to eliminate Black Scholes pricing biases, whereas our results indicate the SVJJ model suffers from overfitting. Despite significant evidence from in and out-of-sample pricing that the SV and SVJ models were better specified than the BS model, this did not result in an improvement in dynamic hedging performance. Overall the BS delta hedge and SV minimum variance hedge produced the lowest errors, although their performance across moneyness-maturity categories differed greatly. The SVJ model???s results were surprisingly poor given its superior performance in out-of-sample pricing. We attribute the inadequate performance of the jump models to the lower hedging ratios these models provided, which may be a result of the negative expected jump sizes.