Thesis (Ph. D.)--University of Wisconsin--Madison, 1981. / Typescript. Vita. eContent provider-neutral record in process. Description based on print version record. Includes bibliographical references (leaves 115-117).

Thesis (Ph. D.)--Ohio State University, 1986. / Includes vita. Includes bibliographical references (leaves 172-184). Available online via OhioLINK's ETD Center.

This study was designed to yield three types of information: (1) The degree of perfection prevailing in the parimary and secondary convertible bond markets; (2) the profit potential of various investing and hedging techniques in the convertible bond market; and (3) a judgment on whether each technique can be classified as rational or irrational.

Commodity options add a new dimension to grain farmers’ marketing alternatives. Producers of pain can now effectively ensure themselves a floor price without the risk of production shortfalls resulting in losses due to overhedged positions. The purpose of this study was to determine optimum hedge levels using both commodity options and futures contracts and then compare the hedging tools given various location, crop mix, and levels of financial leverage. The study used portfolio theory where hedging strategies were simulated over time and minimum-variance hedge levels determined. Crop diversification and financial leverage were addressed using Quadratic Programming techniques. Selected strategies were tested over a new data set. Commodity options are superior to futures contracts as a hedging tool for early season hedges. This was particularly true for crops with highly variable yields. The results also indicate that commodity options are a viable alternative for reducing long-run income variation and that crop diversification reduced income variation but did not reduce the overall need to hedge. The study presented here is unique in a number of ways. Initially, very little if any published work is available on hedging pain with commodity options contracts. Secondly, the study addresses hedging strategies under the realm of production uncertainty. Finally, the study demonstrates there are E-V efficient alternatives to strict cash sales. / Ph. D. / incomplete_metadata

M.S.

All firms should aim to reduce their risks and avoid bankruptcy. One way they try to lessen their chance of bankruptcy, or entering into a financially distressed state, is by using risk management techniques. Part of risk management is using derivatives, which many firms rely on today to reduce their exposure to certain types of risk and avoid a cash flow crunch. I test the notion that hedging reduces the probability of bankruptcy. Hedging reduces risks such as interest rate and currency risk, and these types of risk can send a firm into financial distress. Financial distress can result in bankruptcy, so hedging should then ultimately reduce the risk of bankruptcy.

The use of futures contracts has grown enormously in recent years. From 1979 to 1985 the number of futures contracts traded literally doubled. Most of the growth can be attributed to the development of recent contract innovations. Trading in financial futures, alone, increased sixteen fold over this period. This remarkable rise in futures usage and the importance of innovation highlights the constant struggle by exchanges to develop and initiate successful contracts. However, there is no known process for actually identifying potentially successful contracts. lt is this general question of what leads to a successful contract that forms the initiative behind this work. Formally, this study is a theoretical and empirical analysis of futures usage. The purpose of the theoretical section is to develop a model of contract usage that leads to a set of testable hypotheses about the determinants of contract use. Usage is defined in this study as being measured by the number of contracts in existence at a certain time. The theoretical work is general in the sense that it is not directed at behavior in one specific contract; but rather, it rests on the belief that certain underlying fundamental economic factors will affect, in general, usage in all futures contracts. The theoretical model is based upon firm behavior in an uncertain world with the firm having the ability to enter a portfolio of futures contracts. The purpose of the empirical section is to provide support for the theoretical section by determining, through time series analysis, which fundamental variables affect futures usage and how these effects are transmitted. The exogenous variables center upon the variance-covariance matrix of actual price series, transactions costs, and production levels. The empirical results yield strong support for the theoretical section developed in this work and the overall portfolio approach. Additionally, the results draw into question the importance of several variables which have classically been considered essential in determining usage. While the results strongly support the model and the portfolio perspective, they did not suggest a specific set of variables that uniquely determine contract usage across a wide set of different contracts. / Ph. D. / incomplete_metadata

by Lee Chi Kau. / Thesis (M.Phil.)--Chinese University of Hong Kong, 1998. / Includes bibliographical references (leaves 115-119). / Abstract also in Chinese. / ACKNOWLEDGMENTS --- p.iii / LIST OF TABLES --- p.iv / LIST OF ILLUSTRATIONS --- p.vi / CHAPTER / Chapter ONE --- INTRODUCTION --- p.1 / Chapter TWO --- THE LITERATURE REVIEW --- p.6 / Parametric Models / Nonparametric Estimation Techniques / Chapter THREE --- ANALYTICAL FRAMEWORKS --- p.21 / Parametric Models / Nonparametric Models / Chapter FOUR --- EMPIRICAL FINDINGS --- p.36 / Data / Estimation Results / Evaluation of Model Performance / Out-of-Sample Forecast and Evaluation / Chapter FIVE --- CONCLUSION --- p.54 / TABLES --- p.58 / ILLUSTRATIONS --- p.76 / BIBLIOGRAPHY --- p.115

Lam Suet-man. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2001. / Includes bibliographical references (leaves 111-117). / Abstracts in English and Chinese. / ACKNOWOLEDGMENTS --- p.iii / LIST OF TABLES --- p.iv / LIST OF ILLUSTRATIONS --- p.vi / CHAPTER / Chapter ONE --- INTRODUCTION --- p.1 / Chapter TWO --- REVIEW OF THE LITERATURE --- p.6 / Parametric Models / Nonparametric Estimation Techniques / Chapter THREE --- METHODOLOGY --- p.21 / Parametric Models / Nonparametric Models / Chapter FOUR --- DATA DESCRIPTION --- p.33 / Chapter FIVE --- EMPIRICAL FINDINGS --- p.39 / Estimation Results / Evaluation of Model Performance / Out-of-sample Forecast Evaluation / Chapter SIX --- CONCLUSION --- p.58 / TABLES --- p.62 / ILLUSTRATIONS --- p.97 / APPENDIX --- p.107 / BIBOGRAPHY --- p.111

Call number: LD2668 .T4 1984 B42 / Master of Science