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Semi-static hedging of guarantees in variable annuities under exponential lévy modelsPang, Long-fung. January 2010 (has links)
Thesis (M. Phil.)--University of Hong Kong, 2010. / Includes bibliographical references (leaves 73-77). Also available in print.
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The hedging role of options and futures with mismatched currencies /Yan, Chi-kwan. January 2000 (has links)
Thesis (M. Econ.)--University of Hong Kong, 2000. / Includes bibliographical references (leaf 28).
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Hedging and pricing of constant maturity swap derivatives /Zheng, Wendong. January 2009 (has links)
Thesis (M.Phil.)--Hong Kong University of Science and Technology, 2009. / Includes bibliographical references (p. 58-60).
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The hedging role of options and futures with mismatched currenciesYan, Chi-kwan. January 2000 (has links)
Thesis (M.Econ.)--University of Hong Kong, 2000. / Includes bibliographical references (leaves 28). Also available in print.
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The Determinants of Off-Balance-Sheet Hedging in the Value-Maximizing Firm: an Empirical AnalysisNance, Deana R. (Deana Reneé) 12 1900 (has links)
The observed use (and indeed tremendous growth in volume) of forward contracts, futures, options, and swaps as hedges against interest rate risk, foreign exchange risk, and commodity price risk indicates that hedging does add value to the firm. The purpose this research was to empirically examine the value of off-balance-sheet hedging. The benefits of off-balance-sheet hedging were found to accrue from reducing (1) taxes, (2) expected financial distress costs, and (3) agency costs. Taxes. Hedging reduces the firm's tax liability by reducing the variability in taxable income. The value of hedging to the firm is a positive function of the convexity of the tax function and the variability of taxable income. Expected Financial Distress Costs. The value of hedging is a positive function of the degree to which hedging reduces the probability of financial distress and the costs of financial distress. Agency Cost. Due to the fact that bondholders and some managers hold fixed claims while shareholders hold variable claims, shareholders desire more risky projects than do bondholders or managers. Hedging reduces this conflict by allowing shareholders to undertake higher risk projects while protecting the holders of fixed claims. Firms can achieve the same benefits of hedging by using alternative strategies. Among the various alternatives to hedging are modifying the firm's capital structure, purchasing insurance, and modifying dividend policy. The amount of off-balance-sheet hedging activity undertaken by a specific firm is therefore a function of the value of hedging to the firm and the degree to which the firm has used alternatives to hedging. Using a regression analysis, this paper provides empirical evidence on the preceding relations. This study provides (1) the first empirical evidence into the reasons for a value-maximizing firm using off-balance-sheet hedging instruments, and (2) empirical insights into the way in which the firm's hedging decision interrelates with the capital structure, dividend, and insurance decisions.
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The hedging effectiveness of futures contracts : comparison of the Mean Gini and Mean Variance frameworksVan Niekerk, Leon 12 1900 (has links)
Thesis (MBA)--Stellenbosch University, 2003. / ENGLISH ABSTRACT: When hedging with futures contracts the hedge ratio is one of the fundamental figures needed
to set up a successful hedging strategy. The Mean Variance framework has been used for
some time to calculate hedge ratios for this exact purpose.
Certain assumptions are implicit in the Mean Variance framework such as the assumed
normality of returns and assumed quadratic utility functions of investors. The validity of these
assumptions has been questioned in the literature. The Mean Gini framework is first and
second order stochastically dominant implying that there is no assumption regarding the
return process or the utility function of investors. This study compares these two frameworks
regarding the hedge ratios generated by each and their subsequent hedging effectiveness.
The results indicate that neither one of the two frameworks generate the most effective hedge
ratios all the time. The Mean Gini framework is, however, preferred above the Mean Variance
framework for a significant number of futures contracts evaluated.
It can therefore be concluded that making use of the Mean Variance framework for all futures
contracts would have resulted in numerous ineffective hedging situations. / AFRIKAANSE OPSOMMING: Wanneer verskansing met termynkontrakte gedoen word is, die verskansingsverhouding een
van die fundamentele veranderlikes waaroor 'n besluit geneem moet word. Vir 'n geruime tyd
word die Minimum Variansie verskansingsverhouding vir hierdie doel gebruik.
Implisiet in die Minimum Variansie raamwerk is die aannames dat opbrengste normaal
verdeel is en dat die beleggersnutsfunksie kwadraties van aard is. Die geldigheid van hierdie
aannames het reeds heelwat kritiek in die literatuur ontlok. Die Gemiddelde Gini raamwerk is
eerste en tweede graads stochasties dominant, wat impliseer dat geen aannames aangaande die
opbrengs of die beleggersnutsfunksie gemaak word nie. Die studie vergelyk beide raamwerke
rakende die verskansingsverhoudings deur elk gegenereer en die gepaardgaande
verskansingdoeltreffendheid.
Die resultate toon dat nie een van die twee raamwerke vir alle kontrakte die mees effektiewe
verskansingsverhouding genereer nie. Die Gemiddelde Gini raamwerk word egter vir 'n
beduidende aantal van die termynkontrakte bestudeer bo die Minimum Variansie raamwerk
verkies.
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Semi-static hedging of guarantees in variable annuities under exponential lévy modelsPang, Long-fung., 彭朗峯. January 2010 (has links)
published_or_final_version / Statistics and Actuarial Science / Master / Master of Philosophy
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Stochastic volatility models: calibration, pricing and hedgingPoklewski-Koziell, Warrick 01 October 2012 (has links)
Stochastic volatility models have long provided a popular alternative to the Black-
Scholes-Merton framework. They provide, in a self-consistent way, an explanation
for the presence of implied volatility smiles/skews seen in practice. Incorporating
jumps into the stochastic volatility framework gives further freedom to nancial
mathematicians to t both the short and long end of the implied volatility surface.
We present three stochastic volatility models here - the Heston model, the Bates
model and the SVJJ model. The latter two models incorporate jumps in the stock
price process and, in the case of the SVJJ model, jumps in the volatility process. We
analyse the e ects that the di erent model parameters have on the implied volatility
surface as well as the returns distribution. We also present pricing techniques for
determining vanilla European option prices under the dynamics of the three models.
These include the fast Fourier transform (FFT) framework of Carr and Madan as
well as two Monte Carlo pricing methods. Making use of the FFT pricing framework,
we present calibration techniques for tting the models to option data. Speci cally,
we examine the use of the genetic algorithm, adaptive simulated annealing and a
MATLAB optimisation routine for tting the models to option data via a leastsquares
calibration routine. We favour the genetic algorithm and make use of it in
tting the three models to ALSI and S&P 500 option data. The last section of the
dissertation provides hedging techniques for the models via the calculation of option
price sensitivities. We nd that a delta, vega and gamma hedging scheme provides
the best results for the Heston model. The inclusion of jumps in the stock price and
volatility processes, however, worsens the performance of this scheme. MATLAB
code for some of the routines implemented is provided in the appendix.
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The valuation and Hedging of default-contingent claims in multiple currenciesTruter, Gavin Kenneth 18 September 2012 (has links)
This dissertation examines the pricing of the same credit risk in two currencies, and
hence the valuation of credit-contingent foreign exchange products. Such pricing
hinges upon the dependence of the credit risk and the foreign exchange rate. We recall
the reduced-form model proposed by Ehlers (2007), which allows credit-currency
dependence through correlation between the Brownian motions driving the default
intensity and the exchange rate, and through a jump in the exchange rate at the
default time. Four basic specifications of this model are considered. Two of these
specifications have not previously appeared in the literature and one of these, based
on a lognormal process for the default intensity, proves to be especially useful and
tractable. The problem of hedging defaultable claims in one currency with similar
claims in another is briefly considered, and it is shown that hedging against the
default event and against credit spread movements are not in general equivalent.
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Should people hedge against transaction exposure.January 1989 (has links)
by Rick Bute Man-kwong, Michael Wong Kam-tak. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1989. / Bibliography: leaves [1]-[2]
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