This dissertation analyzes the pricing and hedging problems for quanto range accrual note under the HJM-framework with Levy processes for instantaneous domestic and foreign forward interest rates. We consider both the effects of jump risks of interest rate and exchange rate on the pricing of the notes. The pricing formula for quanto double interest rate digital option and quanto contingent payoff option are first derived, then we apply the method proposed by Turnbull(1995) to duplicate the qaunto range accrual note by a combination of the quanto double interest rate digital option and the qunato contingent payoff option. Furthermore, using the pricing formulas derived in this paper, we obtain the hedging position for each issue of range accrual notes. In addition, by simulation and assuming the jump to be compound Poisson process, we further analyze the effects of jump risk and exchange rate risk on the coupons receivable in holding a range accrual note. / This dissertation analyzes the pricing and hedging problems for quanto range accrual note under the HJM-framework with Levy processes for instantaneous domestic and foreign forward interest rates. We consider both the effects of jump risks of interest rate and exchange rate on the pricing of the notes. The pricing formula for quanto double interest rate digital option and quanto contingent payoff option are first derived, then we apply the method proposed by Turnbull(1995) to duplicate the qaunto range accrual note by a combination of the quanto double interest rate digital option and the qunato contingent payoff option. Furthermore, using the pricing formulas derived in this paper, we obtain the hedging position for each issue of range accrual notes. In addition, by simulation and assuming the jump to be compound Poisson process, we further analyze the effects of jump risk and exchange rate risk on the coupons receivable in holding a range accrual note.

The South African fixed interest rate market has historically had very little liquidity beyond 15 - 20 years. Most financial institutions are currently prepared to quote and trade interest rate risk up to a maximum term of 30 years. Any trades beyond 30 years usually attract very onerous spreads and raise relevant questions regarding an appropriate level of mid-rates. However, there are many South African entities whose business involves taking on exposure to interest rates beyond 30 years, such as life insurance companies and pension funds. These entities have historically used very traditional approaches to hedging their interest rate exposures across the whole term structure and have typically done little to gain any further protection. We can generalise the problems faced by any entity exposed to long term interest rate risk in South Africa: 1. The inadequacy of traditional matching methods (i.e. immunisation and bucketing) to cope with the long term interest rate risks. 2. The non-observability of interest rate data beyond the maximum term in the yield curve. Associated with this is the inability to adequately quantify interest rate risk. 3. The lack of liquidity in long term interest rate markets. Associated with this is the inability to adequately hedge long term interest rate risk. We examine various traditional approaches to matching / hedging interest rate risk using information available at observable / tradable terms on the nominal yield curve. We then look at the reasons why these approaches are not suitable for hedging long term interest rate risk. Some modern methods to forecast and hedge long term interest rate risks are then examined and the possibility of their use in managing long term interest risk is explored. On the back of these investigations, we propose a number of possible yield curve extrapolation procedures and methodology for performing calibrations. Using some general theoretical hedging results, we perform a case study which analyses the performance of various theoretical hedges over a historical period from October 2001 to March 2007. The results indicate that extrapolation and hedging of the yield curve is able to significantly reduce Value-At-Risk of long term interest rate exposures. A second case study is then performed which analyses performance of the various theoretical hedges using out-of-sample simulated yield curve data. We find that there appears to be a significant benefit to the use of yield curve extrapolation techniques, specifically when used in conjunction with a hedging strategy. In some cases we find that the more simple extrapolation techniques actually increase risk (significantly) when used in conjunction with hedging. However, for some of the more advanced techniques, risk can be significantly reduced. For an entity looking to deal with long term interest rate risk, we find that the choice of extrapolation technique and hedging strategy go hand-in-hand. For this reason the cost of hedging and reduction in risk are strongly correlated. The results we obtain suggest that it is necessary to weigh the benefits against the cost of hedging. Further, this cost seems to increase with increasing reduction in risk. The research and results presented here are related to those in the paper Long Term Forecasting and Hedging of the South African Yield Curve presented by Thomas and Maré at the 2007 Actuarial Convention in South Africa. Copyright / Dissertation (MSc)--University of Pretoria, 2009. / Mathematics and Applied Mathematics / unrestricted

This study investigates how risk management in general, and hedging in specific is used  in industries that produce and sell raw materials. We investigated the hedging strategies in the Swedish mining industry. We gathered data for this study from five interviews with CFO’s and Head of treasury’s from five different Swedish mining companies in order to get their  expertise and opinions of hedging. We found that companies only hedged their commodity prices if they were forced by circumstances outside of their control. We also found interesting similarities and differences between state-owned and publicly traded companies.

This thesis analyzes the optimal strategies of rational agents in incomplete financial markets. The incompleteness may arise from the stochastic volatility of stock prices, in which case we study the optimal pricing and hedging strategies of an option trader. We introduce a new concept that we call the relative indifference price, which is the price at which a trader is indifferent to trade in an additional option, given that he is currently holding and dynamically hedging a portfolio of options. We find that the appropriate volatility risk premium depends on the trader's risk aversion coeffcient and his portfolio position before selling or buying the additional option. More generally, the incompleteness of the market may arise from both the drift and volatility of the stock being driven by a correlated factor. In this setting, we study the optimal consumption and investment policies of CARA, conservative CRRA and aggressive CRRA agents. In particular, we provide interpretations of the non-myopic investment in terms of martingale measures and the risk monitoring strategy of a path-dependent option. / text

本篇論文採用了固定時段避險法，固定避險帶避險法，不足量避險法，Leland（1985）避險法以及Whalley & Wilmott（1993）效用極大避險法，用Monte-Carlo模擬，探討了當券商發行權證時，所面臨的避險組合調整問題。結果發現，在所有的避險策略當中，以Whalley & Wilmott（1993）效用極大避險法的避險績效最好。但是其他的方法，都一致支持保守的避險策略，即多調整避險組合，可以有效提高避險的績效。但是若我們改變交易成本，就會發現隨著交易成本的增加，調整避險組合的次數就要減少，否則過高的交易成本就會抵銷掉避險時的報酬。若我們改變股價的波動度設定，就會發現隨著波動度的增加，調整避險組合的次數也要增加，以免產生過高的避險誤差。此外，在存在漲跌幅限制的假設之下，避險績效都較無漲跌幅限制為佳，因為漲跌幅限制的存在，使得股價波動受到壓縮之故。而在實證資料方面，由於單一條股價不具代表性，因此無法作為有效的解釋。 第一章 緒論………………..…………...………………………....…1 第一節 研究動機與目的………………………..…………………..1 第二節 研究架構……………………………………………………2 第二章 文獻回顧………………….……..………….………………4 第三章 認購權證避險策略之績效模擬…………………...….18 第一節 五種避險策略之介紹……………………………………….18 第二節 避險策略的模擬 Monte-Carlo Simulation…………………27 第三節 模擬結果分析………………………………………………36 第四節 不同交易成本對避險績效之影響………………………….50 第五節 不同股價波動度對避險績效之影響……………………….58 第六節 每小時產生股價之影響…………………………………...67 第四章 台灣認購權證市場之避險實證分析…………..….…71 第一節 台灣上市認購權證之介紹…………………………………71 第二節 實證研究設計………………………………….………….78 第三節 避險策略績效分析…………………………….………….79 第五章 結論與建議…………………………………………….…87 參考文獻………………….…………………………………………….94 表3.1 固定時段避險法之避險績效衡量…………………………..36 表3.2 固定避險帶避險法之避險績效衡量………………………..38 表3.3 固定delta避險帶避險法之避險績效衡量…………………....40 表3.4 不足量避險法之避險績效衡量……………………………..42 表3.5 Leland法之避險績效衡量…………………………………..44 表3.6 Whalley & Wilmott法之避險績效衡量…………………….47 表3.7 交易成本為0.6％時之固定避險帶避險績效衡量…………51 表3.8 交易成本為0.9％時之固定避險帶避險績效衡量…………52 表3.9 交易成本為0.6％時之固定時段避險績效衡量…………...…54 表3.10 交易成本為0.9％時之固定時段避險績效衡量………...……56 表3.11 在波動度＝30％時之固定避險帶避險績效衡量…………..59 表3.12 在波動度＝50％時之固定避險帶避險績效衡量…………..60 表3.13 在波動度＝70％時之固定避險帶避險績效衡量…………..61 表3.14 在波動度＝30％時之固定時段避險績效衡量……………..63 表3.15 在波動度＝50％時之固定時段避險績效衡量……………..64 表3.16 在波動度＝70％時之固定時段避險績效衡量……………..66 表3.17 每小時產生股價資料之固定時段避險績效衡量…………...68 表3.18 每小時產生股價資料之固定避險帶避險績效衡量………...69 表4.1 台灣現行已發行之認購權證………………………………..77 表4.2 固定避險時段法實證避險報酬率………………………...79 表4.3 固定避險帶法實證避險報酬率…………………………...80 表4.4 不足量避險法實證避險報酬率…………………………...82 表4.5 Leland避險法實證避險報酬率…………………………...84 表4.6 Whalley & Wilmott避險法實證避險報酬率……………..…85 圖3.1 避險間隔與避險誤差、交易成本關係圖……….……………..19 圖3.2 固定時段避險法之避險績效………………………...………..37 圖3.3 固定避險帶避險法之避險績效…………………………….....39 圖3.4 固定delta避險帶避險法之避險績效…………………..….....40 圖3.5 不足量避險法之避險績效………………………………….....42 圖3.6 Leland避險法之避險績效………………………………….....45 圖3.7 Whaley & Wilmott避險法之避險績效…………………….....47 圖3.8 交易成本為0.6％時之固定避險帶避險績效…..…………….52 圖3.9 交易成本為0.9％時之固定避險帶避險績效..……………….53 圖3.10 交易成本為0.6％時之固定時段避險績效…………..…..….55 圖3.11 交易成本為0.9％時之固定時段避險績效…………..……...57 圖3.12 波動度30％之固定避險帶避險績效………..………………59 圖3.13 波動度50％之固定避險帶避險績效……………………..... 60 圖3.14 波動度70％之固定避險帶避險績效……………..…………62 圖3.15 波動度30％之固定時段避險績效…………………………..63 圖3.16 波動度50％之固定時段避險績效………..…………………65 圖3.17 波動度70％之固定時段避險績效…………………………..66

This thesis has an aim to create a hedging strategy for currency risks for exporting company. The main reason for hedging are possible losses that can be triggered by changes in exchange rate. In the case of exchange rate changes exporting company may face three different types of exposure: transaction, translation and economic exposure. This thesis concentrates on transaction exposure and builds a hedging strategy for exporting company AAA a.s. This firm is analyzed from qualitative side as well as from quantitative which is presented in the form of historical overview of the company and its position in international group. Based on this analysis as well as on theoretical findings, the hedging strategy for AAA a.s. was proposed. This strategy uses external and internal means of hedging.

投資型商品連動於特定資產，保險人除了面臨原有的核保風險，更需承擔部分的財務風險。傳統保險商品的純保費價格等於其預期損失，而投資型商品的保險給付依據投資標的波動，保險人的預期損失不易估算，傳統精算的評價方法不完全適用於投資型商品。保證最低給付的給付結構使得投資型商品其有選擇權的特質，Brennan與Schwartz(1976)首先利用選擇權定價理論探討附有保證最低給付投資型商品之價值與避險策略，爾後亦有許多文獻以此方向加以著墨，但選擇權定價理論是基於市場為完全市場的假設，保險市場為不完全市場，以完全市場假設之理論評定保險商品之價值實不合理。本為假設保險人面臨的風險為核保風險及財務風險，財務市場為完全市場，保險人可以藉由市場上的各種金融商品建構避險組合規避財務風險；而預期死亡人數與實際死亡人數所產生的核保誤差，保險人無法利用避險組合完全地規避，因此保險市場為不完全市場。 在不完全市場中請求權的價值牽涉投資者主觀的風險偏好，不存在唯一的平賭測度，請求權的價格也不唯一，最適避險策略依請求權的價格調整，所以投資型保險商品的價格不再等於其公平價值，真正的成交價格應落於買賣價差之中。本文引用Mercurio(1996)的結果，利用二次效用函數，以極大化保險人期末財富之效用為目標，建構生存險的合理價格範圍。以二元樹模型描述股票的波動，分別模擬五年、十年及十五年投資型生存險之價差範圍，保險人的風險規避程度、保單期限以及保證金額的高低將影響商品價差範圍的大小。 關鍵字：不完全市場、效用函數，買賣價差、最適避險策略 / Investment-linked life (LIL) insurance policies integrate the attributes from the mutual fund by introducing the investment options to the policyholders and life insurance through the benefit payments shielding the unexpected events of the insured. Since the execution of the implied options depends on the policyholder's health status. Actuarial equivalent principal and non-arbitrage pricing theory are used in evaluating the prices for LIL insurance policies. Brennan and Schwartz (1976) initially employ the option pricing theory in examining the pricing and hedging strategy for LIL insurance policies with minimum guarantees. Most published literatures are focusing on this issue adopting the B-S methodology. Since the values of the LIL policies cannot be replicated uniquely through the self-financing strategies due to underwriting risks of the insurance market. Insurance market does not satisfy the completeness assumptions, Due to lack of a unique martingale measure under market incompleteness, the utility assumption of the policyholder is involved in the pricing issue. Insurance pricing must consider the risk attitude of the investors in the market. Hence the cost the LIL insurance policies are not necessarily equal to the fair market prices. The market value should fall within the range of the bid and ask prices. In this study, we follow the approach in Mercurio (1996) by adopting the quadratic utility function and compute the reasonable range of the prices based on maximizing the terminal health utility function. Binary tree method is used in modeling the asset dynamics. Then the numerical computations are performed using endowment LIL insurance policies with 5, 10 and 15 years of duration. Based on the results, we find that the risk attitude of the policyholder, the policy duration and minimum amounts of the guarantees significantly affect the bid-ask price spread of LIL insurance policies. Keywords: market incompleteness; utility function; bid-ask spread; optimal hedging strategy.

对于中国来说，对大国的渴望不再是这个问题，对邻近的东南亚国家实际上是有重大影响的。因此，近期国际关系奖学金已经引人注目的尝试，将“对冲”理念作为一种流行和根本的动态策略。本论文认为，越南对冲策略的选择是适当的，以便对付与中国的关系，但尚未完全保护越南的国家利益。本论文探讨了这一战略的四个关键组成部分：经济实用主义，硬平衡和软平衡。通过考虑和重新评估这些因素，研究发现了妨碍越南对冲实施的困难。此外，它还分析了大湄公河次区域（GMS）在经济领域的案例研究，以支持对经济实用主义的看法。最终得出结论，尽管越南在采取套期保值策略之后获得了一定的利益，但这些成就产生了国家安全的新风险，这可能会加剧该国在处理南海争端方面的压力。 / For China, the aspiration to great power no longer seems out of the question and this has actually a significant impact for neighboring Southeast Asian states. For this reason, there have been noticeable attempts in recent International Relations scholarship to introduce the concept of ‘hedging’ as a popular and fundamentally dynamic strategy for them. This thesis argues that the choice of Vietnam’s hedging strategy is appropriate so as to manage its relations with China, but has not yet protected Vietnam’s national interests completely. This thesis examines three of four key components of this strategy: economic pragmatism, hard balancing and soft balancing. By considering and reassessing these elements, the study finds difficulties that interfere in the implementation of Vietnam’s hedging. Furthermore, it incorporates an analysis of a case study in the economic realm, Greater Mekong Sub-region (GMS) in supporting the perceptions of economic pragmatism. Ultimately, it concludes that though Vietnam gains certain interests after adopting hedging strategy, those achievements produce new risks of national security that might increase more pressures for the country in dealing with the South China Sea (SCS) disputes.

Este trabalho analisa três estratégias de hedge de opção, buscando identificar a importância da escolha da estratégia para a obtenção de um bom desempenho do hedge. O conceito de hedge é analisado de forma retrospectiva e uma teoria geral de hedge é apresentada. Em seguida são descritos alguns estudos comparativos de desempenho de estratégias de hedge de opção e suas metodologias de implementação. Para esta análise comparativa são selecionadas três estratégias de hedge de opção de compra do tipo européia: a primeira utiliza o modelo Black-Scholes-Merton de precificação de opções, a segunda utiliza uma solução de programação dinâmica para hedge dinâmico multiperiódico e a terceira utiliza um modelo GARCH para precificação de opções. As estratégias são comentadas e comparadas do ponto de vista de suas premissas teóricas e por meio de testes comparativos de desempenho. O desempenho das estratégias é comparado sob uma perspectiva dinâmicamente ajustada, multiperiódica e autofinanciável. Os dados para comparação de desempenho são gerados por simulação e o desempenho é avaliado pelos erros absolutos médios e erros quadráticos médios, resultantes na carteira de hedge. São feitas ainda considerações a respeito de alternativas de estimação e suas implicações no desempenho das estratégias. / This work analyzes three option hedging strategies, to identify the importance of choosing a strategy in order to achieve a good hedging performance. A retrospective analysis of the concept of hedging is conducted and a general hedging theory is presented. Following, some comparative papers of hedging performance and their implementation methodologies are described. For the present comparative analysis, three hedging strategies for European options have been selected: the first one based on the Black-Scholes-Merton model for option pricing, the second one based on a dynamic programming solution for dynamic multiperiod hedging and the third one based on a GARCH model for option pricing. The strategies are compared under their theoric premisses and through comparative performance testes. The performances of the strategies are compared under a dynamically adjusted multiperiodic and self-financing perspective. Data for performance comparison are generated by simulation and performance is evaluated by mean absolute errors and mean squared errors resulting on the hedging portfolio. An analysis is also done regarding estimation approaches and their implications over the performance of the strategies.

Une question fondamentale en écologie des populations est l’identification des facteurs influençant la dynamique d’une population. L’objectif principal de cette thèse est de déterminer quelles sont les réponses démographiques et populationnelles de prédateurs marins supérieurs face aux fluctuations d’abondance de leurs proies, aux variations climatiques, à la densité-dépendance tout en tenant compte de l’hétérogénéité inter et intra-individuelle (âge, expérience, sexe, qualité ou stratégie). Pour ce faire, nous nous baserons sur l’analyse de suivis à long-terme individuels et populationnels d’oiseaux marins longévifs et prédateurs apicaux phylogénétiquement très proches dans deux biomes contrastés : le labbe de McCormick Catharacta maccormicki sur l’archipel de Pointe Géologie en Antarctique et le labbe subantarctique Catharacta lonnbergi sur l’archipel des Kerguelen en milieu subantarctique. Nous tirerons parti d’estimations d’abondances de leurs proies respectives : le manchot Adélie Pygoscelis adeliae et le manchot empereur Aptenodytes forsteri en Antarctique, et le pétrel bleu Halobaena caerulea et le prion de Belcher Pachyptila belcheri à Kerguelen. Ces jeux de données offrent une opportunité unique de pouvoir déterminer et quantifier simultanément les différentes sources de variabilité dans les changements de taille de populations naturelles occupant l’un des niveaux trophiques les plus élevés des réseaux alimentaires antarctiques et subantarctiques. Nous avons mis en évidence de la variation dans plusieurs traits vitaux des deux populations influencées par les performances des individus et de l’hétérogénéité individuelle latente. Nous discutons des mécanismes par lesquels la variabilité climatique, l’abondance de proie et la densité de population peuvent affecter différentiellement les différentes classes d’âges de chaque trait vital, et les conséquences potentielles de futurs changements environnementaux. / A fundamental endeavor in population ecology is to identify the drivers of population dynamics. The main objective of this thesis is to determine what are the demographic and population responses of superior marine predators to the fluctuations of their prey abundance, to climatic variations, to density-dependence while taking into account inter and intra individual heterogeneity (age, experience, sex, quality or strategy). To do this, we analysed long-term individual and population-based monitoring of long-lived seabirds and phylogenetically close apical predators in two contrasting biomes: the south polar skua Catharacta maccormicki at Pointe Géologie archipelago, Antarctica, and the brown skua Catharacta lonnbergi on the sub-Antarctic Kerguelen Archipelago. We will use direct abundance of their respective prey: Adélie penguin Pygoscelis adeliae and emperor penguin Aptenodytes forsteri in Antarctica, and the blue petrel Halobaena caerulea and the thin-billed prion Pachyptila belcheri prion in Kerguelen islands. These datasets provide a unique opportunity to simultaneously disentangle and quantify the different sources of variability driving variation in natural populations occupying one of the highest trophic levels of the Antarctic and sub-Antarctic food webs. We found variation in several vital traits of both populations influenced by individual performance and latent individual heterogeneity. We discuss the mechanisms by which climatic variability, prey abundance, and population density can differentially affect the different age classes of each age class, and the potential consequences of future environmental changes.