The Guaranteed Minimum Withdrawal Benefits (GMWBs) are optional riders provided by insurance companies in variable annuities. They guarantee the policyholders' ability to get the initial investment back by making periodic withdrawals regardless of the impact of poor market performance. With GMWBs attached, variable annuities become more attractive. This type of guarantee can be challenging to price and hedge. We employ two approaches to price GMWBs. Under the constant static withdrawal assumption, the first approach is to decompose the GMWB and the variable annuity into an arithmetic average strike Asian call option and an annuity certain. The second approach is to treat the GMWB alone as a put option whose maturity and payoff are random. Hedging helps insurers specify and manage the risks of writing GMWBs, as well as find their fair prices. We propose semi-static hedging strategies that offer several advantages over dynamic hedging. The idea is to construct a portfolio of European options that replicate the conditional expected GMWB liability in a short time period, and update the portfolio after the options expire. This strategy requires fewer portfolio adjustments, and outperforms the dynamic strategy when there are random jumps in the underlying price. We also extend the semi-static hedging strategies to the Heston stochastic volatility model.

The Guaranteed Minimum Withdrawal Benefits (GMWBs) are optional riders provided by insurance companies in variable annuities. They guarantee the policyholders' ability to get the initial investment back by making periodic withdrawals regardless of the impact of poor market performance. With GMWBs attached, variable annuities become more attractive. This type of guarantee can be challenging to price and hedge. We employ two approaches to price GMWBs. Under the constant static withdrawal assumption, the first approach is to decompose the GMWB and the variable annuity into an arithmetic average strike Asian call option and an annuity certain. The second approach is to treat the GMWB alone as a put option whose maturity and payoff are random. Hedging helps insurers specify and manage the risks of writing GMWBs, as well as find their fair prices. We propose semi-static hedging strategies that offer several advantages over dynamic hedging. The idea is to construct a portfolio of European options that replicate the conditional expected GMWB liability in a short time period, and update the portfolio after the options expire. This strategy requires fewer portfolio adjustments, and outperforms the dynamic strategy when there are random jumps in the underlying price. We also extend the semi-static hedging strategies to the Heston stochastic volatility model.

The CWB has the stated objective of increasing producer returns through maximizing sales revenue and minimizing operating costs. To maximize producer returns the CWB derives value from single-desk selling, price pooling and the initial price guarantee.<p> The initial price allows the CWB to offer a price floor to producers which is guaranteed by the Federal government. This guarantee has come under review in recent World Trade Organization (WTO) negotiations with opponents stating that the Federal government is unfairly subsidizing producers. Therefore developing methods to hedge the initial payment and remove the CWB dependency on the Federal government guarantee has taken on considerable importance.<p> Hedging the initial price has two components, the first is commodity risk, and the second is currency risk. Commodity risk basically consists of the risk that wheat prices decrease significantly from the announcement of the initial payment resulting in a wheat pool account deficit. Currency risk relates to the risk of the Canadian dollar (CAD) increasing vis-à-vis the United States dollar (USD) resulting in lower wheat prices. This is due to the fact most sales are made in USD, necessitating the conversion of USD for CAD in order to pay Canadian producers. Given recent increases in exchange rate volatility this later risk is important. <p> The goal of this study is to evaluate the currency risk present in the initial payment and to examine alternate means of mitigating this risk. A number of call option strategies will be evaluated to determine its ability to reduce the probability of a wheat pool account deficit by offsetting the effect of a rising CAD.<p> The policy variables analyzed in the thesis are the initial payment as a percentage of the Pool Return Outlook for wheat and the strike price of the call options purchased. Therefore the study will examine the effect of inputting varying initial payment levels and different strike prices for the call options in the model. This will allow for quantifiable insight into cost versus risk reduction comparisons. These comparisons will be useful in determining the most efficient mode of action for the CWB.

Abstract The thesis is addressing the inventory valuation method called moving average and how this inventory method handles exchange rate differences. Intentions of the study is also to highlight differences and similarities between the two methods standard cost and moving average. This study fills an existing gap in science regarding pros and cons with the moving average method which made the topic very interesting.  It also has strong practical contribution regarding possible benefits and problems of relevance to companies that have intentions of implementing moving average on their inventory. The relationships between foreign exchange rate risks and inventory leads to the formulated research question for this thesis: What are the effects of currency movements in the cost of goods sold from an inventory valued at moving average method? Based on the technical problem statement was a constructive approach and interpretive standpoint considered best suited for the study. The gathering of data was conducted by using a qualitative research strategy. Three different topics are used in the theoretical frame; inventory valuation, exchange rates and hedging. The theoretical frame describes the accounting standards behind inventory valuation and exchange rates, as well as the theories addressed. Third and final topic hedging is about how to manage exchange rate exposures using different hedging techniques. The in-depth investigation was made for four business units with inventories valued according to the moving average method. Sampling was divided into two parts one for the companies and another choosing respondents. Selection of companies was a convenient sample within the non-probability samples used and the respondents were selected using a snowball sample. Semi-structured interviews were conducted with nine respondents. Both the empirical- and analysis chapter follows the same three topics as the theory structure and the empirical answers are divided into companies to facilitate the comparison. A short summary of the analysis is that moving average is most suitable for inventories with; high inventory turnovers, sales from shelf and stable costs. There is a need to identify input costs to manage exchange rate differences correctly. The final part about hedging showed that different exposures need different hedging techniques. Forward contracts were the most common financial instrument used for hedging transaction exposures. Input risks also identified as an economic risk is one of the hardest to manage. This study has showed that effects from exchange rate fluctuations affect the moving average inventory value different than other inventory models. The input currencies need to be identified and separated from the sales currencies otherwise there is a potential risk to make wrong decisions.

Abstract   The following essay is an analysis of the translation process from English into Swedish of four articles about the oceans of the world, printed in The Economist in December 2008. This publication claims to be using a language characterised by "clarity, style and precision", wherefore these concepts provide the focus for the analysis. "Clarity" was looked at in terms of metaphors, "style" in terms of quotes and allusions present in headlines, leads and subheadings and "precision" was studied in terms of hedging.                       Metaphor is employed as a clarifying device in scientific discourse. The 36 occurring metaphors were classified as either 'dead', 'cliché', 'stock' or 'original'. Dead metaphors, 50% of all, turned out to be highly effective in scientific discourse and therefore the term 'fixed metaphors' would be preferred. The original metaphors used give evidence to the writer's literary ambitions. The translation strategy applied was in most cases literal translation.                       The publication makes frequent use of quotes, allusions and aestheticizing devices in headlines, leads and subheadings. The origins of those stylistic elements are not always transparent and had to be identified. In case of existing recognized translations those were kept; when not available, original translations were attempted. Adopting the house-style by taking balance, metre, rhyme and alliteration into consideration during the translation process was time-consuming, indicating that a fully translated edition on a weekly basis is not feasible. Literal translation was rarely possible, instead equivalence was aimed at.                       Hedging is a means for increased precision in scientific discourse. The main reason for using epistemic hedging with a proposition is face-saving, i.e. the writer avoids responsibility for the truth value of the proposition. 62% of the sentences were found to include at least one hedged instance. The instances of hedging of numerical data and quantifiers were almost equal to the number of hedges referring to the writer's personal stance. Literal translation was adequate for the translation process.   Keywords: translation strategies, scientific discourse, metaphors, stylistic devices, hedging       Abstract   The following essay is an analysis of the translation process from English into Swedish of four articles about the oceans of the world, printed in The Economist in December 2008. This publication claims to be using a language characterised by "clarity, style and precision", wherefore these concepts provide the focus for the analysis. "Clarity" was looked at in terms of metaphors, "style" in terms of quotes and allusions present in headlines, leads and subheadings and "precision" was studied in terms of hedging.                       Metaphor is employed as a clarifying device in scientific discourse. The 36 occurring metaphors were classified as either 'dead', 'cliché', 'stock' or 'original'. Dead metaphors, 50% of all, turned out to be highly effective in scientific discourse and therefore the term 'fixed metaphors' would be preferred. The original metaphors used give evidence to the writer's literary ambitions. The translation strategy applied was in most cases literal translation.                       The publication makes frequent use of quotes, allusions and aestheticizing devices in headlines, leads and subheadings. The origins of those stylistic elements are not always transparent and had to be identified. In case of existing recognized translations those were kept; when not available, original translations were attempted. Adopting the house-style by taking balance, metre, rhyme and alliteration into consideration during the translation process was time-consuming, indicating that a fully translated edition on a weekly basis is not feasible. Literal translation was rarely possible, instead equivalence was aimed at.                       Hedging is a means for increased precision in scientific discourse. The main reason for using epistemic hedging with a proposition is face-saving, i.e. the writer avoids responsibility for the truth value of the proposition. 62% of the sentences were found to include at least one hedged instance. The instances of hedging of numerical data and quantifiers were almost equal to the number of hedges referring to the writer's personal stance. Literal translation was adequate for the translation process.   Keywords: translation strategies, scientific discourse, metaphors, stylistic devices, hedging       Abstract   The following essay is an analysis of the translation process from English into Swedish of four articles about the oceans of the world, printed in The Economist in December 2008. This publication claims to be using a language characterised by "clarity, style and precision", wherefore these concepts provide the focus for the analysis. "Clarity" was looked at in terms of metaphors, "style" in terms of quotes and allusions present in headlines, leads and subheadings and "precision" was studied in terms of hedging.                       Metaphor is employed as a clarifying device in scientific discourse. The 36 occurring metaphors were classified as either 'dead', 'cliché', 'stock' or 'original'. Dead metaphors, 50% of all, turned out to be highly effective in scientific discourse and therefore the term 'fixed metaphors' would be preferred. The original metaphors used give evidence to the writer's literary ambitions. The translation strategy applied was in most cases literal translation.                       The publication makes frequent use of quotes, allusions and aestheticizing devices in headlines, leads and subheadings. The origins of those stylistic elements are not always transparent and had to be identified. In case of existing recognized translations those were kept; when not available, original translations were attempted. Adopting the house-style by taking balance, metre, rhyme and alliteration into consideration during the translation process was time-consuming, indicating that a fully translated edition on a weekly basis is not feasible. Literal translation was rarely possible, instead equivalence was aimed at.                       Hedging is a means for increased precision in scientific discourse. The main reason for using epistemic hedging with a proposition is face-saving, i.e. the writer avoids responsibility for the truth value of the proposition. 62% of the sentences were found to include at least one hedged instance. The instances of hedging of numerical data and quantifiers were almost equal to the number of hedges referring to the writer's personal stance. Literal translation was adequate for the translation process.   Keywords: translation strategies, scientific discourse, metaphors, stylistic devices, hedging       Abstract   The following essay is an analysis of the translation process from English into Swedish of four articles about the oceans of the world, printed in The Economist in December 2008. This publication claims to be using a language characterised by "clarity, style and precision", wherefore these concepts provide the focus for the analysis. "Clarity" was looked at in terms of metaphors, "style" in terms of quotes and allusions present in headlines, leads and subheadings and "precision" was studied in terms of hedging.                       Metaphor is employed as a clarifying device in scientific discourse. The 36 occurring metaphors were classified as either 'dead', 'cliché', 'stock' or 'original'. Dead metaphors, 50% of all, turned out to be highly effective in scientific discourse and therefore the term 'fixed metaphors' would be preferred. The original metaphors used give evidence to the writer's literary ambitions. The translation strategy applied was in most cases literal translation.                       The publication makes frequent use of quotes, allusions and aestheticizing devices in headlines, leads and subheadings. The origins of those stylistic elements are not always transparent and had to be identified. In case of existing recognized translations those were kept; when not available, original translations were attempted. Adopting the house-style by taking balance, metre, rhyme and alliteration into consideration during the translation process was time-consuming, indicating that a fully translated edition on a weekly basis is not feasible. Literal translation was rarely possible, instead equivalence was aimed at.                       Hedging is a means for increased precision in scientific discourse. The main reason for using epistemic hedging with a proposition is face-saving, i.e. the writer avoids responsibility for the truth value of the proposition. 62% of the sentences were found to include at least one hedged instance. The instances of hedging of numerical data and quantifiers were almost equal to the number of hedges referring to the writer's personal stance. Literal translation was adequate for the translation process.   Keywords: translation strategies, scientific discourse, metaphors, stylistic devices, hedging

By the time of 2011, Taiwan Futures Exchange has issued 8 kinds of stock index futures. By taking a closer look at the transaction of the index futures, we found out that, in terms of trading volume, there is a significant difference among each others. Based on the observation, our research focuses on studying the existence value of the index futures in terms of hedging and speculating functions. The definition of futures¡¦ existence value is that the investors can use the futures to achieve the objectives of hedging and speculating in financial market. The research objects are TX, TE, TF, MTX, XIF, and GTF. The method to measure the hedging function is based on Portfolio and Hedging Theory of Johnson (1959). We estimate the hedging ratio with different data periods to calculate the hedging effectiveness. The method to measure the speculating function is based on the theory of Rutledge (1979) et al. We calculate the speculating trading volume to study the relationship with the basis by using OLS model. The empirical result shows that, in the hedging function, all of the index futures¡¦ hedging ratios are almost less than 1, and all have high hedging effectiveness. There is no significant influence on hedging effectiveness with different data periods and issuing time. In the speculating function, TX, MTX, and GTF will make speculating activities increase when the basis get bigger but TE, TF, and XIF will not. To sum up, TX, MTX, and GTF have higher existence value than TE, TF, and XIF. At last, based on the observation from this study, we propose several policy suggestions for enhancing the existence value of the index futures in financial market.

MV is the traditional method to treat international portfolio selection problems, which bases its theory on the assumption of Normal Distribution. However, during economy recession the portfolio return turns out to be a fat tail distribution. Therefore, in this sense, we explore Roy’s SF criterion and apply the extreme theory to the historical data. We demonstrate how such portfolios would perform during the Asian Crisis, IT Bubble Bust and the Financial Crisis separately. We also compare the SF portfolio’s performance to the MV portfolio’s performance, therefore to check, SF and MV portfolio, which will outperform during bust and boom of the economy. The Asian Crisis was marked with great currency devaluation and lower currency return on equity. The Dot.Com Bubble Busts was known for its sharp plummet in the stock market, while, the Financial Crisis was known as the large falls in the US stock market and elsewhere. They are the extreme events of the world capital markets, which in some way contribute to the non-normal distribution. Simulated results over the 1997-2010 period which include six busts and booms: the Asian Crisis, period after Asian Crisis, IT Bubble Bust, period after IT Bubble Bust, The Financial Crisis and period after The Financial Crisis, indicate that SF portfolio outperforms MV portfolio during most of the times, this result is especially obvious for Indonesian and Thailand.

The bid-ask spread costs consist of three components, which include order processing costs, inventory-holding costs, and adverse selection costs. In this paper, we model the inventory-holding costs of the bid-ask spread by option hedging. Theinventory-holding costs are hedged by call or put option positions. Since trades deal with the adverse selection traders are unobservable. We treat it as a latent variable, and Expected-Maximization (EM) algorithm are applied to estimate the related parameters of the model. Simulation studies are performed for several different models. Empirical results of NYSE high frequency data show that the proposed model are obtain appropriate parameter estimation when the returns satisfied normality assumption.

With the rapid increase in the usage of barrier options on the OTC markets, pricing and especially hedging of these exotic instruments became an important field of research. This paper aims to explain, apply and compare current methods used for pricing and hedging barrier options with a simulation approach. An overview of most popular methods for pricing and hedging is presented in the first part, followed by application of these pricing methods and comparing the performances of different dynamic and static hedging techniques in Black-Scholes environment by simulation in the second part. In the third part different models such as ARCH type and Stochastic Volatility are used with different jump terms to relax the assumptions of the Black-Scholes and examine the effects of these incomplete models on both pricing and performance of different hedging techniques. In the fourth part diffusion models such as Constant Variance Elasticity, Heston Stochastic Volatility and Merton Jump Diffusion are used to complete the picture.

The first option has been publicly traded for more than 30 years. With the progress of time, despite the European option is still the exchange-traded option. But evolved through the years, the European option has not meet people's needs, so exotic option was born. Similarly, the pricing model, from the traditional closed-form solution (under the Black-Scholes assumption), now commonly used binomial trees, finite difference, or by using the Monte Carlo simulation. The main impact of the following factors: the first, with the complexity of the option contract - from single asset to multi-assets, from the plain vanilla option to the path-dependent option, it is more difficult to find the closed-form solution of the option. Second, with the development of personal computers, making numerical computing is no longer a difficult task. It is precisely these two front reason, there will be the birth of this article. Himalaya option is also an exotic options. With the multi-assets and path dependent features, we want to find a closed-form solution is very difficult. Under multi-assets situation, the binomial tree and finite difference will be time-consuming calculation. Therefore, this paper is using Monte Carlo simulation of reasons. In this paper, we use Monte Carlo simulation to pricing Himalaya option, which includes several variance reduction techniques used to reduce sample variance. Finally, when pricing completed, we try to do a simple study to option hedging.