£76.29

Financial Hedging

Commodities

Price data updated today

View at Amazon

Price History & Forecast

Last 91 days • 91 data points

Historical

Generating forecast...

Price Distribution

Price distribution over 91 days • 4 price ranges

Days at Price

Current Price

Price Analysis

Most common range: £11-24 (49 days, 53.8%)

Price range: £11 - £76

Price levels: 4 price ranges over 91 days

Description

Financial hedging refers to taking out investments in order to reduce or cancel the risk in another investment. Its purpose is to minimise unwanted business risk while still allowing the business to profit from investment activity. The problem of credit risk is one of the most important problems in finance. It consists of computing the probability of a firm defaulting on a debt. The time evolution of rating for credit risk models can be studied by means of Markov transition models. This book looks at the homogeneous and non-homogeneous semi-Markov backward credit risk migration models. A joint optimisation model for a firm's hedging and leverage decisions is also examined to help establish an integrated framework for value creation. Rather than artificially separating the two interrelated parts of the firm's financial policy, both corporate decision variables are treated as endogenous. Furthermore, the cross-sectional variation in indirect bankruptcy costs is discussed, possibly resulting from a deterioration of relationships with customers, suppliers or other stakeholders prior to the legal act of bankruptcy. The effect of probability weighting on hedging decisions is explored in this book. Observed hedge ratios in a storage context are close to zero in many situations and often smaller than the standard minimum-variance hedge zero. Thus, the importance of probability weighting in decision making and how it can cause dramatic changes in behavior is looked at. This book also re-examines hedging performance of the minimum variance hedge ratios (MVHR) estimated using both the OLS and the GARCH-type models with S&P 500 index futures contracts. In particular, the out-of-sample comparison of hedging performance of the MVHRs under different market volatility regimes are looked at. In addition, the analysis for parametric and non-parametric Markov processes are discussed and the construction of the transition matrix in these two different cases. Several possible strategies where the investors recalibrate their portfolios at a fixed temporal horizon are proposed. The authors also show how the Markov assumption can be used to forecast the portfolio returns and some simple empirical comparisons between Markovian strategies and classic reward-risk ones. Finally, articles in this book contribute to the literature on futures hedging in commodity futures markets by using wavelet transform analysis to define an explicit and tractable concept of time horizon. Differences in hedge ratios are discussed both across commodities and, for each commodity, over all time horizons of decision-making.

Product Specifications

Format: hardcover
ASIN: 1606926659
Category: Books > Subjects > Business, Finance & Law > Professional Finance > Investments & Securities > Commodities
Domain: Amazon UK
Release Date: 30 July 2009
Listed Since: 08 December 2008

Barcode

No barcode data available

Financial Hedging

Price History & Forecast

Price Distribution

Price Analysis

Description

Product Specifications

Barcode

Similar Products You Might Like

Market Risk Analysis: Quantitative Methods in Finance, Practical Financial Econometrics, Pricing, Hedging and Trading Financial Instruments, Value-at-Risk Models

Hedging, Corporate Governance & Firm Value: Empirical Evidence on Risk Management from an Emerging Market (Business Issues, Competition and Entrepreneurship)

Advances in Financial Planning and Forecasting: 11

Quantitative Analysis, Derivatives Modeling, and Trading Strategies: In the Presence of Counterparty Credit Risk for the Fixed-Income Market

Credit Risk: Modeling, Valuation and Hedging (Springer Finance)

Stochastic Finance: An Introduction in Discrete Time (De Gruyter Textbook)

Market Risk Analysis, Pricing, Hedging and Trading Financial Instruments (The Wiley Finance Series)

Statistical Arbitrage in Algorithmic Trading: Stationarity, Cointegration, and Mean-Reverting Stochastic Processes With Python (Computational Mathematics Library)

Markets with Transaction Costs: Mathematical Theory (Springer Finance)

Analytical Finance: Volume I: The Mathematics of Equity Derivatives, Markets, Risk and Valuation: 1

Counterparty Risk and Funding: A Tale of Two Puzzles (Chapman and Hall/CRC Financial Mathematics Series)

Quantitative Analysis, Derivatives Modeling, And Trading Strategies: In The Presence Of Counterparty Credit Risk For The Fixed-Income Market

Pricing and Hedging Interest and Credit Risk Sensitive Instruments

An Outline of Financial Economics (Anthem Finance)

Portfolio Risk Analysis

Actuarial Finance: Derivatives, Quantitative Models and Risk Management

MODELING AND PRICING OF SWAPS FOR FINANCIAL AND ENERGY MARKETS WITH STOCHASTIC VOLATILITIES

Mathematical and Statistical Methods for Actuarial Sciences and Finance

An Introduction to Actuarial Mathematics: 14 (Mathematical Modelling: Theory and Applications, 14)

Financial Risk Forecasting: The Theory and Practice of Forecasting Market Risk with Implementation in R and Matlab (The Wiley Finance Series)

Engineering Risk and Finance: 188 (International Series in Operations Research & Management Science, 188)

The Adventures Of A Modern Renaissance Academic In Investing And Gambling: 12 (World Scientific Series in Finance)

Financial Engineering: Derivatives and Risk Management

Tail Risk Hedging: A Practical Guide for Retail Investors