Essays about: "Hedging"

Showing result 1 - 5 of 125 essays containing the word Hedging.

  1. 1. Bigger Beta is not always Better: A Study of Low-Beta Strategies

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Julius Philipp Röder; Cherdwong Pongjindathip; [2015]
    Keywords : BAB; Low-Beta Anomaly; Index Investing; Country vs. Industry; Naive Strategy;

    Abstract : This paper tests to what extent it is possible by an individual investor to implement a low-beta strategy, using 78 MSCI indices of countries and industries with a naive diversification (equal-weighting). Five different strategies with three rebalancing windows are built, implementing a simple ranking method. READ MORE

  2. 2. Volatility of Volatility - The Uncertainties of Risks

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Mladen Milutinovic; Haojiang Zhao; [2015]
    Keywords : Empirical Asset Pricing; Volatility of Volatility; Volatility; Risk factors in Asset Pricing; Long-Short Trading Strategy;

    Abstract : This paper is an attempt to explore the characteristics of volatility of volatility on the aggregate level and investigate its role in the pricing of equity assets. Several measures of volatility of volatility for the S&P 500 index are elaborated and investigated in this study; realized, parametrized and implied. READ MORE

  3. 3. Corporate Cash Holdings and the Refinancing Risk of Bank Debt and Non-Bank Debt

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Andreas Joha; Tomas Neumüller; [2015]
    Keywords : Debt financing; Cash holdings; Capital structure; Bank lending; Refinancing risk;

    Abstract : We empirically examine the relationship between a firm's debt composition and refinancing risk. In particular, we analyze the effects of non-bank debt on refinancing risk as the existing literature shows that both the ex-ante and ex-post costs of refinancing problems are higher for non-bank debt than for bank debt. READ MORE

  4. 4. Optimization of hydro power on the Nordic electricity exchange using financial derivatives

    University essay from KTH/Matematisk statistik; KTH/Matematisk statistik

    Author : Viktor Enoksson; Fredrik Svedberg; [2015]
    Keywords : Optimization; hydro power; linear programming; stochastic programming; scenario construction; stochastic inflow modeling; financial derivatives on electricity.;

    Abstract : Since the deregulation of the Nordic electricity market in 1996, electricity has become one of the most traded commodities in the Nordic region. The electricity price is characterized by large fluctuations as the supply and demand of electricity are seasonally dependent. READ MORE

  5. 5. Evaluation of Hedging Strategies of Asian Options on Electricity at Nord Pool

    University essay from KTH/Matematisk statistik

    Author : Ella Zackrisson; [2015]
    Keywords : Hedging strategies; Asian Options; Electricity;

    Abstract : This thesis empirically evaluates a geometric Brownian motion and a stochastic volatility model for modeling futures prices and hedging Asian call options on the electricity spot price. Estimation of parameters for the models is done based on historical futures prices of futures contracts with a one month delivery period using nonlinear regression and Maximum Likelihood techniques. READ MORE