This paper presents a review of different theoretical approaches to the optimal futures hedge
ratios. These approaches are based on minimum variance, mean-variance, expected utility …

The use of futures contracts as a hedging instrument has been the focus of much research.
At the theoretical level, an optimal hedge strategy is traditionally based on the expected …

The global value of trading in index futures is about $20 trillion per year and rising and for
many countries the value traded is similar to that traded on their stock markets. This book …

Written by leading market risk academic, Professor Carol Alexander, Pricing, Hedging and
Trading Financial Instruments forms part three of the Market Risk Analysis four volume set …

One of the major functions of derivative instruments is risk reduction. A long-standing
tradition in the finance literature treated the risk with a two-sided notion. Standard deviation …

The financial health of an oil refinery greatly depends on its refining margin or the difference
between the prices of its refined products (typically, gasoline and heating oil) and the cost of …

A new mean‐risk hedge ratio based on the concept of generalized semivariance (GSV) is
proposed. The proposed mean‐GSV (M‐GSV) hedge ratio is consistent with the GSV‐based …

This empirical study examines the impact of both advanced electronic trading platforms and
index exchange traded funds (ETFs) on the minimum variance hedging of stock indices with …

This paper summarizes theoretical and empirical research on the roles and functions of
emerging derivatives markets and the resulting implications on policy and regulations …

The recent financial crisis has accentuated the fact that extreme outcomes have been
overlooked and not dealt with adequately. While extreme value theories have existed for a …