Accounting for Derivative Instruments and Hedging Activities
نویسندگان
چکیده
منابع مشابه
Corporate Incentives for Hedging and Hedge Accounting
JSTOR is a not-for-profit service that helps scholars, researchers, and students discover, use, and build upon a wide range of content in a trusted digital archive. We use information technology and tools to increase productivity and facilitate new forms of scholarship. For more information about JSTOR, please contact [email protected].. Oxford University Press and The Society for Financial Stu...
متن کاملMore Hedging Instruments may destablize Markets
This paper formalizes the idea that more hedging instruments may destabilize markets when traders have heterogeneous expectations and adapt their behavior according to experience based reinforcement learning. In a simple asset pricing model with heterogeneous beliefs the introduction of additional Arrow securities may destabilize markets, and thus increase price volatility, and at the same time...
متن کاملHedging Inventory Risk Through Market Instruments
We address the problem of hedging inventory risk for a short lifecycle or seasonal item when its demand is correlated with the price of a financial asset. We show how to construct optimal hedging transactions that minimize the variance of profit and increase the expected utility for a risk-averse decision-maker. We show that for a wide range of hedging strategies and utility functions, a risk-a...
متن کاملHedging derivative securities with genetic programming
One of the most recent applications of GP to finance is to use genetic programming to derive option pricing formulas. Earlier studies take the Black–Scholes model as the true model and use the artificial data generated by it to train and to test GP. The aim of this paper is to provide some initial evidence of the empirical relevance of GP to option pricing. By using the real data from S&P 500 i...
متن کاملDerivative Portfolio Hedging Based on CVaR
The use of derivatives can lead to higher yields and lower funding costs. In addition, derivatives are indispensable tools for risk management. We analyze the derivative portfolio hedging problems based on value at risk (VaR) and conditional value at risk (CVaR). We show that these derivative portfolio optimization problems are often ill-posed and the resulting optimal portfolios frequently inc...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Financial Risk Management
سال: 2014
ISSN: 2167-9533,2167-9541
DOI: 10.4236/jfrm.2014.34013