The discourse of the discussion in research articles is regarded to be of considerable significance—as in this section the findings are interpreted in light of previous research and the authors’ argumentations are put forward as a major contribution (see Hyland, 1999). For this reason, the content and structure of the discussion section have been explored in several studies; however, little att...

Standard operating policy and hedging policies are commonly used for reservoir operation for municipal or irrigation water supply. Application of these policies to hydropower reservoir operation is complex. In this paper, new standard operating policies and standard hedging policy are proposed for hydropower reservoir operation. The newly proposed policies were applied to the operation of Indir...

This paper characterizes optimal currency hedging in several models of downside risk. We consider, in turn, three models of hedging: (i) a firm that chooses its hedging policy in the presence of bankruptcy costs; (ii) an all equity firm that faces a convex tax schedule; and (iii) a firm whose manager is subject to loss aversion. In all these models, and contrary to conventional wisdom, we show ...

Macrohedging is a hedging technique commonly used in practice. It allows one to find a hedging policy that offsets several underlying risk factors of a portfolio of assets as a whole. Here, we develop a macrohedging methodology in a general semimartingale market. We calculate the optimal macrohedge that achieves minimum risk, in a quadratic-variation sense, given a set of possible hedging instr...

Nongenetic variation in phenotypes, or bet-hedging, has been observed as a driver of drug resistance in both bacterial infections and cancers. Here, we study how bet-hedging emerges in genotype-phenotype (GP) mapping through a simple interaction model: a molecular switch. We use simple chemical reaction networks to implement stochastic switches that map gene products to phenotypes, and investig...

The paper introduces and studies hedging for game (Israeli) style extension of swing options considered as multiple exercise derivatives. Assuming that the underlying security can be traded without restrictions we derive a formula for valuation of multiple exercise options via classical hedging arguments. Introducing the notion of the shortfall risk for such options we study also partial hedgin...

We develop a flexible discrete-time hedging methodology that minimizes the expected value of any desired penalty function of the hedging error within a general regimeswitching framework. A numerical algorithm based on backward recursion allows for the sequential construction of an optimal hedging strategy. Numerical experiments comparing this and other methodologies show a relative expected pen...

In this paper we review the hedging of interest rate derivatives priced under a risk-neutral measure, and we compute self-financing hedging strategies for various derivatives using the Clark-Ocone formula.