Energy companies with commitments to meet customers’ daily electricity demands face the problem of hedging load and price risk. We propose a joint model for load and price dynamics, which is motivated by the goal of facilitating optimal hedging decisions, while also intuitively capturing the key features of the electricity market. Driven by three stochastic factors including the load process, o...

We use Malliavin calculus and the Clark-Ocone formula to derive the hedging strategy of an arithmetic Asian Call option in general terms. Furthermore we derive an expression for the density of the integral over time of a geometric Brownian motion, which allows us to express hedging strategy and price of the Asian option as an analytic, that is closed form, expression. Numerical computations whi...

We explore hedging in web forum conversations, which is interestingly different to hedging in academic articles, the main focus of recent automatic approaches to hedge detection. One of our main results is that forum posts using hedges are more likely to get high ratings of their usefulness. We also make a case for focusing annotation efforts on hedges that take the form of first-person epistem...

This paper deals with the valuation and hedging of counterparty risk on OTC derivatives. Our study is done in a multiple-curve setup reflecting the various funding constraints (or costs) involved, allowing one to investigate the question of interaction between counterparty risk and funding. The correction in value of a contract due to counterparty risk under funding constraints is represented a...

We analyze the pricing and hedging of catastrophe put options under stochastic interest rates with losses generated by a compound Poisson process. Asset prices are modeled through a jump-diffusion process which is correlated to the loss process. We obtain explicit closed form formulae for the price of the option, and the hedging parameters Delta, Gamma and Rho. The effects of stochastic interes...

this study examined the effect of explicit instruction of hedging on english forspecific academic purposes (esap) reading comprehension performance ofenglish language learning (ell) university students. a reading comprehensiontest was developed and validated as the pretest and the posttest. the test, includingitems for assessing the comprehension of the students in their area of specialization,...

Volatility derivatives are becoming increasingly popular as means for hedging unexpected changes in volatility. Although pricing volatility derivatives demands extreme care in modeling the underlying volatility process, not much attention has been devoted to the complete specification of the autonomous process that volatility follows in continuous time. Despite the fact that jumps are widely co...

This article develops a model for evaluating alternative hedging strategies for financially constrained firms. A key advantage of the model is the ability to capture the intertemporal effects of hedging on the firm’s financial situation. We characterize the optimal hedge. A wide range of alternative hedging strategies can be specified and the model allows us to determine in each case if the hed...

The author analyzes the pricing and hedging problem for Equity Indexed Annuities (EIAs) with underlying risky assets following a geometric Variance-Gamma process. This model allows accurate and parsimonious replication of the implied volatility smiles observed in the financial market. I argue that this model produces consistency in pricing and hedging between the financial and insurance markets...