𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Hedging long term commodity swaps with futures

✍ Scribed by David Apsel; Jack Cogen; Michael Rabin

Book ID
116172799
Publisher
Elsevier Science
Year
1989
Tongue
English
Weight
997 KB
Volume
1
Category
Article
ISSN
1044-0283

No coin nor oath required. For personal study only.

πŸ“œ SIMILAR VOLUMES

Hedging long-term commodity risk
Hedging long-term commodity risk
✍ Yulia V. Veld-Merkoulova; Frans A. de Roon πŸ“‚ Article πŸ“… 2002 πŸ› John Wiley and Sons 🌐 English βš– 177 KB πŸ‘ 1 views

## Abstract This study focuses on the problem of hedging longer‐term commodity positions, which often arises when the maturity of actively traded futures contracts on this commodity is limited to a few months. In this case, using a rollover strategy results in a high residual risk, which is related

Hedging long-term commodity risk: A comm
Hedging long-term commodity risk: A comment
✍ Donald Lien; Yan Wang πŸ“‚ Article πŸ“… 2004 πŸ› John Wiley and Sons 🌐 English βš– 83 KB πŸ‘ 1 views

## Abstract Y. V. Veld‐Merkoulova and F. A. de Roon (2003) adopted an encompassing model to demonstrate their linear yield assumption on the term structure of futures prices gains more empirical support than the linear price assumption proposed by A. Neuberger (1999). This comment points out the te