𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Hedging multiple price and quantity exposures

✍ Scribed by Carmelo Giaccotto; Shantaram P. Hegde; John B. McDermott

Publisher
John Wiley and Sons
Year
2001
Tongue
English
Weight
158 KB
Volume
21
Category
Article
ISSN
0270-7314

No coin nor oath required. For personal study only.

✦ Synopsis

We examined the general hedging problem faced by a global portfolio manager or a pure exporting multinational firm. Most hedging models assume that these economic agents hold only a single asset in the spot market and are exposed only to a single source of price-quantity uncertainty. Such models are less relevant to many financial and exporting firms that face multiple sources of risk. In this study, we developed a general hedging model that explicitly recognizes that these hedgers are faced with multiple price and quantity uncertainties. Our model takes advantage of the full correlation structure of changes in spot prices, quantities, and forward prices. We performed simulations of the hedging model for a firm with two pairs of price and quantity exposures to demonstrate potential gains in hedging efficiency and effectiveness.

πŸ“œ SIMILAR VOLUMES

Corporate hedging and input price risk
Corporate hedging and input price risk
✍ Gary D. Koppenhaver; Steven Swidler πŸ“‚ Article πŸ“… 1996 πŸ› John Wiley and Sons 🌐 English βš– 894 KB

Input price variability is an important source of risk for corporations that process raw commodities. Models of optimal input hedging are developed in this paper based on the maximization of managerial expected utility. The relationship between hedging strategies and output decisions is examined to

Simple and multiple cross-hedging of mil
Simple and multiple cross-hedging of millfeeds
✍ Stephen E. Miller πŸ“‚ Article πŸ“… 1985 πŸ› John Wiley and Sons 🌐 English βš– 496 KB

Stephen E. Miller illfeeds (bran, middlings) are important by-products of the flour milling M industry. On average, a hundredweight of wheat yields approximately 73 pounds of flour and from 26 to 27 pounds of millfeeds. For marketing years 1978 through 1981, millfeed sales contributed an average of

Volatility options: Hedging effectivenes
Volatility options: Hedging effectiveness, pricing, and model error
✍ Dimitris Psychoyios; George Skiadopoulos πŸ“‚ Article πŸ“… 2005 πŸ› John Wiley and Sons 🌐 English βš– 190 KB πŸ‘ 1 views

## Abstract Motivated by the growing literature on volatility options and their imminent introduction in major exchanges, this article addresses two issues. First, the question of whether volatility options are superior to standard options in terms of hedging volatility risk is examined. Second, th

Hedging, liquidity, and the competitive
Hedging, liquidity, and the competitive firm under price uncertainty
✍ Kit Pong Wong πŸ“‚ Article πŸ“… 2004 πŸ› John Wiley and Sons 🌐 English βš– 98 KB

## Abstract In this paper, the behavior of the competitive firm under price uncertainty when the firm has access to an intertemporally unbiased futures market is examined. Futures contracts are marked‐to‐market and thus require interim cash settlement of gains and losses. The firm is subject to a l