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Reducing inter-temporal risk in financial futures hedging

✍ Scribed by Mark Pitts; Robert W. Kopprasch

Publisher: John Wiley and Sons
Year: 1984
Tongue: English
Weight: 720 KB
Volume: 4
Category: Article
ISSN: 0270-7314
DOI: 10.1002/fut.3990040102

No coin nor oath required. For personal study only.

✦ Synopsis

As a matter of convenience, in this article we shall pose the hedging problem in the context of hedging a rate for issuing liabilities. However, the methods and strategies will be equally applicable to hedging the future sale or purchase of an asset. Further, we define "risk" to be synonomous with any variance of prices (or rates), not just market losses.

Mark Pitts holds a Ph.D. from Duke

University. He is Vice-President in the Bond Portfolio Analysis Group at Salomon Brothers Inc. Robert W, Kopprasch holds a Ph.D. from Rensselaer Polytechnic Institute. He is Vice-president in the Bond PortjXio Analysis Group at Salomon Brothers Inc.

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