Trade and currency options hedging model

DOI10.1016/j.cam.2018.04.059zbMath1422.91733OpenAlexW2807619082MaRDI QIDQ1643850

Xing Yu, Yong-Jun Liu, Wei-Guo Zhang

Publication date: 20 June 2018

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2018.04.059

zbMATH Keywords

copula functionscurrency options hedgingequivalence transformation methodexporting strategies

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

International portfolio optimization based on uncertainty theory, Hedging the exchange rate risk for international portfolios, Dynamic currency futures and options hedging model, The optimal multi-period hedging model of currency futures and options with exponential utility

Cites Work

• Unnamed Item
• Application of copulas to multivariate control charts
• Multivariate countermonotonicity and the minimal copulas
• The meta-elliptical distributions with given marginals
• Construction of asymmetric multivariate copulas
• Comparison of semiparametric and parametric methods for estimating copulas
• Copula in a multivariate mixed discrete-continuous model
• Conditional value-at-risk bounds for compound Poisson risks and a normal approximation
• Approximation of CVaR minimization for hedging under exponential-Lévy models
• Differential equations connecting VaR and CVaR
• Hedging and the competitive firm under correlated price and background risk
• Production and hedging in futures markets with multiple delivery specifications
• Production under uncertainty with insurance or hedging
• Hedging conditional value at risk with options
• Coherent Measures of Risk
• Estimation methods for expected shortfall
• Copula–Based Models for Financial Time Series
• CVaR-minimising hedging by a smoothing method
• A semiparametric estimation procedure of dependence parameters in multivariate families of distributions
• The Hedging Role of Options and Futures Under Joint Price, Basis, and Production Risk