Hedging long-term forwards with short-term futures: a two-regime approach

DOI10.1007/S11147-004-4809-1zbMath1097.91035OpenAlexW1972588403MaRDI QIDQ1774550

Rainer Schöbel, Olaf Korn, Wolfgang J. Bühler

Publication date: 17 May 2005

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11147-004-4809-1

zbMATH Keywords

Metallgesellschaft case

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26)

Related Items (1)

On a class of optimization problems emerging when hedging with short term futures contracts

Cites Work

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• Estimating the dimension of a model
• Optimal consumption and equilibrium prices with portfolio constraints and stochastic income
• A Theory of the Term Structure of Interest Rates
• Pricing Interest-Rate-Derivative Securities

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