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hedging Game Contingent Claims with Constrained Portfolios

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Advances in Applied Mathematics and Mechanics 2009年第4期1卷 529-545页

作者： Lei Wang Yan Xiao College of Science National University of Defense TechnologyChangsha 410073China Changsha Medical College Changsha 410219China

Game option is an American-type option with added feature that the writer can exercise the option at any time before *** this paper,we consider the problem of hedging Game Contingent Claims(GCC)in two *** the case that portfolio is unconstrained,we provide a single arbitrage-free price P_(0).Whereas for the constrained case,the price is replaced by an interval[h_(low),h_(up)]of arbitrage-free *** for the portfolio with some closed constraints,we give the expressions of the upper-hedging price and lower-hedging ***,for a special type of game option,we provide explicit expressions of the price and optimal portfolio for the writer and holder.

关键词： Game option contingent claims hedging optimal stopping free boundary

Cooperative hedging in the Complete Market under g-expectation Constraint

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Acta Mathematicae Applicatae Sinica 2011年第3期27卷 373-380页

作者： Qing Zhou School of Science Beijing University of Posts and Telecommunications Beijing 100876 China

The paper studies the muiti-agent cooperative hedging problem of contingent claims in the complete market when the g-expected shortfall risks are bounded. We give the optimal cooperative hedging strategy explicitly by... 详细信息

关键词： hedging Neyman Pearson lemma g-probability backward stochastic differential equation

Stochastic regression and its application to hedging in finance

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Science China Mathematics 2009年第6期52卷 1365-1372页

作者： JING BingYi KONG XinBing LIU Zhi ZHANG Bo Department of Mathematics Hong Kong University of Science and TechnologyClear Water BayKowloonHong KongChina School of Statistics Renmin University of ChinaBeijing 100072China

In this paper we investigate how to employ stochastic regression to hedge risks in finance,where the risk of a security is measured by its quadratic variation *** and Zhang used this technique to demonstrate how to reduce the risk of a given security by introducing another *** this paper,we investigate how to further reduce the remaining unhedgable risk by adding more hedging *** practical guidelines on how to choose those hedging securities in practice is also given.

关键词： risks hedging semimartingale Ito process

COVID‑19 pandemic and the crude oil market risk:hedging options with non‑energy financial innovations

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Financial Innovation 2021年第1期7卷 722-740页

作者： Afees A.Salisu Kingsley Obiora University of Ibadan Centre for Econometric and Allied Research IbadanOyoNigeria Economic Policy Directorate Central Bank of NigeriaAbujaNigeria

This study examines the hedging effectiveness of financial innovations against crude oil investment risks,both before and during the COVID-19 *** focus on the non-energy exchange traded funds(ETFs)as proxies for financial innovations given the potential positive correlation between energy variants and crude oil *** employ a multivariate volatility modeling framework that accounts for important statistical features of the non-energy ETFs and oil price series in the computation of optimal weights and optimal hedging *** show evidence of hedging effectiveness for the financial innovations against oil market risks,with higher hedging performance observed during the ***,we show that sectoral financial innovations provide resilient investment ***,we propose that including the ETFs in an investment portfolio containing oil could improve risk-adjusted returns,especially in similar financial crisis as witnessed during the *** essence,our results are useful for investors in the global oil market seeking to maximize risk-adjusted returns when making investment ***,by exploring the role of structural breaks in the multivariate volatility framework,our attempts at establishing robustness for the results reveal that ignoring the same may lead to wrong conclusions about the hedging effectiveness.

关键词： Pandemics Financial innovations Energy markets hedging Optimal portfolio

Longevity Swaps:Derivatives for hedging Longevity Risk Embedded in Variable Annuities(Pension Plans)

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Longevity Swaps:Derivatives for Hedging Longevity Risk Embed...

作者： Blessing Tinashe Manzou 浙江科技学院

学位级别：硕士

Longevity risk is becoming an increasing important risk facing individuals in developed economies and financial institutions are busy developing products to hedge this *** is a good social development but for pension plans it is a risk because it allows them to make loss as they pay more liabilities than they *** many years insurance companies has underestimated the longevity of individuals as survival probabilities increases across the developed *** improvement has caused unsettlement in the future of the annuity and pension providers as they try to find ways to reduce this *** paper proposes the use of longevity swaps as a hedging tool on which a life insurer（annuity provider）can transfer the longevity risk to financial *** LeeCarter model is calibrated on Australian male population to forecast mortality *** the Lee-Carter model we forecast the mortality rates and construct 1,000 sample paths by means of Monte Carlo *** each sample path continue by calculating the payoff of the longevity index swap by looking at the change in mortality rate with respect to the fixed mortality *** fixed mortality rate is obtained from the Australian life *** maturity time a settlement is calculated and the risk is transferred to the hedge provider（financial market）through a longevity swaps and thus longevity risk is *** index swap pays out in case the forecasted mortality rate becomes smaller than the fixed mortality *** this case the clients of an insurer live longer than expected,which means that the liabilities of the insurer are higher than anticipated on beforehand.

关键词： longevity risk variable annuities hedging longevity index swaps

hedging in English Academic Papers in Linguistics Written by Chinese Authors

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海外英语 2010年第11X期 359-360页

作者：林妹妹 Concord University College Fujian Normal University

Hedges in academic writing are drawn attention by scholars. hedging devices enable writers to express their uncertainty con-cerning the factuality of their statements or to indicate deference to their readers. In this paper,ten English linguistic academic articles written by Chinese scholars were chosen for the study. Hedges were categorized to four types. The analysis showed the total number of hedges per category in all articles. The results indicated that modals/probabilities and semi-auxiliaries or epistemic verbs were preferred by Chinese linguists. It is suggested that for non-native English speakers mastery of hedging devices is requisite in their graduate programs.

关键词： hedging devices English linguistic academic articles Chinese scholars

hedging in Discourse Analysis

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海外英语 2015年第12期 232-234页

作者：肖欣英国约克大学教育学院

In this article an attempt to enhance the awareness of hedging use in discourse analysis and academic writing is madeby analyzing hedges employed in two comparable *** discourse analysis is conducted from"content-oriented"hedges and"reader-oriented"*** article suggests that hedging can dampen utterances and statements,weaken the force of what onesays and show politeness to the listeners or readers,which varies from different discourse styles of various *** marker;hedging;research article;news

关键词： discourse marker hedging research article news report

hedging Devices used in the Opinion Column'S Editorials of China Daily

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海外英语 2019年第4期 131-133页

作者：刘善榕厦门工学院外语与国际学院外语系

The editorials of the opinion column in a newspaper express the view of its editors. The application of hedging devices isemployed, in order to support the writers' writing. In this study, the data were gathered from 15 editorials in the opinion column ofChina Daily: 5 editorials are about world issues, the other 5 editorials about Chinese social life, and the last 5 editorials are the edu-cational issues popularly discussed in China. The categorization of hedging devices draws from salvager-Meyer's paper Hedges and Textual Communicative Function in Medical English Written Discourse(1994, p. 154) and Mojica(2005, p. 3). Results revealed thatmost writers of the editorials opted to use approximators and modals. Furthermore, the hedging devices used in the selected editori-als on China Daily mainly had three functions: Show respects of the people or organization or in order for protection; in order to pub-lish timely; and make the prediction more reliable. In general, the Chinese writers seem to be conscious to use hedges appropriatelyin order to make their writing more reliable and avoid some arguments or disparagement.

关键词： hedging devices approximators and modals editorials China Daily

Power Purchase Model of Provincial Grids Based on Diverse Energy Coordination hedging Optimization

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Journal of Power and Energy Engineering 2014年第4期2卷 463-469页

作者： Dunnan Liu Yujie Xu Weimin Zeng Jiangping Liu Min Fan Xinming Liu School of Economics and Management North China Electric Power University Beijing China Hubei Provincial Electric Power Company Power Exchange Center Wuhan China

Under the background of energy conservation, the grid companies should give priority to consumptive hydropower, wind power and other clean electricity to fulfill their social responsibility and promote the carbon emission reduction in power industry. But under the current power purchase mode, grid companies must first perform the contract. This is extremely uneconomical and not environmentally friendly. Based on hedging theory, this paper proposes a power purchase optimization model using the strategy of “compression and compensation”. If outer price is lower than the contract price, the grid can compress contract power appropriately, leaving more space for purchasing electricity;if outer price is not attractive enough, the grid should timely improve contract proportion, compensating the deviations of contract caused by "compression". Based on the strategy of "compression and compensation", it can effectively reduce the abandoned wind and water, enhance the economic and social benefits of provincial power grid.

关键词： Power Purchase Optimization hedging "Compression and Compensation" Large-Scale System Decomposition-Coordination