On hedge effectiveness assessment under IFRS 9

Directory of Open Access Journals (Sweden)

Jatinder Pal Singh

2018-02-01

Full Text Available IFRS 9 has introduced certain radical changes to the hedge effectiveness assessment criteria of IAS 39 for entities desirous of availing hedge accounting. It is necessary for business entities contemplating the use of financial derivatives for hedging purposes to appreciate the nuances associated with the upstaged provisions of hedge accounting of IFRS 9 in context of hedge effectiveness requirements envisaged therein. The present article addresses this issue and provides a threadbare analysis of the fundamental model on which the IFRS 9 hedge effectiveness assessment is premised.

Production Flexibility and Hedging

Directory of Open Access Journals (Sweden)

Georges Dionne

2015-12-01

Full Text Available We extend the analysis on hedging with price and output uncertainty by endogenizing the output decision. Specifically, we consider the joint determination of output and hedging in the case of flexibility in production. We show that the risk-averse firm always maintains a short position in the futures market when the futures price is actuarially fair. Moreover, in the context of an example, we show that the presence of production flexibility reduces the incentive to hedge for all risk averse agents.

Market conditions and hedge fund survival

OpenAIRE

Mark A. Carlson; Jason Steinman

2008-01-01

As the hedge fund industry has grown, there has been increased concern that, during sharp market moves, hedge fund failures could exacerbate the deterioration in financial conditions and deepen a crisis. However, there has not been much formal analysis regarding the impact of financial market conditions on hedge fund survival. To help fill this gap, this paper examines the relationship between financial market conditions and the likelihood of hedge fund failure after controlling for performan...

HEDGING AS A BUSINESS RISK PROTECTION INSTRUMENT

Directory of Open Access Journals (Sweden)

Ivo Šperanda

2015-12-01

Full Text Available This paper deals with hedging which is one of the trading techniques in the futures markets and with the role of hedging as a protecting strategy. Indirectly, hedging affects the competitiveness of a company by reducing overall operating expenses and increasing the level of competitiveness at the same time. The theoretical fundamentals of the hedging strategy are explained, followed by a survey on relevant theoretical findings and research on hedging and its importance in contemporary economic life. Basic types of risk in firms are clearly described, as well as principal hedging models which are in accordance with the International Financial Reporting Standards. Finally, the paper deals with the financial aspects of hedging, stressing the role and the importance of the principle of the financial leverage.

Quadratic Hedging of Basis Risk

Directory of Open Access Journals (Sweden)

Hardy Hulley

2015-02-01

Full Text Available This paper examines a simple basis risk model based on correlated geometric Brownian motions. We apply quadratic criteria to minimize basis risk and hedge in an optimal manner. Initially, we derive the Föllmer–Schweizer decomposition for a European claim. This allows pricing and hedging under the minimal martingale measure, corresponding to the local risk-minimizing strategy. Furthermore, since the mean-variance tradeoff process is deterministic in our setup, the minimal martingale- and variance-optimal martingale measures coincide. Consequently, the mean-variance optimal strategy is easily constructed. Simple pricing and hedging formulae for put and call options are derived in terms of the Black–Scholes formula. Due to market incompleteness, these formulae depend on the drift parameters of the processes. By making a further equilibrium assumption, we derive an approximate hedging formula, which does not require knowledge of these parameters. The hedging strategies are tested using Monte Carlo experiments, and are compared with results achieved using a utility maximization approach.

MITIGATING FINANCIAL RISK BY USING HEDGING STRATEGIES

Directory of Open Access Journals (Sweden)

Anca BUTNARIU

2018-05-01

Full Text Available Financial derivatives are now widely used by corporations to manage exposure to currency, interest rate, and commodity price risks. The motivation for non-financial firms to engage in corporate hedging is one of the most intensively discussed topics in corporate finance research. Recent financial theory suggests that there are several ways through which corporate hedging can increase firm value in the sense of the maximization of shareholder value. A rich body of literature consists of studies that have empirically investigated the theoretical explanations for corporate hedging, literature that presents rather mixed evidence for the drivers of corporate hedging. This paper investigates the effects of hedging activity on non-financial firm value and how operational hedging is related to and differentiated by financial hedging, by providing an extensive overview and synthesis of the existing literature.

The Great Hedge of India

International Nuclear Information System (INIS)

Moxham, Roy

2015-01-01

The 'Great Hedge of India', a 3 700 kilometre-long hedge installed by the British customs to safeguard the colonial salt tax system and avoid salt smuggling totally faded from both memory and records (e.g. maps) in less than a century. Roy Moxham found traces of the hedge in a book footnote and searched it for several years until he found its meagre remains. The speaker wrote a book about this quest. He said that this story reveals how things disappear when they are no longer useful and, especially, when they are linked to parts of history that are not deemed particularly positive (the hedge was a means of colonial power)

Delta hedging strategies comparison

DEFF Research Database (Denmark)

De Giovanni, Domenico; Ortobelli, S.; Rachev, S.T.

2008-01-01

In this paper we implement dynamic delta hedging strategies based on several option pricing models. We analyze different subordinated option pricing models and we examine delta hedging costs using ex-post daily prices of S&P 500. Furthermore, we compare the performance of each subordinated model...

Bet-hedging applications for conservation

Indian Academy of Sciences (India)

Unknown

Bet hedging; Bitterroot wilderness; environmental correlation; grizzly bear; least tern; Sterna antillarum; Ursus arctos horribilis ... market, a hedging investor can reduce the risk of devas- ..... populations were approximated by three methods:.

Hedge Funds as Investors of Last Resort?

OpenAIRE

David J. Brophy; Paige P. Ouimet; Clemens Sialm

2009-01-01

Hedge funds have become important investors in public companies raising equity privately. Hedge funds tend to finance companies that have poor fundamentals and pronounced information asymmetries. To compensate for these shortcomings, hedge funds protect themselves by requiring substantial discounts, negotiating repricing rights, and entering into short positions of the underlying stocks. We find that companies that obtain financing from hedge funds significantly underperform companies that ob...

Crude oil hedging: benchmarking price protection strategies

International Nuclear Information System (INIS)

Krapels, Edward N.; Pratt, Michael

1998-01-01

This report presents a review of hedging (protection against a loss) strategies in the crude oil futures and options markets. The introductory section of the report gives details of hedging instruments, and the purposes of hedging crude oil. Hedging strategies including pure futures strategies, pure options strategies, options combination strategies, exotic (Asian) options strategies, and insurance instruments are described. The West Texas intermediate (WTI) market depth, liquidity and hedging effectiveness are examined, and winners and losers, and energy consumers are considered. The appendix gives tables and charts summarising the outcomes of futures and options strategies under different market conditions and expectations. (UK)

A Study of Perfect Hedges

OpenAIRE

Stoyu I. Ivanov

2017-01-01

In this study, we attempt to identify the asset which has the best hedging characteristics against inflation. We study stock, bond, commodity, real estate and oil indexes. We also study these indexes tracking exchange traded funds (ETFs) to determine the most beneficial tradable asset in addition to the more theoretical index for inflation hedging. We find that, in our sample, oil is the best hedge against inflation, even though three in total are a good hedge—oil, gold and corn—with corn and...

Short Term Hedging Using Futures Contracts

Directory of Open Access Journals (Sweden)

Ioana – Diana PAUN

2012-12-01

Full Text Available The objective of this paper is to demonstrate the effectiveness of risk management portfolio using futures contracts to achieve hedging. The risk can be minimized once measured, and the traditional tool of market risk management is hedging. The objective is to identify the optimum position to minimize the variation in a contract concluded now. Clearly hedging portfolio will reduce not only risk but also profitability. In conclusion hedging aims risk management, no additional gain. Portfolio manager will have the opportunity to carefully consider the relationship between risk and return in order to act according to his profile and targeted results.

Hedging under arbitrage

OpenAIRE

Ruf, Johannes

2010-01-01

It is shown that delta hedging provides the optimal trading strategy in terms of minimal required initial capital to replicate a given terminal payoff in a continuous-time Markovian context. This holds true in market models where no equivalent local martingale measure exists but only a square-integrable market price of risk. A new probability measure is constructed, which takes the place of an equivalent local martingale measure. In order to ensure the existence of the delta hedge, sufficient...

Option Derivatives in Electricity Hedging

Directory of Open Access Journals (Sweden)

P. Pavlátka

2010-01-01

Full Text Available Despite the high volatility of electricity prices, there is still little demand for electricity power options, and the liquidity on the power exchanges of these power derivatives is quite low. One of the reasons is the uncertainty about how to evaluate these electricity options and about finding the right fair value of this product. Hedging of electricity is associated mainly with products such as futures and forwards. However, due to new trends in electricity trading and hedging, it is also useful to think more about options and the principles for working with them in hedging various portfolio positions and counterparties. We can quite often encounter a situation when we need to have a perfect hedge for our customer’s (end user consuming electricity portfolio, or we have to evaluate the volumetric risk (inability of a customer to predict consumption, which is very similar to selling options. Now comes the moment to compare the effects of using options or futures to hedge these open positions. From a practical viewpoint, the Black-Scholes prices appear to be the best available and the simplest method for evaluating option premiums, but there are some limitations that we have to consider.

The Motivation for Hedging Revisited

NARCIS (Netherlands)

Pennings, J.M.E.; Leuthold, R.M.

2000-01-01

This article develops an alternative view on the motivation to hedge. A conceptual model shows how hedging facilitates contract relationships between firms and can solve conflicts between firms. In this model, the contract preferences, level of power, and conflicts in contractual relationships of

Optimal Hedging with the Vector Autoregressive Model

NARCIS (Netherlands)

L. Gatarek (Lukasz); S.G. Johansen (Soren)

2014-01-01

markdownabstract__Abstract__ We derive the optimal hedging ratios for a portfolio of assets driven by a Cointegrated Vector Autoregressive model with general cointegration rank. Our hedge is optimal in the sense of minimum variance portfolio. We consider a model that allows for the hedges to be

Catchments' hedging strategy on evapotranspiration for climatic variability

Science.gov (United States)

Ding, W.; Zhang, C.; Li, Y.; Tang, Y.; Wang, D.; Xu, B.

2017-12-01

Hydrologic responses to climate variability and change are important for human society. Here we test the hypothesis that natural catchments utilize hedging strategies for evapotranspiration and water storage carryover with uncertain future precipitation. The hedging strategy for evapotranspiration in catchments under different levels of water availability is analytically derived from the economic perspective. It is found that there exists hedging between evapotranspiration for current and future only with a portion of water availability. Observation data sets of 160 catchments in the United States covering the period from 1983 to 2003 demonstrate the existence of hedging in catchment hydrology and validate the proposed hedging strategies. We also find that more water is allocated to carryover storage for hedging against the future evapotranspiration risk in the catchments with larger aridity indexes or with larger uncertainty in future precipitation, i.e., long-term climate and precipitation variability control the degree of hedging.

Hedge Ratios for short and leveraged ETFs

Directory of Open Access Journals (Sweden)

Leo Schubert

2011-06-01

Full Text Available Exchange Traded Funds (ETFs exist for stock-, bond- and commodity markets. In most cases the underlying of an ETF is an index. Fund management today uses the active and passive way to construct a portfolio. ETFs can be used for passive portfolio management. Then ETFs with positive leverage factors are preferred. In the frame of active portfolio also the ETFs with negative leverage factors can be applied for the hedge or cross hedge of a portfolio. These hedging possibilities will be analyzed in this paper. Short ETFs exist with different leverage factors. In Europe, the leverage factors 1 (e.g. ShortDAX ETF and 2 (e.g. DJ STOXX 600 Double Short are offered while in the financial markets of the United States factors from 1 to 4 can be found. To investigate the effect of the different leverage factors and other parameters Monte Carlo Simulation was used. The results show e.g. that higher leverage factors achieve higher profits as well as losses. In the case, that a bearish market is supposed, minimizing the variance of the hedge seem not to be until to get better hedging results, due to a very skewed return distribution of the hedge. The risk measure target-shortfall-probability confirms the use of the standard hedge weightings which depend only on the leverage factor. This characteristic remains, when a portfolio has to be hedged instead of the underlying index of the short ETF. For portfolios which have a low correlation with the index return should not be used high leverage factors for hedging, due to the higher volatility and target-shortfall-probability.

Time-varying risk aversion. An application to energy hedging

Energy Technology Data Exchange (ETDEWEB)

Cotter, John [Centre for Financial Markets, School of Business, University College Dublin, Blackrock, Co. Dublin (Ireland); Hanly, Jim [School of Accounting and Finance, Dublin Institute of Technology, Dublin 2 (Ireland)

2010-03-15

Risk aversion is a key element of utility maximizing hedge strategies; however, it has typically been assigned an arbitrary value in the literature. This paper instead applies a GARCH-in-Mean (GARCH-M) model to estimate a time-varying measure of risk aversion that is based on the observed risk preferences of energy hedging market participants. The resulting estimates are applied to derive explicit risk aversion based optimal hedge strategies for both short and long hedgers. Out-of-sample results are also presented based on a unique approach that allows us to forecast risk aversion, thereby estimating hedge strategies that address the potential future needs of energy hedgers. We find that the risk aversion based hedges differ significantly from simpler OLS hedges. When implemented in-sample, risk aversion hedges for short hedgers outperform the OLS hedge ratio in a utility based comparison. (author)

Time-varying risk aversion. An application to energy hedging

International Nuclear Information System (INIS)

Cotter, John; Hanly, Jim

2010-01-01

Risk aversion is a key element of utility maximizing hedge strategies; however, it has typically been assigned an arbitrary value in the literature. This paper instead applies a GARCH-in-Mean (GARCH-M) model to estimate a time-varying measure of risk aversion that is based on the observed risk preferences of energy hedging market participants. The resulting estimates are applied to derive explicit risk aversion based optimal hedge strategies for both short and long hedgers. Out-of-sample results are also presented based on a unique approach that allows us to forecast risk aversion, thereby estimating hedge strategies that address the potential future needs of energy hedgers. We find that the risk aversion based hedges differ significantly from simpler OLS hedges. When implemented in-sample, risk aversion hedges for short hedgers outperform the OLS hedge ratio in a utility based comparison. (author)

Belief elicitation in experiments: Is there a hedging problem?

DEFF Research Database (Denmark)

Blanco, Mariana; Engelmann, Dirk; Koch, Alexander

2010-01-01

Belief-elicitation experiments usually reward accuracy of stated beliefs in addition to payments for other decisions. But this allows risk-averse subjects to hedge with their stated beliefs against adverse outcomes of the other decisions. So can we trust the existing belief-elicitation results...... opportunities are very prominent. If hedging opportunities are transparent, and incentives to hedge are strong, many subjects do spot hedging opportunities and respond to them. The bias can go beyond players actually hedging themselves, because some expect others to hedge and best respond to this....

Report on "American Option Pricing and Hedging Strategies"

OpenAIRE

Zhang, Jinshan

2007-01-01

This paper mainly discusses the American option's hedging strategies via binomialmodel and the basic idea of pricing and hedging American option. Although the essential scheme of hedging is almost the same as European option, small differences may arise when simulating the process for American option holder has more rights, spelling that the option can be exercised at anytime before its maturity. Our method is dynamic-hedging method.

HEDGE FUND MANAGERIAL INCENTIVES AND PERFORMANCE

Directory of Open Access Journals (Sweden)

Nor Hadaliza ABD RAHMAN

2011-07-01

Full Text Available The growth of the hedge fund industry over the decades has brought an interesting form of performance contract between the portfolio managers and their investors. The contractual relation has given an impact to the performance of the hedge fund industry, which benefited both fund managers and investors. Furthermore, it has created more investors and fund managers to participate in this high risk and high return investment. Currently, many issues on fee structures and performancebased incentives have been discussed. Do these issues affect the performance of the hedge fund in the market? This paper will investigate the issues in Australian market. It will empirically analyze the hedge fund performance in relation to the market performance and whether managerial incentives and discretions associated with better fund performance.

Risk management in Swedish hedge funds

OpenAIRE

Fri, Samuel; Nilsson, Joakim

2011-01-01

Background: Risk management has always been a complex topic, especially when it comes to hedge funds. Since hedge funds are able to utilize many kinds of financial instruments it is difficult to find a risk management strategy that goes well with them. Not much research regarding the Swedish hedge fund industry and its risk management has been done; hence we find it an interesting topic to focus this thesis on. Purpose: The purpose of this thesis is to increase the knowledge of how Swedish he...

Providing hedging protection for the transaction

International Nuclear Information System (INIS)

Richardson, D.W.

1999-01-01

This presentation dealt with methods for assessing commodity price risk in an asset transaction; the setting of risk management objectives; building hedging into the financing; and internal reporting and accounting to mitigate trading risks. It also provided some recent examples of successful hedging in gas asset transactions. The objectives of risk management and the nature of hedging and speculation were explored. An approach to price risk management was proposed. The development of price risk management tools, and techniques for managing risks involving interest rates, foreign exchange, and commodities were examined. figs

Hedge accounting under IFRS 9: an analysis of reforms

Directory of Open Access Journals (Sweden)

Jatinder Pal Singh

2017-02-01

Full Text Available Pronouncements of regulatory bodies on ‘hedge accounting’ are aimed at ensuring that impact of price changes of hedging relationships are accounted for concurrently. However, it sometimes happens that certain provisions of these standards result in the reporting of enhanced earnings volatility being attributed to hedging relationships which is not economically justified. It is often perceived to be the case by stakeholders that the provisions of IAS 39 on ‘hedge accounting’ do not appropriately reflect and are not aligned with the risk management strategies of entities that attempt to mitigate risk using various hedging relationships. This occasionally results in a reporting entity adopting either a suboptimal hedging strategy that gives it eligibility to account for it using ‘hedge accounting’ or vice versa. Thus entities may be faced with the tradeoff between the benefits of risk mitigation strategies and the benefits derived from adopting ‘hedge accounting’. This motivated the IASB to initiate action for the complete reformulation of the standard on ‘hedge accounting’. The revised standard was pronounced in November 2013 as IFRS 9. In this article, we attempt to evaluate the upgradations introduced by IFRS 9 over its predecessor, IAS 39, with particular reference to the reporting of risk management strategies of affected entities.

Optimal hedging with the cointegrated vector autoregressive model

DEFF Research Database (Denmark)

Gatarek, Lukasz; Johansen, Søren

We derive the optimal hedging ratios for a portfolio of assets driven by a Coin- tegrated Vector Autoregressive model (CVAR) with general cointegration rank. Our hedge is optimal in the sense of minimum variance portfolio. We consider a model that allows for the hedges to be cointegrated with the...

Arbitrage opportunities and their implications to derivative hedging

Science.gov (United States)

Panayides, Stephanos

2006-02-01

We explore the role that random arbitrage opportunities play in hedging financial derivatives. We extend the asymptotic pricing theory presented by Fedotov and Panayides [Stochastic arbitrage return and its implication for option pricing, Physica A 345 (2005) 207-217] for the case of hedging a derivative when arbitrage opportunities are present in the market. We restrict ourselves to finding hedging confidence intervals that can be adapted to the amount of arbitrage risk an investor will permit to be exposed to. The resulting hedging bands are independent of the detailed statistical characteristics of the arbitrage opportunities.

Do Hedge Funds Supply or Demand Liquidity?

OpenAIRE

Petri Jylhä; Kalle Rinne; Matti Suominen

2014-01-01

Regressing hedge funds’ returns on returns to a long–short contrarian trading strategy, a measure of the returns from providing liquidity, we find that hedge funds typically supply liquidity in the stock market. In the cross-section, strict redemption restrictions and large fund size increase funds’ propensity to supply liquidity. In time series, poor market liquidity and good funding conditions increase funds’ propensity to supply liquidity. Although the hedge funds typically supply liquidit...

Hedging Medical Spending Growth: An Adaptive Expectations Approach.

Science.gov (United States)

Lieberthal, Robert D

2016-08-01

Long-term health insurance provides consumers with protection against persistent, negative health shocks. While the stochastic rise in medical spending growth may make some health risks harder to insure, financial assets could act as a hedge for medical spending growth risk. The purpose of this research was to determine whether such hedges exist. The results of this study were two-fold. First, the asset classes with the strongest statistical evidence as hedges were bonds, not stocks. Second, any strategy to hedge medical spending growth involved shorting assets i.e. betting against the bond or stock market. Health insurers writing long-term contracts should combine the use of hedges in the bond market with of portfolio diversification, and may benefit from health policies to moderate the uncertainty of medical spending growth.

Futures hedging effectiveness under the segmentation of bear/bull energy markets

International Nuclear Information System (INIS)

Chang, Chiao-Yi; Lai, Jing-Yi; Chuang, I-Yuan

2010-01-01

This article undertakes eight hedging models (Regression, MD-GARCH, BEKK-GARCH, CCC-GARCH, ECM-MD, ECM-BEKK, ECM-CCC, and state space models) to investigate hedging effectiveness of different price scenarios in energy futures markets. Different models have systematically evidenced that hedging effectiveness is higher in an increasing pattern (termed 'bull markets') than in a decreasing pattern (termed 'bear markets') for crude oil and gasoline futures. That is, findings show asymmetric hedging performance between upward and downward price trends consistently from the most popular hedging models in literature. Out-of-sample examination also suggests that the ranking of hedging effectiveness of different hedging models is not parallel in different price patterns across futures contracts, implying that investors should adjust their hedging strategies accordingly. (author)

The evolution and regulation of hedge funds.

OpenAIRE

Crockett, A.

2007-01-01

Hedge funds have attracted increased attention in recent years. In part, this is because investment in hedge funds is becoming “mainstream”. A wider range of investors has sought exposure to these investment vehicles, and this has been associated with rapid growth in both the number of funds and the volume of assets under management. In part, too, greater attention has been the result of worries that hedge funds could in some circumstances exert a destabilizing infl uence. With the growth in ...

Convertibles and hedge funds as distributors of equity exposure

NARCIS (Netherlands)

Brown, S.; Grundy, B.; Lewis, C.; Verwijmeren, P.

2012-01-01

By buying convertibles and shorting the underlying stock, hedge funds distribute equity exposure to well-diversified shareholders. We find that firms with characteristics that make seasoned equity offerings expensive are more likely to issue convertibles to hedge funds. We conclude that hedge funds

English Language Teaching: Teaching of Hedges

Directory of Open Access Journals (Sweden)

Charles Ko

2014-05-01

Full Text Available A hedge is a mitigating word or sound used to lessen the impact of an utterance. It can be an adjective, for example, ‘Small potato me is not as strong as you’; or an adverb: ‘I maybe can swim faster than you’, while it can also consist of clauses, that it could be regarded as a form of euphemism which should be taught as a main topic in English class of schools around the world. For instance, in Hong Kong schools, based on my observation while teaching in a number of primary and secondary English courses as a tutor, students report that their school teachers usually emphasize the teaching of all cohesive devices in terms of skills of writing while they neglect to explain the importance of the use of hedges in order to show euphemism. In this study, I would adopt Corpus Linguistics, a division of applied linguistics, as methodology to discover a great deal of hedges employed by so-called native speakers of English, for promoting the idiomatic usage of hedges in writing, nevertheless in speaking, so as to help teachers gain resources and inspiration in teaching to students the appropriate English hedges as a consequence of the author’s hard effort while revealing from the selected corpora of this paper.

Futures hedging effectiveness under the segmentation of bear/bull energy markets

Energy Technology Data Exchange (ETDEWEB)

Chang, Chiao-Yi [Department of Money and Banking, National Kaohsiung First University of Science and Technology, No. 2, Jhuoyue Rd., Nanzih, Kaohsiung City, 811 (China); Lai, Jing-Yi; Chuang, I-Yuan [Department of Finance, National Chung-Cheng University, No. 168, University Rd., Ming-Hsiung, Chia-Yi 62102. (China)

2010-03-15

This article undertakes eight hedging models (Regression, MD-GARCH, BEKK-GARCH, CCC-GARCH, ECM-MD, ECM-BEKK, ECM-CCC, and state space models) to investigate hedging effectiveness of different price scenarios in energy futures markets. Different models have systematically evidenced that hedging effectiveness is higher in an increasing pattern (termed 'bull markets') than in a decreasing pattern (termed 'bear markets') for crude oil and gasoline futures. That is, findings show asymmetric hedging performance between upward and downward price trends consistently from the most popular hedging models in literature. Out-of-sample examination also suggests that the ranking of hedging effectiveness of different hedging models is not parallel in different price patterns across futures contracts, implying that investors should adjust their hedging strategies accordingly. (author)

Hedging Capabilities of Bitcoin. Is it the virtual gold?

OpenAIRE

Dyhrberg, Anne Haubo

2015-01-01

This paper sets out to explore the hedging capabilities of bitcoin by applying the asymmetric GARCH methodology used in investigation of gold. The results show that bitcoin can clearly be used as a hedge against stocks in the Financial Times Stock Exchange Index. Additionally bitcoin can be used as a hedge against the American dollar in the short-term. Bitcoin thereby possess some of the same hedging abilities as gold and can be included in the variety of tools available to market analysts to...

Quadratic Hedging Methods for Defaultable Claims

International Nuclear Information System (INIS)

Biagini, Francesca; Cretarola, Alessandra

2007-01-01

We apply the local risk-minimization approach to defaultable claims and we compare it with intensity-based evaluation formulas and the mean-variance hedging. We solve analytically the problem of finding respectively the hedging strategy and the associated portfolio for the three methods in the case of a default put option with random recovery at maturity

A Portfolio Approach to Risk Reduction in Discretely Rebalanced Option Hedges

OpenAIRE

Antonio S. Mello; Henrik J. Neuhaus

1998-01-01

This paper analyses the accumulated hedging errors generated by discretely rebalanced option hedges. We show that simple generalizations of the prior research can underestimate the variance of the accumulated hedging errors and that even with daily rebalancing, these accumulated hedging errors can introduce substantial risk in arbitrage strategies suggested by the Black-Scholes option pricing model. We also show that the correlation between the accumulated hedging errors for different options...

Cross hedging and forward-contract pricing of electricity

International Nuclear Information System (INIS)

Woo, C.-K.; Hoang, K.; Horowitz, I.

2001-01-01

We consider the problem of an electric-power marketer offering a fixed-price forward contract to provide electricity that it purchases from a potentially volatile and unpredictable fledgling spot energy market. One option for the risk-averse marketer who wants to hedge against the spot-price volatility is to engage in cross hedging to reduce the contract's profit variance, and to determine the forward-contract price as a risk-adjusted price - the sum of a baseline price and a risk premium. We show how the marketer can estimate the spot-price relationship between two wholesale energy markets for the purpose of cross hedging, as well as the optimal hedge and the forward contract's baseline price and risk premium

Landscape-moderated bird nest predation in hedges and forest edges

Science.gov (United States)

Ludwig, Martin; Schlinkert, Hella; Holzschuh, Andrea; Fischer, Christina; Scherber, Christoph; Trnka, Alfréd; Tscharntke, Teja; Batáry, Péter

2012-11-01

Landscape-scale agricultural intensification has caused severe declines in biodiversity. Hedges and forest remnants may mitigate biodiversity loss by enhancing landscape heterogeneity and providing habitat to a wide range of species, including birds. However, nest predation, the major cause of reproductive failure of birds, has been shown to be higher in forest edges than in forest interiors. Little is known about how spatial arrangement (configuration) of hedges affects the avian nest predation. We performed an experiment with artificial ground and elevated nests (resembling yellowhammer and whitethroat nests) baited with quail and plasticine eggs. Nests were placed in three habitat types with different degrees of isolation from forests: forest edges, hedges connected to forests and hedges isolated from forests. Nest predation was highest in forest edges, lowest in hedges connected to forests and intermediate in isolated hedges. In the early breeding season, we found similar nest predation on ground and elevated nests, but in the late breeding season nest predation was higher on ground nests than on elevated nests. Small mammals were the main predators of ground nests and appeared to be responsible for the increase in predation from early to late breeding season, whereas the elevated nests were mainly depredated by small birds and small mammals. High predation pressure at forest edges was probably caused by both forest and open-landscape predators. The influence of forest predators may be lower at hedges, leading to lower predation pressure than in forest edges. Higher predation pressure in isolated than connected hedges might be an effect of concentration of predators in these isolated habitats. We conclude that landscape configuration of hedges is important in nest predation, with connected hedges allowing higher survival than isolated hedges and forest edges.

Cadophora malorum Cs-8-1 as a new fungal strain producing gibberellins isolated from Calystegia soldanella.

Science.gov (United States)

You, Young-Hyun; Yoon, Hyeokjun; Kang, Sang-Mo; Woo, Ju-Ri; Choo, Yeon-Sik; Lee, In-Jung; Shin, Jae-Ho; Kim, Jong-Guk

2013-07-01

Fourteen endophytic fungi with different colony morphologies were isolated from the roots of Calystegia soldanella. Endophytic fungi isolated from C. soldanella were identified by internal transcribed spacer (ITS) region. To verify plant growth promotion (PGP), culture filtrates of isolated endophytic fungi were treated in Waito-c rice (WR) and C. soldanella seedlings. Culture filtrates of Cs-8-1 fungal strain had advanced PGP activity. The presence of physiologically bioactive gibberellins (GA) GA(1) (1.213 ng ml(-1)), GA(3) (1.292 ng ml(-1)), GA(4) (3.6 ng ml(-1)), GA(7) (1.328 ng ml(-1)), other inactive GA(9) (0.796 ng ml(-1)) and GA(12) (0.417 ng ml(-1)), GA(20) (0.302 ng ml(-1)), GA(24) (1.351 ng ml(-1)), GA(34) (0.076 ng ml(-1)), and GA(53) (0.051 ng ml(-1)) in culture filtrates of Cs-8-1 fungal strain was detected. The Cs-8-1 fungal strain was confirmed as a producer of GAs. Molecular analysis of sequences showed high similarity of 99% to Cadophora malorum. Consequentially, the Cs-8-1 fungal strain was identified as a new C. malorum producing GAs. © 2013 WILEY-VCH Verlag GmbH & Co. KGaA, Weinheim.

Hedge Fund Performance Attribution Under Various Market Conditions

OpenAIRE

Stafylas, Dimitrios; Anderson, Keith Philip; Uddin, Muhammad Moshfique

2018-01-01

We investigate US hedge funds’ performance. Our proposed model contains exogenous and endogenous break points, based on business cycles and on a regime switching process conditional on different states of the market. During difficult market conditions most hedge fund strategies do not provide significant alphas. At such times hedge funds reduce both the number of their exposures to different asset classes and their portfolio allocations, while some strategies even reverse their exposures. Dir...

Price Uncertainty and Optimal Hedging in the Agricultural Market

Directory of Open Access Journals (Sweden)

Nicolae ISTUDOR

2014-06-01

Full Text Available The increased volatility of the agricultural prices has detrimental effects on the economic welfare and raises concerns regarding poverty and malnutrition at a global level. Financial risk management can be an efficient solution for limiting the effects of international agricultural price volatility. The paper analyzes the behavior of the U.S. wheat and corn prices, emphasizing their highly volatile and unpredictable nature. Given the existence of the basis risk, the estimation of the optimal hedge ratio is needed in order to provide an efficient hedging strategy against price risks. The role of public authorities in this context can consist in promoting education in the fields of hedging and understanding the agricultural price volatility risk. We estimate static and time varying optimal hedge ratios for wheat and corn through several methods. Based on the out of sample hedging effectiveness given by the variance reduction, the methods are compared and the results show that the time varying hedge ratios estimated through rolling window OLS and GARCH methods outperform the static counterparts.

Wavelet multiscale analysis for Hedge Funds: Scaling and strategies

Science.gov (United States)

Conlon, T.; Crane, M.; Ruskin, H. J.

2008-09-01

The wide acceptance of Hedge Funds by Institutional Investors and Pension Funds has led to an explosive growth in assets under management. These investors are drawn to Hedge Funds due to the seemingly low correlation with traditional investments and the attractive returns. The correlations and market risk (the Beta in the Capital Asset Pricing Model) of Hedge Funds are generally calculated using monthly returns data, which may produce misleading results as Hedge Funds often hold illiquid exchange-traded securities or difficult to price over-the-counter securities. In this paper, the Maximum Overlap Discrete Wavelet Transform (MODWT) is applied to measure the scaling properties of Hedge Fund correlation and market risk with respect to the S&P 500. It is found that the level of correlation and market risk varies greatly according to the strategy studied and the time scale examined. Finally, the effects of scaling properties on the risk profile of a portfolio made up of Hedge Funds is studied using correlation matrices calculated over different time horizons.

Cross hedging and forward-contract pricing of electricity

Energy Technology Data Exchange (ETDEWEB)

Woo, C.-K.; Hoang, K. [Energy and Environmental Economics, Inc., 353 Sacramento Street, Suite 1700, 94111 San Francisco, CA (United States); Horowitz, I. [Decision and Information Sciences, Warrington College of Business Administration, University of Florida, 32611 Gainesville, FL (United States)

2001-01-01

We consider the problem of an electric-power marketer offering a fixed-price forward contract to provide electricity that it purchases from a potentially volatile and unpredictable fledgling spot energy market. One option for the risk-averse marketer who wants to hedge against the spot-price volatility is to engage in cross hedging to reduce the contract's profit variance, and to determine the forward-contract price as a risk-adjusted price - the sum of a baseline price and a risk premium. We show how the marketer can estimate the spot-price relationship between two wholesale energy markets for the purpose of cross hedging, as well as the optimal hedge and the forward contract's baseline price and risk premium.

Hedge Funds and Risk-Decoupling

DEFF Research Database (Denmark)

Ringe, Georg

2013-01-01

The law must remain adaptive and responsive to the constantly changing challenges of our society and our business life. One of the most pressing challenges of the past years is the emergence of alternative investment funds, in particular hedge funds, which masterfully exploit the traditional cate...... to the traditional market expectations of shareholders. Based on the insight developed from these policy perspectives, this article develops regulatory reform proposals, particularly with regard to the EU context.......The law must remain adaptive and responsive to the constantly changing challenges of our society and our business life. One of the most pressing challenges of the past years is the emergence of alternative investment funds, in particular hedge funds, which masterfully exploit the traditional...... theoretical perspectives are used as an analytical framework to examine the vast challenges of risk-decoupling: (1) a classical agency costs approach; (2) an information costs perspective; and (3) a view from corporate finance. This Article argues that shareholders with hedged risk exposure do not correspond...

Arbitrage Opportunities and their Implications to Derivative Hedging

OpenAIRE

Panayides, Stephanos

2005-01-01

We explore the role that random arbitrage opportunities play in hedging financial derivatives. We extend the asymptotic pricing theory presented by Fedotov and Panayides [Stochastic arbitrage return and its implication for option pricing, Physica A 345 (2005), 207-217] for the case of hedging a derivative when arbitrage opportunities are present in the market. We restrict ourselves to finding hedging confidence intervals that can be adapted to the amount of arbitrage risk an investor will per...

26 CFR 1.1221-2 - Hedging transactions.

Science.gov (United States)

2010-04-01

... serves a hedging function, or that the transaction serves a similar function or purpose. (4) Coordination... business units. A separate set of books and records is maintained with respect to the activities, assets... under the marking member's method of accounting. (iii) Treatment of intercompany hedging transactions...

Hedging with stock index futures: downside risk versus the variance

NARCIS (Netherlands)

Brouwer, F.; Nat, van der M.

1995-01-01

In this paper we investigate hedging a stock portfolio with stock index futures.Instead of defining the hedge ratio as the minimum variance hedge ratio, we considerseveral measures of downside risk: the semivariance according to Markowitz [ 19591 andthe various lower partial moments according to

Bioenergy and biodiversity: Intensified biomass extraction from hedges impairs habitat conditions for birds.

Science.gov (United States)

Sauerbrei, Ralf; Aue, Birgit; Krippes, Christian; Diehl, Eva; Wolters, Volkmar

2017-02-01

Biomass is increasingly used as an alternative source for energy in Europe. Woody material cut from hedges is considered to provide a suitable complement to maize and oilseed rape, which are currently the dominant biomass sources. Since shrubs and trees are also important habitats for birds, however, coppicing of hedges at the landscape scale may adversely affect the diversity of the avifauna. To evaluate this risk, we estimated the response of hedge birds to three management scenarios differing in cutting intensity and hedge selection. The analysis was done using hedge data of the Lautertal municipality (n = 339 hedges; Vogelsberg area, Hesse, Germany). It focused on 25 bird species, which are all listed in the hedge programme of the German Ornithological Stations. Information on the preferences of these birds for certain hedge features such as height or width was gathered by an extensive literature review. A cluster analysis on the consolidated literature data allowed us to identify three groups of birds according to their preference for certain hedge attributes. Two groups, which included Yellowhammer (Emberiza citrinella L.) (i) and Blackbird (Turdus merula L.) (ii), favoured trees located in hedges, but differed in their preference for hedge shape, with (i) being attracted by long and broad hedges and (ii) by high hedges. The third group, which included the Whitethroat (Sylvia communis L.), preferred small hedges with gaps and medium vegetation density. Spatially explicit suitability models based on these data allowed us to predict the status quo of hedge suitability for these species groups. Field surveys proved the accuracy of the predictions to be sufficient, since the hedge suitability predicted was significantly and positively correlated to the occurrence of 9 out of the 12 testable focal species. Our models predicted biomass extraction to almost always reduce hedge suitability for the three bird groups. Concerning the Yellowhammer and the Blackbird

Penggunaan Hedging oleh Perusahaan Telekomunikasi yang Tercatat Pada Bursa Efek Indonesia

Directory of Open Access Journals (Sweden)

Basyid Ahmad

2017-09-01

Full Text Available The aims of this research were to have a comprehensive understanding on hedging implementation in telecommunication companies and to comprehend the impact of hedge to firm value of the companies. In this research, hedging is the moderating variable between independent variable and dependent variable. The independent variables included profit, firm size, leverage, growth, dividend and liquidity while the dependent variable included firm value. The method used was the ordinary least Square. The samples were taken from 2 telecommunication companies, and the data observed included the quarterly financial data from 2006 to 2015. The findings showed that derivative transactions used as hedge by the companies included cross currency swap, forward and option. Furthermore, the use of hedging foreign exchange was not seen to affect the firm value for the telecommunication company. This is because the 5 moderating variables did not significantly affect the firm value and only 1 moderating variable had a significantly negative effect on the firm value. Keywords: derivative, foreign exchange, firm value, hedge, telecommunication’ companyAbstrak: Tujuan dari penelitian ini adalah untuk menggambarkan penerapan hedging pada perusahaan telekomunikasi publik serta mengetahui dampak hedging terhadap nilai perusahaan. Dalam penelitian ini, hedging merupakan variabel moderating terhadap berbagai variabel yang memengaruhi nilai perusahaan yaitu variabel profitabilitas, firm size, leverage, growth, dividen dan likuiditas. Teknik analisis yang dipakai, yaitu regresi (ordinary least Square. Sedangkan perusahaan yang diteliti sebanyak 2 perusahaan publik dengan data keuangan triwulan sejak tahun 2006 sampai dengan 2015. Hasil penelitian menunjukkan bahwa hedging dilakukan perusahaan telekomunikasi adalah melalui transaksi derivatif, yaitu cross currency swap, forward dan option. Secara umum hedging tidak memengaruhi nilai perusahaan mengingat 5 variabel yang telah

Corporate hedging under a resource rent tax regime

International Nuclear Information System (INIS)

Frestad, Dennis

2010-01-01

In addition to the ordinary corporate income tax, special purpose taxes are sometimes levied to extract abnormal profits arising from the use of natural resources. Such dual tax regimes exist in Norway for oil and hydropower, where the corresponding special purpose tax bases are unaffected by any derivatives payments. Dual tax firms with hedging programs therefore face the risk of potentially large discrepancies between the tax bases for corporate income tax and special purpose tax. I investigate how this tax base asymmetry influences the extent of hedging of value-maximizing firms facing hedgeable as well as unhedgeable risk. Dual tax firms facing deadweight costs in low-profit events generally demand less hedging than ordinary firms, but otherwise respond similarly to characteristics of the underlying risk exposures. The special purpose tax does not influence firms' hedge portfolios in the absence of deadweight cost. (author)

26 CFR 1.446-4 - Hedging transactions.

Science.gov (United States)

2010-04-01

... general. The method of accounting used for hedges of aggregate risk must comply with the matching...) INCOME TAXES Methods of Accounting § 1.446-4 Hedging transactions. (a) In general. Except as provided in... disbursements method of accounting is used or in which § 1.471-6 is used for inventory valuations if, for all...

Limits to Arbitrage and Hedging: Evidence from Commodity Markets

OpenAIRE

Acharya, Viral V; Lochstoer, Lars; Ramadorai, Tarun

2009-01-01

Motivated by the literature on limits-to-arbitrage, we build an equilibrium model of commodity markets in which speculators are capital constrained, and commodity producers have hedging demands for commodity futures. Increases (decreases) in producers' hedging demand (speculators' risk-capacity) increase hedging costs via price-pressure on futures, reduce producers' inventory holdings, and thus spot prices. Consistent with our model, producers' default risk forecasts futures returns, spot pri...

Investable hedge fund indices: how expensive is liquidity ?

OpenAIRE

D. Maspero

2006-01-01

The paper reviews the performance of investable hedge fund indices compared to traditional noninvestable hedge fund indices. While investable indices are characterized by a higher level of liquidity they seem to lag the performance on a risk-adjusted basis of noninvestable indices

Probability Weighting and Loss Aversion in Futures Hedging

NARCIS (Netherlands)

Mattos, F.; Garcia, P.; Pennings, J.M.E.

2008-01-01

We analyze how the introduction of probability weighting and loss aversion in a futures hedging model affects decision making. Analytical findings indicate that probability weighting alone always affects optimal hedge ratios, while loss and risk aversion only have an impact when probability

Socio-cognitive aspects of hedging in two legal discourse genres

Directory of Open Access Journals (Sweden)

Holly Vass

2004-04-01

Full Text Available While there are many studies on hedging in a wide variety of disciplinary discourses, the field of Law, to date, has been largely overlooked. Moreover, most research on hedging approaches the phenomenon from either a textual or pragmatic perspective, and tends to compare the same genre across disciplines. By contrast, the objective of this study was to analyse hedging in two legal written discourse genres, namely U.S. Supreme Court opinions and American law review articles, from a comprehensive, socio-cognitive, intra-disciplinary perspective. Due to the essential roles of intuition and hedging competence in the identification of hedges, qualitative data gathering and interpretation techniques were used. Results indicate that differences between the two genres can be linked to certain prototypical features of the genres themselves, particularly context and communicative purposes. Therefore, it is possible to postulate that hedging is in fact genre-specific, at least insofar as legal genres are concerned. Further comparative research must be done to determine if the same is true in other fields as well.

Corporate hedging under a resource rent tax regime

Energy Technology Data Exchange (ETDEWEB)

Frestad, Dennis [Department of Economics and Business Administration, University of Agder, Serviceboks 422, 4604 Kristiansand (Norway)

2010-03-15

In addition to the ordinary corporate income tax, special purpose taxes are sometimes levied to extract abnormal profits arising from the use of natural resources. Such dual tax regimes exist in Norway for oil and hydropower, where the corresponding special purpose tax bases are unaffected by any derivatives payments. Dual tax firms with hedging programs therefore face the risk of potentially large discrepancies between the tax bases for corporate income tax and special purpose tax. I investigate how this tax base asymmetry influences the extent of hedging of value-maximizing firms facing hedgeable as well as unhedgeable risk. Dual tax firms facing deadweight costs in low-profit events generally demand less hedging than ordinary firms, but otherwise respond similarly to characteristics of the underlying risk exposures. The special purpose tax does not influence firms' hedge portfolios in the absence of deadweight cost. (author)

Inflation Hedging for Long-Term Investors

OpenAIRE

Shaun K. Roache; Alexander P. Attie

2009-01-01

Long-term investors face a common problem-how to maintain the purchasing power of their assets over time and achieve a level of real returns consistent with their investment objectives. While inflation-linked bonds and derivatives have been developed to hedge the effects of inflation, their limited supply and liquidity lead many investors to continue to rely on the indirect hedging properties of traditional asset classes. In this paper, we assess these properties over different time horizons,...

The evolving beta-liquidity relationship of hedge funds

NARCIS (Netherlands)

Siegmann, Arjen; Stefanova, Denitsa

2017-01-01

Hedge funds are known to have liquidity-timing capability, but this might be conditional on aggregate market conditions. To test this, we analyze changes in the relation between hedge funds' stock market exposure and aggregate stock market liquidity. Employing an optimal changepoint approach, we

Hedge Funds As a Alternative Investment Opportunities

Directory of Open Access Journals (Sweden)

Michał Falkowski

2009-09-01

Full Text Available Hedge fund which became a popular alternative investment is a collective term for different types of investment fund. A common feature of these funds is that they have absolute earnings targets, that is they set targets for earnings irrespective of developments on, for example, the stock exchange. The paper deals with the current problem of the financial crisis and the effect it made worldwide for many institutional and private investors. It discusses the role played by hedge funds in developments on the financial markets, and to what extent they are affected by the effects of the crisis, as a recurring feature of every financial crisis. It also shows a wind range of strategies used by hedge funds to achieve their goal.

Delta-gamma-theta Hedging of Crude Oil Asian Options

Directory of Open Access Journals (Sweden)

Juraj Hruška

2015-01-01

Full Text Available Since Black-Scholes formula was derived, many methods have been suggested for vanilla as well as exotic options pricing. More of investing and hedging strategies have been developed based on these pricing models. Goal of this paper is to derive delta-gamma-theta hedging strategy for Asian options and compere its efficiency with gamma-delta-theta hedging combined with predictive model. Fixed strike Asian options are type of exotic options, whose special feature is that payoff is calculated from the difference of average market price and strike price for call options and vice versa for the put options. Methods of stochastic analysis are used to determine deltas, gammas and thetas of Asian options. Asian options are cheaper than vanilla options and therefore they are more suitable for precise portfolio creation. On the other hand their deltas are also smaller as well as profits. That means that they are also less risky and more suitable for hedging. Results, conducted on chosen commodity, confirm better feasibility of Asian options compering with vanilla options in sense of gamma hedging.

Further Evidence on Hedge Funds Performance

DEFF Research Database (Denmark)

Christiansen, Claus Bang; Madsen, Peter Brink; Christensen, Michael

2003-01-01

In this analysis we identify dynamic hedge fund strategies quantitatively pursuing a Principal Component Analysis following Fung and Hsieh (1997). We extract five dominant hedge fund strategies each representing similar investment styles and analyse the performance of each strategy by employing...... a multi-factor model comprising both market indices and passive option strategies among the lines of Agerwal and Naik (2000). We find that the majority of five homogenous strategies show superior performance. However, correcting for survivorship bias this superior performance disappears....

Differences between urban and rural hedges in England revealed by a citizen science project.

Science.gov (United States)

Gosling, Laura; Sparks, Tim H; Araya, Yoseph; Harvey, Martin; Ansine, Janice

2016-07-22

Hedges are both ecologically and culturally important and are a distinctive feature of the British landscape. However the overall length of hedges across Great Britain is decreasing. Current challenges in studying hedges relate to the dominance of research on rural, as opposed to urban, hedges, and their variability and geographical breadth. To help address these challenges and to educate the public on the importance of hedge habitats for wildlife, in 2010 the Open Air Laboratories (OPAL) programme coordinated a hedge-focused citizen science survey. Results from 2891 surveys were analysed. Woody plant species differed significantly between urban and rural areas. Beech, Holly, Ivy, Laurel, Privet and Yew were more commonly recorded in urban hedges whereas Blackthorn, Bramble, Dog Rose, Elder and Hawthorn were recorded more often in rural hedges. Urban and rural differences were shown for some groups of invertebrates. Ants, earwigs and shieldbugs were recorded more frequently in urban hedges whereas blowflies, caterpillars, harvestmen, other beetles, spiders and weevils were recorded more frequently in rural hedges. Spiders were the most frequently recorded invertebrate across all surveys. The presence of hard surfaces adjacent to the hedge was influential on hedge structure, number and diversity of plant species, amount of food available for wildlife and invertebrate number and diversity. In urban hedges with one adjacent hard surface, the food available for wildlife was significantly reduced and in rural hedges, one adjacent hard surface affected the diversity of invertebrates. This research highlights that urban hedges may be important habitats for wildlife and that hard surfaces may have an impact on both the number and diversity of plant species and the number and diversity of invertebrates. This study demonstrates that citizen science programmes that focus on hedge surveillance can work and have the added benefit of educating the public on the importance of

Strips of hourly power options. Approximate hedging using average-based forward contracts

International Nuclear Information System (INIS)

Lindell, Andreas; Raab, Mikael

2009-01-01

We study approximate hedging strategies for a contingent claim consisting of a strip of independent hourly power options. The payoff of the contingent claim is a sum of the contributing hourly payoffs. As there is no forward market for specific hours, the fundamental problem is to find a reasonable hedge using exchange-traded forward contracts, e.g. average-based monthly contracts. The main result is a simple dynamic hedging strategy that reduces a significant part of the variance. The idea is to decompose the contingent claim into mathematically tractable components and to use empirical estimations to derive hedging deltas. Two benefits of the method are that the technique easily extends to more complex power derivatives and that only a few parameters need to be estimated. The hedging strategy based on the decomposition technique is compared with dynamic delta hedging strategies based on local minimum variance hedging, using a correlated traded asset. (author)

Hedging local volume risk using forward markets: Nordic case

DEFF Research Database (Denmark)

Ernstsen, Rune Ramsdal; Boomsma, Trine Krogh; Tegner, Martin

2017-01-01

With focus on the Nordic electricity market, this paper develops hedging strategies for an electricity distributor who manages price and volume risk from fixed price agreements on stochastic electricity load. Whereas the distributor trades in the spot market at area prices, the financial contracts......, and we suggest various strategies for hedging in the presence of local volume risk. We benchmark against a strategy that ignores correlation and hedges at expected load, as is common practice in the industry. Using data from 2013 and 2014 for two Danish bidding areas, we show that our best hedging...... strategy reduces gross loss by 5.8% and 13.6% and increases gross profit by 3.8% and 9.5%, respectively. Although this is partly due to the inclusion of correlation, we show that performance improvement is mainly driven by the choice of risk measure....

Do Hedge Funds Manipulate Stock Prices?

OpenAIRE

Ben-David, Itzhak; Franzoni, Francesco; Landier, Augustin; Moussawi, Rabih

2011-01-01

We find evidence of significant price manipulation at the stock level by hedge funds on critical reporting dates. Stocks in the top quartile by hedge fund holdings exhibit abnormal returns of 30 basis points in the last day of the month and a reversal of 25 basis points in the following day. Using intraday data, we show that a significant part of the return is earned during the last minutes of the last day of the month, at an increasing rate towards the closing bell. This evidence is consiste...

A Two-Step Approach for Analytical Optimal Hedging with Two Triggers

Directory of Open Access Journals (Sweden)

Tiesong Hu

2016-02-01

Full Text Available Hedging is widely used to mitigate severe water shortages in the operation of reservoirs during droughts. Rationing is usually instituted with one hedging policy, which is based only on one trigger, i.e., initial storage level or current water availability. It may perform poorly in balancing the benefits of a release during the current period versus those of carryover storage during future droughts. This study proposes a novel hedging rule to improve the efficiency of a reservoir operated to supply water, in which, based on two triggers, hedging is initiated with three different hedging sub-rules through a two-step approach. In the first step, the sub-rule is triggered based on the relationship between the initial reservoir storage level and the level of the target rule curve or the firm rule curve at the end of the current period. This step is mainly concerned with increasing the water level or not in the current period. Hedging is then triggered under the sub-rule based on current water availability in the second step, in which the trigger implicitly considers both initial and ending reservoir storage levels in the current period. Moreover, the amount of hedging is analytically derived based on the Karush–Kuhn–Tucker (KKT conditions. In addition, the hedging parameters are optimized using the improved particle swarm optimization (IPSO algorithm coupled with a rule-based simulation. A single water-supply reservoir located in Hubei Province in central China is selected as a case study. The operation results show that the proposed rule is reasonable and significantly improves the reservoir operation performance for both long-term and critical periods relative to other operation policies, such as the standard operating policy (SOP and the most commonly used hedging rules.

Conservative Delta Hedging

Science.gov (United States)

1997-09-01

an exact method for converting such intervals into arbitrage based prices of financial derivatives or industrial or contractual options. We call this...procedure conservative delta hedging . As existing procedures are of an ad hoc nature, the proposed approach will permit an institution’s man agement a greater oversight of its exposure to risk.

Downside Risk analysis applied to the Hedge Funds universe

Science.gov (United States)

Perelló, Josep

2007-09-01

Hedge Funds are considered as one of the portfolio management sectors which shows a fastest growing for the past decade. An optimal Hedge Fund management requires an appropriate risk metrics. The classic CAPM theory and its Ratio Sharpe fail to capture some crucial aspects due to the strong non-Gaussian character of Hedge Funds statistics. A possible way out to this problem while keeping the CAPM simplicity is the so-called Downside Risk analysis. One important benefit lies in distinguishing between good and bad returns, that is: returns greater or lower than investor's goal. We revisit most popular Downside Risk indicators and provide new analytical results on them. We compute these measures by taking the Credit Suisse/Tremont Investable Hedge Fund Index Data and with the Gaussian case as a benchmark. In this way, an unusual transversal lecture of the existing Downside Risk measures is provided.

Adaptive control system having hedge unit and related apparatus and methods

Science.gov (United States)

Johnson, Eric Norman (Inventor); Calise, Anthony J. (Inventor)

2007-01-01

The invention includes an adaptive control system used to control a plant. The adaptive control system includes a hedge unit that receives at least one control signal and a plant state signal. The hedge unit generates a hedge signal based on the control signal, the plant state signal, and a hedge model including a first model having one or more characteristics to which the adaptive control system is not to adapt, and a second model not having the characteristic(s) to which the adaptive control system is not to adapt. The hedge signal is used in the adaptive control system to remove the effect of the characteristic from a signal supplied to an adaptation law unit of the adaptive control system so that the adaptive control system does not adapt to the characteristic in controlling the plant.

A Behavioral Decision Making Modeling Approach Towards Hedging Services

NARCIS (Netherlands)

Pennings, J.M.E.; Candel, M.J.J.M.; Egelkraut, T.M.

2003-01-01

This paper takes a behavioral approach toward the market for hedging services. A behavioral decision-making model is developed that provides insight into how and why owner-managers decide the way they do regarding hedging services. Insight into those choice processes reveals information needed by

Dredging Operations Technical Support Program. Long-Term Monitoring of Habitat Development at Upland and Wetland Dredged Material Disposal Sites 1974-1982.

Science.gov (United States)

1985-07-01

and insecticides , and the chlorinated hydrocarbon, Kepone, from an industrial site at Hopewell. 34. The area averages 112.3 cm of rainfall per year and...aster X X X X X . False indigo-bush X False nettle X X X - " Field mint X Flowering spiderwort X . Foxta.1l grass X Giant cutgrass X X X . %. Goose grass...Grape X x Green ash X X ’ Greenbriar X " Groundnut X X Halberd-leaved tearthuinb X Hedge bindweed X X Horse nettle X X , Indian hemp X Ironweed X Ivy

Hedging with futures contracts in the Brazilian soybean complex: BM&F vs. CBOT

Directory of Open Access Journals (Sweden)

Andréia Regina O. da Silva

2003-06-01

Full Text Available This article analyzes the effectiveness of hedging Brazilian soy oil, soy meal, and soybeans in the Chicago Board of Trade (CBOT and in the Brazilian Commodities and Futures Exchange (BM&F to reduce the risk of financial loss due to commodity price fluctuations. The econometric results show that a cross-hedging strategy using the BM&F soybean futures contract is an instrument of low effectiveness for managing soy oil and soy meal price risk. Despite low effectiveness, the estimates demonstrate total advantage for soy meal hedging operations using CBOT soy meal futures contracts rather than cross-hedging using BM&F soybean futures contracts. With some exceptions, the results are also more favorable for hedging soy oil with soy oil futures contracts at the CBOT rather than cross hedging with soybeans at the BM&F. Conversely, Brazilian traders hedging soybeans receive more effective risk protection by trading soybean futures contracts at the BM&F than by trading soybean futures contracts at the CBOT.

Fundamentals and advanced techniques in derivatives hedging

CERN Document Server

Bouchard, Bruno

2016-01-01

This book covers the theory of derivatives pricing and hedging as well as techniques used in mathematical finance. The authors use a top-down approach, starting with fundamentals before moving to applications, and present theoretical developments alongside various exercises, providing many examples of practical interest. A large spectrum of concepts and mathematical tools that are usually found in separate monographs are presented here. In addition to the no-arbitrage theory in full generality, this book also explores models and practical hedging and pricing issues. Fundamentals and Advanced Techniques in Derivatives Hedging further introduces advanced methods in probability and analysis, including Malliavin calculus and the theory of viscosity solutions, as well as the recent theory of stochastic targets and its use in risk management, making it the first textbook covering this topic. Graduate students in applied mathematics with an understanding of probability theory and stochastic calculus will find this b...

Estratégias de hedge com os contratos futuros de soja da Chicago Board of Trade Hedging strategies with Chicago Board of Trade soybeans futures contracts

Directory of Open Access Journals (Sweden)

Fábio Neves de Carvalho da Silva Maia

2010-01-01

Full Text Available Este trabalho avalia os retornos e os riscos de estratégias de hedge para as dez principais regiões produtoras de soja do Brasil em relação aos contratos futuros de soja da Chicago Board of Trade (CBOT. Verificou-se que as bases apresentaram padrão bem definido: fortalecimento entre maio e novembro, seguido por enfraquecimento nos seis meses subsequentes. Os hedgers de compra possuem oportunidades de obter retornos brutos maiores, mas os riscos envolvidos nas estratégias de hedge de compra também são maiores. Conclui-se que os contratos de soja em grão da CBOT apresentam diferentes possibilidades de retornos brutos em função do tipo de hedge, do período hedgeado e do contrato utilizado. Logo, as informações disponibilizadas neste trabalho se apresentam como importante subsídio ao processo de tomada de decisão por parte dos agentes da cadeia agroindustrial da soja.This paper analyzes the return and risks of hedging strategies of the major ten soybean producing regions in Brazil concerning Chicago Board of Trade (CBOT future contracts. It was verified that the bases presented a well defined pattern characterized by strengthening from May to November and weakening in the remaining months. Long hedging had larger returns and larger risks comparing with short hedging. The conclusion of this study is that the CBOT soybean contracts present different returns depending on the type of hedging, on the period of hedging, and on the contract used. Therefore, the information presented in this paper is very important to support the decision making process in the Brazilian soybean agricultural system.

Determining the multi-scale hedge ratios of stock index futures using the lower partial moments method

Science.gov (United States)

Dai, Jun; Zhou, Haigang; Zhao, Shaoquan

2017-01-01

This paper considers a multi-scale future hedge strategy that minimizes lower partial moments (LPM). To do this, wavelet analysis is adopted to decompose time series data into different components. Next, different parametric estimation methods with known distributions are applied to calculate the LPM of hedged portfolios, which is the key to determining multi-scale hedge ratios over different time scales. Then these parametric methods are compared with the prevailing nonparametric kernel metric method. Empirical results indicate that in the China Securities Index 300 (CSI 300) index futures and spot markets, hedge ratios and hedge efficiency estimated by the nonparametric kernel metric method are inferior to those estimated by parametric hedging model based on the features of sequence distributions. In addition, if minimum-LPM is selected as a hedge target, the hedging periods, degree of risk aversion, and target returns can affect the multi-scale hedge ratios and hedge efficiency, respectively.

A risk reserve model for hedging in incomplete markets

NARCIS (Netherlands)

Minina, V.; Vellekoop, M.

2010-01-01

This paper presents a new approach to the pricing and hedging problem for contingent claims in incomplete markets. We assume that traders wish to maximize the expected final payoff of the hedging portfolio and the claims, and we avoid the use of utility functions. Instead, we model how traders are

Hedging in Popular Scientific Articles on Medicine

Directory of Open Access Journals (Sweden)

Csongor Alexandra

2013-04-01

Full Text Available Introduction: The aim of this study is to investigate the process of rewriting medical research papers for the lay public. The latest findings of medical research often appear in the popular media. It is interesting to see what happens to a scientific text when it is transmitted to a new audience. Hedging is usually interpreted as a characteristic feature of scientific discourse. This study focuses on hedging, which also tends to be applied in popularized articles in the field of medicine.

Evaluation of different hedging strategies for commodity price risks of industrial cogeneration plants

International Nuclear Information System (INIS)

Palzer, Andreas; Westner, Günther; Madlener, Reinhard

2013-01-01

In this paper, we design and evaluate eight different strategies for hedging commodity price risks of industrial cogeneration plants. Price developments are parameterized based on EEX data from 2008 to 2011. The probability distributions derived are used to determine the value-at-risk (VaR) of the individual strategies, which are in a final step combined in a mean-variance portfolio analysis for determining the most efficient hedging strategy. We find that the strategy adopted can have a marked influence on the remaining price risk. Quarter futures are found to be particularly well suited for reducing market price risk. In contrast, spot trading of CO 2 certificates is found to be preferable compared to forward market trading. Finally, portfolio optimization shows that a mix of various hedging strategies can further improve the profitability of a heat-based cogeneration plant. - Highlights: • Evaluation of commodity price risk hedging strategies for industrial cogeneration. • Value-at-risk analysis of eight different hedging strategies. • Mean-variance portfolio analysis for determining the optimal hedging strategy mix. • A mix of hedging strategies further improves profitability of heat-based CHP

Hedge Fund Stock Trading in the Financial Crisis of 2007--2009

OpenAIRE

Itzhak Ben-David; Francesco Franzoni; Rabih Moussawi

2012-01-01

Hedge funds significantly reduced their equity holdings during the recent financial crisis. In 2008:Q3----Q4, hedge funds sold about 29% of their aggregate portfolio. Redemptions and margin calls were the primary drivers of selloffs. Consistent with forced deleveraging, the selloffs took place in volatile and liquid stocks. In comparison, redemptions and stock sales for mutual funds were not as severe. We show that hedge fund investors withdraw capital three times as intensely as mutual fund ...

Hedging with futures: an application of GARCH to european electricity markets

OpenAIRE

G. Zanotti; G. Gabbi; M. Geranio

2009-01-01

European electricity markets have been subject to a broad deregulation process in the last few decades. We analyse hedging policies implemented through different hedge ratios estimation. More specifically we compare naïve, ordinary least squares, and GARCH conditional variance and correlations models to test if GARCH models lead to higher variance reduction in a context of high time varying volatility as the case of electricity markets. Our results show that the choice of the hedge ratio esti...

Are "Market Neutral" Hedge Funds Really Market Neutral?

OpenAIRE

Andrew J. Patton

2009-01-01

Using a variety of different definitions of "neutrality," this study presents significant evidence against the neutrality to market risk of hedge funds in a range of style categories. I generalize standard definitions of "market neutrality," and propose five different neutrality concepts. I suggest statistical tests for each neutrality concept, and apply these tests to a database of monthly returns on 1423 hedge funds from five style categories. For the "market neutral" style, approximately o...

Effect of reservoir zones and hedging factor dynamism on reservoir adaptive capacity for climate change impacts

Science.gov (United States)

Adeloye, Adebayo J.; Soundharajan, Bankaru-Swamy

2018-06-01

When based on the zones of available water in storage, hedging has traditionally used a single hedged zone and a constant rationing ratio for constraining supply during droughts. Given the usual seasonality of reservoir inflows, it is also possible that hedging could feature multiple hedged zones and temporally varying rationing ratios but very few studies addressing this have been reported especially in relation to adaptation to projected climate change. This study developed and tested Genetic Algorithms (GA) optimised zone-based operating policies of various configurations using data for the Pong reservoir, Himachal Pradesh, India. The results show that hedging does lessen vulnerability, which dropped from ≥ 60 % without hedging to below 25 % with the single stage hedging. More complex hedging policies, e.g. two stage and/or temporally varying rationing ratios only produced marginal improvements in performance. All this shows that water hedging policies do not have to be overly complex to effectively offset reservoir vulnerability caused by water shortage resulting from e.g. projected climate change.

Dynamically Hedging Oil and Currency Futures Using Receding Horizontal Control and Stochastic Programming

Science.gov (United States)

Cottrell, Paul Edward

There is a lack of research in the area of hedging future contracts, especially in illiquid or very volatile market conditions. It is important to understand the volatility of the oil and currency markets because reduced fluctuations in these markets could lead to better hedging performance. This study compared different hedging methods by using a hedging error metric, supplementing the Receding Horizontal Control and Stochastic Programming (RHCSP) method by utilizing the London Interbank Offered Rate with the Levy process. The RHCSP hedging method was investigated to determine if improved hedging error was accomplished compared to the Black-Scholes, Leland, and Whalley and Wilmott methods when applied on simulated, oil, and currency futures markets. A modified RHCSP method was also investigated to determine if this method could significantly reduce hedging error under extreme market illiquidity conditions when applied on simulated, oil, and currency futures markets. This quantitative study used chaos theory and emergence for its theoretical foundation. An experimental research method was utilized for this study with a sample size of 506 hedging errors pertaining to historical and simulation data. The historical data were from January 1, 2005 through December 31, 2012. The modified RHCSP method was found to significantly reduce hedging error for the oil and currency market futures by the use of a 2-way ANOVA with a t test and post hoc Tukey test. This study promotes positive social change by identifying better risk controls for investment portfolios and illustrating how to benefit from high volatility in markets. Economists, professional investment managers, and independent investors could benefit from the findings of this study.

How fair-value accounting can influence firm hedging

OpenAIRE

Beisland, Leif Atle; Frestad, Dennis

2013-01-01

Published version of an article in the journal: Review of Derivatives Research. Also available from the publisher at: http://dx.doi.org/10.1007/s11147-012-9084-y The potential influence of accounting regulations on hedging strategies and the use of financial derivatives is a research topic that has attracted little attention in both the finance and the accounting literature. However, recent surveys suggest that company hedging can be substantially influenced by the accounting for financial...

Pricing and Hedging of Derivatives in Contagious Markets

DEFF Research Database (Denmark)

Kokholm, Thomas

2016-01-01

It is well documented that stock markets are contagious. A negative shock to one market increases the probability of adverse shocks to other markets. We model this contagion effect by including mutually exciting jump processes in the dynamics of the indexes' log-returns. On top of this we add...... a stochastic volatility component to the dynamics. It is important to take the contagion effect into account if derivatives written on a basket of assets are to be priced or hedged. Due to the affine model specification the joint characteristic function of the log-returns is known analytically, and for two......-asset derivatives prices and show how for certain derivatives the impact is heavy. Moreover, we derive hedge ratios for European put and call options and perform a numerical experiment, which illustrates the impact of contagious jumps on option prices and hedge ratios. Mutually exciting processes have been analyzed...

Effectiveness of narrow grass hedges in reducing atrazine runoff under different slope gradient conditions.

Science.gov (United States)

Wang, Qinghai; Li, Cui; Chen, Chao; Chen, Jie; Zheng, Ruilun; Que, Xiaoe

2018-03-01

Atrazine is frequently detected in surface runoff and poses a potential threat to the environment. Grass hedges may minimize runoff loss of atrazine from crop fields. Therefore, the effectiveness of two grass hedges (Melilotus albus and Pennisetum alopecuroides) in controlling atrazine runoff was investigated using simulated rainfall on lands at different slope gradients (15 and 20%) in northern China. Results showed that a storm (40 mm in 1 h), occurring 4 h after atrazine application, caused a loss of 3% of the applied amount. Atrazine loss under 20% slope was significantly greater than that under 15% slope in control plots. Atrazine exports associated with the water fraction accounted for the majority of total loss. Pennisetum hedges were more efficient in controlling atrazine loss with runoff compared to Melilotus hedges. No significant difference in the capacity of grass hedges to reduce atrazine exports was observed between 15 and 20% slopes. These findings suggest grass hedges are effective in minimizing atrazine runoff in northern China, and Pennisetum hedges should be preferentially used on sloping croplands in similar climatic regions.

Highwaymen or heroes: should hedge funds be regulated?

OpenAIRE

Jon Danielsson; Ashley Taylor; Jean-Pierre Zigrand

2004-01-01

The exponential growth of hedge funds, their role in financial crises in the 1990s, and examples of fraudulent behaviour have precipitated a heated debate over their regulatory status. The existing approaches of greater disclosure and activity restrictions appear too blunt to be effective and may stifle the benefits hedge funds can bring to the financial system. But, even the remote possibility of a systemic crisis weighs against no regulation. If reform is delayed until after a crisis it is ...

Hedging strategies for petroleum companies; Estrategias de hedging para empresas de petroleo

Energy Technology Data Exchange (ETDEWEB)

Cohen, Joaquim Dib [PETROBRAS, Rio de Janeiro, RJ (Brazil)

2004-07-01

The prices of crude oil and products in the international market are becoming more and more volatile putting in risk the investment plans of the Oil Companies, their commercial revenues and even their survival. From 1983, with the launch of the WTI crude contract at the New York Mercantile Exchange (NYMEX), the market for derivatives had been growing at very high rate, letting the Companies to use it in order to protect their positions (hedging) and minimizing their business exposure to price risk. The Over the Counter (OTC) market, leaded by Financial Institutions, together with the exchange, are bringing a sort of different strategies to allow producers to protect their portfolios against an adverse move of the market, traders and refiners can, also, fix their margins and guarantee their profitability and, finally, end users are entitle to freeze their feedstock and keep their market competitiveness. Thus, producers, refiners, traders and end users of petroleum and products, have more and more take advantage of the use of derivatives to make their business foreseeable and profitable choosing the risk level they want to take by using a combination of market derivative hedging strategies as shown in this paper. (author)

Minimal variance hedging of natural gas derivatives in exponential Lévy models: Theory and empirical performance

International Nuclear Information System (INIS)

Ewald, Christian-Oliver; Nawar, Roy; Siu, Tak Kuen

2013-01-01

We consider the problem of hedging European options written on natural gas futures, in a market where prices of traded assets exhibit jumps, by trading in the underlying asset. We provide a general expression for the hedging strategy which minimizes the variance of the terminal hedging error, in terms of stochastic integral representations of the payoffs of the options involved. This formula is then applied to compute hedge ratios for common options in various models with jumps, leading to easily computable expressions. As a benchmark we take the standard Black–Scholes and Merton delta hedges. We show that in natural gas option markets minimal variance hedging with underlying consistently outperform the benchmarks by quite a margin. - Highlights: ► We derive hedging strategies for European type options written on natural gas futures. ► These are tested empirically using Henry Hub natural gas futures and options data. ► We find that our hedges systematically outperform classical benchmarks

Hedging effectiveness and volatility models for crude oil market: a dynamic approach; Modelos de volatilidade e a efetividade do hedge no mercado de petroleo: um abordagem dinamica

Energy Technology Data Exchange (ETDEWEB)

Salles, Andre Assis de [Universidade Federal do Rio de Janeiro (UFRJ), RJ (Brazil)

2012-07-01

The hedge strategies allow negotiators that have short and long positions in the market protection against price fluctuations. This paper examines the performance of bivariate volatility models for the crude oil spot and future returns of the Western Texas Intermediate - WTI type barrel prices. Besides the volatility of spot and future crude oil barrel returns time series, the hedge ratio strategy is examined through the hedge effectiveness. Thus this study shows hedge strategies built using methodologies applied in the variance modeling of returns of crude oil prices in the spot and future markets, and covariance between these two market returns, which correspond to the inputs of the hedge strategy shown in this work. From the studied models the bivariate GARCH in a Diagonal VECH and BEKK representations was chosen, using three different models for the mean: a bivariate autoregressive, a vector autoregressive and a vector error correction. The methodologies used here take into consideration the denial of assumptions of homoscedasticity and normality for the return distributions. The data used is logarithm returns of daily prices quoted in dollars per barrel from November 2008 to May 2010 for spot and future contracts, in particular the June contract. (author)

18 CFR 367.2450 - Account 245, Derivative instrument liabilities-Hedges

Science.gov (United States)

2010-04-01

..., Derivative instrument liabilities—Hedges (a) This account must include the change in the fair value of... service company must record the change in the fair value of a derivative instrument liability related to a... change in the fair value of a derivative instrument liability related to a fair value hedge in this...

Hedging Rules for Water Supply Reservoir Based on the Model of Simulation and Optimization

Directory of Open Access Journals (Sweden)

Yi Ji

2016-06-01

Full Text Available This study proposes a hedging rule model which is composed of a two-period reservior operation model considering the damage depth and hedging rule parameter optimization model. The former solves hedging rules based on a given poriod’s water supply weighting factor and carryover storage target, while the latter optimization model is used to optimize the weighting factor and carryover storage target based on the hedging rules. The coupling model gives the optimal poriod’s water supply weighting factor and carryover storage target to guide release. The conclusions achieved from this study as follows: (1 the water supply weighting factor and carryover storage target have a direct impact on the three elements of the hedging rule; (2 parameters can guide reservoirs to supply water reasonably after optimization of the simulation and optimization model; and (3 in order to verify the utility of the hedging rule, the Heiquan reservoir is used as a case study and particle swarm optimization algorithm with a simulation model is adopted for optimizing the parameter. The results show that the proposed hedging rule can improve the operation performances of the water supply reservoir.

Risk Management Framework for Hedge Funds: Role of Funding and Redemption Options on Leverage

OpenAIRE

Dai, John; Sundaresan, Suresh

2009-01-01

We develop a model of hedge fund returns, which reflect the contractual relationships between a hedge fund, its investors and its prime brokers. These relationships are modelled as short option positions held by the hedge fund, wherein the “funding option” reflects the short option position with prime brokers and the “redemption option” reflects the short option position with the investors. Given an alpha producing human capital, the hedge fund’s ability to deploy leverage to magnify its alph...

Hedge math: Theoretical limits on minimum stockpile size across nuclear hedging strategies

Energy Technology Data Exchange (ETDEWEB)

Lafleur, Jarret Marshall [Sandia National Lab. (SNL-CA), Livermore, CA (United States); Roesler, Alexander W. [Sandia National Lab. (SNL-NM), Albuquerque, NM (United States)

2016-09-01

In June 2013, the Department of Defense published a congressionally mandated, unclassified update on the U.S. Nuclear Employment Strategy. Among the many updates in this document are three key ground rules for guiding the sizing of the non-deployed U.S. nuclear stockpile. Furthermore, these ground rules form an important and objective set of criteria against which potential future stockpile hedging strategies can be evaluated.

Electricity market pricing, risk hedging and modeling

Science.gov (United States)

Cheng, Xu

In this dissertation, we investigate the pricing, price risk hedging/arbitrage, and simplified system modeling for a centralized LMP-based electricity market. In an LMP-based market model, the full AC power flow model and the DC power flow model are most widely used to represent the transmission system. We investigate the differences of dispatching results, congestion pattern, and LMPs for the two power flow models. An appropriate LMP decomposition scheme to quantify the marginal costs of the congestion and real power losses is critical for the implementation of financial risk hedging markets. However, the traditional LMP decomposition heavily depends on the slack bus selection. In this dissertation we propose a slack-independent scheme to break LMP down into energy, congestion, and marginal loss components by analyzing the actual marginal cost of each bus at the optimal solution point. The physical and economic meanings of the marginal effect at each bus provide accurate price information for both congestion and losses, and thus the slack-dependency of the traditional scheme is eliminated. With electricity priced at the margin instead of the average value, the market operator typically collects more revenue from power sellers than that paid to power buyers. According to the LMP decomposition results, the revenue surplus is then divided into two parts: congestion charge surplus and marginal loss revenue surplus. We apply the LMP decomposition results to the financial tools, such as financial transmission right (FTR) and loss hedging right (LHR), which have been introduced to hedge against price risks associated to congestion and losses, to construct a full price risk hedging portfolio. The two-settlement market structure and the introduction of financial tools inevitably create market manipulation opportunities. We investigate several possible market manipulation behaviors by virtual bidding and propose a market monitor approach to identify and quantify such

A risk hedging strategy under the nonparallel-shift yield curve

Science.gov (United States)

Gong, Pu; He, Xubiao

2005-08-01

Under the assumption of the movement of rigid, a nonparallel-shift model in the term structure of interest rates is developed by introducing Fisher & Weil duration which is a well-known concept in the area of interest risk management. This paper has studied the hedge and replication for portfolio immunization to minimize the risk exposure. Throughout the experiment of numerical simulation, the risk exposures of the portfolio under the different risk hedging strategies are quantitatively evaluated by the method of value at risk (VaR) order statistics (OS) estimation. The results show that the risk hedging strategy proposed in this paper is very effective for the interest risk management of the default-free bond.

MEANING-MAKING OF HEDGES IN THE GOSSIP COLUMN OF THE JAKARTA POST

Directory of Open Access Journals (Sweden)

Uswatun Hasanah

2016-01-01

Full Text Available The present study investigates the use of hedges (vague language as the meaning-making practice in the gossip column of the Jakarta Post. The daily newspaper is chosen due to pragmatic purposes, accessibility, and its national coverage. Adapting the framework of Lakoff (1973, Holmes (1990 and Hyland (1996a-b, this study focuses on the hedges’ functions and meanings in a gossip column (informal context, apart from an academic discourse (formal context in which hedges are frequently discussed. This possibly leads to the diverse functions and meanings of the hedges’ occurrences within the discourse: through the employment of ‘epistemic modal’ (the expression of uncertainty and ‘affective’ (the expression of solidarity function. Further, the mostly-found hedges are the epistemic modal ‘about’ (five times and the affective modal ‘think’ (four times from six hedge categories. Eventually, it is also revealed that hedges used in the gossip column are to enhance the self-image and trend-setting identity of the celebrities, who indeed are involved in the discourse.

Using Derivatives to Hedge Interest Rate Risk: A Student Exercise

Science.gov (United States)

Donaldson, Jeff; Flagg, Donald

2014-01-01

In a world of fluctuating asset prices, many firms find the need to hedge in order to avoid or reduce losses. From a gold miner selling gold derivatives to airlines buying oil futures to protect against rising fuel costs, hedging is common practice across many different industries. In this paper, we provide students with a simplified example of a…

Delayed bet-hedging resilience strategies under environmental fluctuations

Science.gov (United States)

Ogura, Masaki; Wakaiki, Masashi; Rubin, Harvey; Preciado, Victor M.

2017-05-01

Many biological populations, such as bacterial colonies, have developed through evolution a protection mechanism, called bet hedging, to increase their probability of survival under stressful environmental fluctuation. In this context, the concept of preadaptation refers to a common type of bet-hedging protection strategy in which a relatively small number of individuals in a population stochastically switch their phenotypes to a dormant metabolic state in which they increase their probability of survival against potential environmental shocks. Hence, if an environmental shock took place at some point in time, preadapted organisms would be better adapted to survive and proliferate once the shock is over. In many biological populations, the mechanisms of preadaptation and proliferation present delays whose influence in the fitness of the population are not well understood. In this paper, we propose a rigorous mathematical framework to analyze the role of delays in both preadaptation and proliferation mechanisms in the survival of biological populations, with an emphasis on bacterial colonies. Our theoretical framework allows us to analytically quantify the average growth rate of a bet-hedging bacterial colony with stochastically delayed reactions with arbitrary precision. We verify the accuracy of the proposed method by numerical simulations and conclude that the growth rate of a bet-hedging population shows a nontrivial dependency on their preadaptation and proliferation delays. Contrary to the current belief, our results show that faster reactions do not, in general, increase the overall fitness of a biological population.

Survival, Look-Ahead Bias and the Persistence in Hedge Fund Performance

NARCIS (Netherlands)

G. Baquero; J.R. ter Horst (Jenke); M.J.C.M. Verbeek (Marno)

2005-01-01

textabstractWe analyze the performance persistence in hedge funds taking into account look-ahead bias (multi-period sampling bias). We model liquidation of hedge funds by analyzing how it depends upon historical performance. Next, we use a weighting procedure that eliminates look-ahead bias in

Hedge Funds and Risk-Decoupling

DEFF Research Database (Denmark)

Ringe, Wolf-Georg

Negative risk-decoupling, otherwise known as empty voting, is a popular strategy amongst hedge funds and other activist investors. In short, it is the attempt to decouple the economic risk from the share’s ownership position, retaining in particular the voting right without risk. This paper uses ...

It Only Takes a Few Moments to Hedge

DEFF Research Database (Denmark)

Barletta, Andrea; Santucci de Magistris, Paolo; Pedersen, David Sloth

Traders hedge the risks carried by options and other securities using the so-called Greeks, with the delta and the vega being the most prominent. In this paper, we propose a novel non-structural method for hedging European options, relying on two model-independent results: First, under suitable...... in variance swap contracts or, indirectly, through an ATM call option. While both strategies ensure effective immunization in periods of market turmoil, taking direct exposure on volatility might not be optimal during extended periods of subdued market volatility. We argue that this result is related...

Crystallization: the hidden dimension of Hedge funds' fee structure

OpenAIRE

Elaut, Gert; Frömmel, Michael; Sjödin, John

2014-01-01

We investigate the implications of variations in the frequency with which hedge fund managers update their high-water mark on fees paid by investors. We first document the crystallization frequencies used by Commodity Trading Advisors (CTAs) and then perform simulations and a bootstrap analysis. We find a statistically and economically significant effect of the crystallization frequency on the total fee load. Hedge funds' total fee load increases significantly as the crystallization frequency...

Hedging Yield with Weather Derivatives: A Role for Options

OpenAIRE

Manfredo, Mark R.; Richards, Timothy J.

2005-01-01

While there are few risk management alternatives available to specialty crop growers, weather derivatives provide an important advancement. As with the use of any derivatives contract, the behavior of the basis will ultimately determine the net-hedged outcome. However, when using weather derivatives to hedge yield risks for specialty crops, growers face a unique form of basis risk because weather (temperature) and yield are nonlinearly related. Using the forecast encompassing principle, this ...

Robust facility location: Hedging against failures

International Nuclear Information System (INIS)

Hernandez, Ivan; Emmanuel Ramirez-Marquez, Jose; Rainwater, Chase; Pohl, Edward; Medal, Hugh

2014-01-01

While few companies would be willing to sacrifice day-to-day operations to hedge against disruptions, designing for robustness can yield solutions that perform well before and after failures have occurred. Through a multi-objective optimization approach this paper provides decision makers the option to trade-off total weighted distance before and after disruptions in the Facility Location Problem. Additionally, this approach allows decision makers to understand the impact on the opening of facilities on total distance and on system robustness (considering the system as the set of located facilities). This approach differs from previous studies in that hedging against failures is done without having to elicit facility failure probabilities concurrently without requiring the allocation of additional hardening/protections resources. The approach is applied to two datasets from the literature

Risk preference, option pricing and portfolio hedging with proportional transaction costs

International Nuclear Information System (INIS)

Wang, Xiao-Tian; Li, Zhe; Zhuang, Le

2017-01-01

Highlights: • Scaling is a key factor in option pricing. • The model is theoretically analyzed and the results are new. • Some numerical examples are performed. • The implied-volatility-frown is affected by the risk preference and scaling. - Abstract: This paper is concerned in the option pricing and portfolio hedging in a discrete time case with the proportional transaction costs. Through the Monte Carlo simulations it has been shown that the fractal scaling and risk preference of traders have an important influence on the hedging performances in both option pricing and portfolio hedging in a discrete time case. In addition, the relation between preference of traders and implied volatility frown is discussed. We conclude that the risk preferences of traders play an important role in determining the shape of the implied-volatility-frown and the different options having the different hedging frequencies is another reason for the implied volatility frown.

Gas Storage Valuation and Hedging: A Quantification of Model Risk

Directory of Open Access Journals (Sweden)

Patrick Hénaff

2018-03-01

Full Text Available This paper focuses on the valuation and hedging of gas storage facilities, using a spot-based valuation framework coupled with a financial hedging strategy implemented with futures contracts. The contributions of this paper are two-fold. Firstly, we propose a model that unifies the dynamics of the futures curve and spot price, and accounts for the main stylized facts of the US natural gas market such as seasonality and the presence of price spikes in the spot market. Secondly, we evaluate the associated model risk, and show not only that the valuation is strongly dependent upon the dynamics of the spot price, but more importantly that the hedging strategy commonly used in the industry leaves the storage operator with significant residual price risk.

Bet-hedging applications for conservation

Indian Academy of Sciences (India)

One of the early tenets of conservation biology is that population viability is enhanced by maintaining multiple populations of a species. The strength of this tenet is justified by principles of bet-hedging. Management strategies that reduce variance in population size will also reduce risk of extinction. Asynchrony in population ...

Hedging against terrorism: Are US businesses prepared?

Science.gov (United States)

Kahan, Jerome H

2015-01-01

Private US companies face risks in connection with financial matters, but are not necessarily prepared to cope with risks that can seriously disrupt or even halt their operations, notably terrorist attacks and natural disasters. Enhancing the resilience of businesses when dealing with terrorism is especially challenging, as these groups or individuals can adapt tactics to exploit the vulnerabilities of companies they wish to target. Business managers need to formulate flexible preparedness plans that reduce risks from large-scale natural disasters as well as terrorist attacks. In doing so, they can take advantage of post-9/11 US government guidance for these endeavours as well as programmes that eliminate risks to private insurance entities so they can issue policies that cover terrorist strikes of high consequences. Just as business executives use hedging strategies in the world of finance, they also need operational hedging strategies as a means of exploiting as well as lowering the risks surrounding future uncertainties. Resources devoted to planning and hedging are investments that can increase the odds of businesses surviving and thriving, even if they experience high-impact terrorist attacks, threats or large-scale natural disasters, making suppliers, customers and stakeholders happy. The purpose of this paper is to give executives the incentive to take steps to do just that.

Speculative and hedging activities in the European carbon market

International Nuclear Information System (INIS)

Lucia, Julio J.; Mansanet-Bataller, Maria; Pardo, Ángel

2015-01-01

We explore the dynamics of the speculative and hedging activities in European futures carbon markets by using volume and open interest data. A comparison of the three phases in the European Union Emission Trading Scheme (EU ETS) reveals that (i) Phase II of the EU ETS seems to be the most speculative phase to date and (ii) the highest degree of speculative activity for every single phase occurs at the moment of listing the contracts for the first time. A seasonality analysis identifies a higher level of speculation in the first quarter of each year, related to the schedule of deadlines of the EU ETS. In addition, a time series analysis confirms that most of the speculative activity each year occurs in the front contract, whereas the hedging demand concentrates in the second-to-deliver futures contract. -- Highlights: •This study explores the evolution of speculative and hedging activities in futures carbon markets by using volume and open interest data. •Phase II of the EU ETS seems to be the most speculative phase to date. •A seasonality analysis identifies a higher level of speculation in the first quarter of each year. •Most of the speculative activity occurs in the front contract. •The hedging demand concentrates in the second-to-deliver futures contract

Hedge Effectiveness in the Brazilian US Dollar Futures Market

Directory of Open Access Journals (Sweden)

Leonardo Lima Gomes

2011-09-01

Full Text Available In recent years, one could observe a very definite surge in dollar prices in Brazil. Many Brazilian Companies, especially those with large amounts of dollar denominated debt incurred substantial losses due to the strong and fast growth of the dollar. The subsequent dollar price collapse from 2002 to 2008 caused great losses to exporters. In the context of hedge being a form of protection against currency oscillations, this paper aimed to study its effectiveness using the dollar future market in the BM&FBovespa. Specifically, four alternatives for calculating the optimum hedge ratio were compared: a the so called naïve approach, where opposite positions are taken in the spot and future markets; b OLS – Ordinary Least Squares c symmetric bi-variate GARCH (Generalized Autoregressive Conditional Heteroscedasticity; d asymmetric bi-variate GARCH. The results showed that both GARCH supported hedge ratios presented higher effectiveness when compared to OLS, with in turn surpassed the naïve one.

On Mean-Variance Hedging of Bond Options with Stochastic Risk Premium Factor

NARCIS (Netherlands)

Aihara, ShinIchi; Bagchi, Arunabha; Kumar, Suresh K.

2014-01-01

We consider the mean-variance hedging problem for pricing bond options using the yield curve as the observation. The model considered contains infinite-dimensional noise sources with the stochastically- varying risk premium. Hence our model is incomplete. We consider mean-variance hedging under the

Currency hedging with help of derivatives

Directory of Open Access Journals (Sweden)

Sylvie Riederová

2011-01-01

Full Text Available The high volatility combined with unpredictable fluctuations of CZK had shown one more time to the Czech exporting companies the necessity of currency hedging. This article is focused on finding of suitable currency hedging instrument for exporting company, working with the currency pair of CZK/EUR. In the first part, the time series analysis is made for volatility, interest rates and exchange rate. Based on the real market data – gained from Thomson REUTERS and CNB for the time period starting in 2002 – the detailed analysis is made in graphical form. The main goal is to find out the future trends with help of liner regression analysis, based on the historical data. Several graphs are provided with the trend line end estimated interval (min and max for the each variable. The calculated values are clearly marked, to be separated from the real market data. Exchange rate curve shows the market behaviour in the last years and is to be used as most important indicator for the future trends. Interest rates curves are very important for the calculation of the BIPS (basis points, determining the price of the forwards. The difference between landing and deposit rates for the same period of time and different currencies are showing the market estimation of the future development of each currency. Forward price is to be seen as a benchmark for the all other financial instruments. And finally the volatility (quoted as middle is very important part in the pricing of currency options.The second part is closely connected with the first one. Based on the results of provided analyses, it recommends a suitable hedging product for the next period of time. All of the analyses are taken as an input in different ways. The volatility is important for the decision of selling or purchasing the specific part of currency option. The exchange rate outlook together with the interest rates is the indicator of the future development of the currency pair and is playing

E-Commerce and Exchange Rate Exposure Management: A Tilt towards Real Hedging

DEFF Research Database (Denmark)

Aabo, Tom

2001-01-01

The aim of this paper is to address the impact of E-commerce on the balance between real hedging and financial hedging in the context of exchange rate exposure management in non-financial companies. A cross-case study of industrial companies highlights the inadequacy in taking a partial and static...... financial approach when managing exchange rate exposures. The paper argues that the emergence of E-commerce - by reducing the cost of obtaining, analyzing and allocating information - affects the dynamics of the markets and the dynamics of the company in such a way that a general tilt towards real hedging...

Assessing Performance of Multipurpose Reservoir System Using Two-Point Linear Hedging Rule

Science.gov (United States)

Sasireka, K.; Neelakantan, T. R.

2017-07-01

Reservoir operation is the one of the important filed of water resource management. Innovative techniques in water resource management are focussed at optimizing the available water and in decreasing the environmental impact of water utilization on the natural environment. In the operation of multi reservoir system, efficient regulation of the release to satisfy the demand for various purpose like domestic, irrigation and hydropower can lead to increase the benefit from the reservoir as well as significantly reduces the damage due to floods. Hedging rule is one of the emerging techniques in reservoir operation, which reduce the severity of drought by accepting number of smaller shortages. The key objective of this paper is to maximize the minimum power production and improve the reliability of water supply for municipal and irrigation purpose by using hedging rule. In this paper, Type II two-point linear hedging rule is attempted to improve the operation of Bargi reservoir in the Narmada basin in India. The results obtained from simulation of hedging rule is compared with results from Standard Operating Policy, the result shows that the application of hedging rule significantly improved the reliability of water supply and reliability of irrigation release and firm power production.

Currency Hedging for International Stock Portfolios

NARCIS (Netherlands)

F.A. de Roon (Frans); T.E. Nijman (Theo); B.J.M. Werker

2000-01-01

textabstractThis paper tests whether hedging currency risk improves the performance of international stock portfolios. We use a generalized performance measure which allows for investor-dependencies such as different utility functions and the presence of nontraded risks. In addition we show that an

Double hedge aids commercial terms of upstream asset purchase

International Nuclear Information System (INIS)

Wood, D.

1993-01-01

In recent years many major oil companies have elected to rationalize their producing assets. Mature production--particularly onshore in developed countries, associated with high costs and small profit margins--has been the major target. The current weakness in oil prices has resulted in many such properties being on the market. However, much production marginal to a major can be highly profitable to a cost-effective independent, particularly if the production fits strategically with the independent's asset portfolio. Although many independents recognize that some of the producing assets on the market could be of potential value to them, in a period of volatile prices two important valuations have to be technically justified and negotiated to enable or persuade them to conclude a purchase agreement for a specific asset. These are: A purchase value for an asset that is acceptable to both seller and buyer; and A loan value for the asset to establish the level of debt that the asset can support for the buyer. In defining these two important values (both of which are usually established as ranges rather than single values) the independent has to protect itself against a downturn in commodity prices and exposing itself to an unserviceable level of debt. The paper discusses reducing risks, purchase price hedge, an example of a hedged purchase price, price elements, loan value analysis, agreement structure, loan value hedge, and an example of a hedged loan value

A model for hedging load and price risk in the Texas electricity market

International Nuclear Information System (INIS)

Coulon, Michael; Powell, Warren B.; Sircar, Ronnie

2013-01-01

Energy companies with commitments to meet customers' daily electricity demands face the problem of hedging load and price risk. We propose a joint model for load and price dynamics, which is motivated by the goal of facilitating optimal hedging decisions, while also intuitively capturing the key features of the electricity market. Driven by three stochastic factors including the load process, our power price model allows for the calculation of closed-form pricing formulas for forwards and some options, products often used for hedging purposes. Making use of these results, we illustrate in a simple example the hedging benefit of these instruments, while also evaluating the performance of the model when fitted to the Texas electricity market. - Highlights: • We present a structural model for electricity spot prices in the ERCOT market. • Relationships between power price and factors such as load and gas price are studied. • Seasonal patterns and load-dependent spikes are shown to be well captured. • Closed-form results for prices of forwards, options and spread options are derived. • We demonstrate the effectiveness of hedging power demand with forwards and options

Caixa é dívida negativa sob a perspectiva de hedging no Brasil?

Directory of Open Access Journals (Sweden)

Marcio Telles Portal

2013-01-01

Full Text Available O presente estudo investigou se as companhias brasileiras de capital aberto, entre 1995 e 2008, coordenam as políticas de caixa e dívida para efeitos de hedging contra subinvestimento em condições de restrição financeira. Os resultados indicam a inexistência de um componente de hedging usando, simultaneamente, as políticas de caixa e dívida em companhias restritas. Foi observada para as companhias restritas financeiramente uma sensibilidade positiva do caixa ao fluxo de caixa e sensibilidade negativa da dívida ao fluxo de caixa, independentemente da necessidade de hedging. As companhias irrestritas não apresentaram uma sensibilidade do caixa ao fluxo de caixa significante estatisticamente, mas apresentaram sensibilidade negativa da dívida ao fluxo de caixa, resultados também independentes da necessidade de hedging. As evidências contrariam os resultados encontrados por Acharya, Almeida e Campello (2007 no mercado norte-americano, onde caixa e dívida negativa apresentaram de acordo com a necessidade de hedging diferentes papéis na otimização intertemporal dos investimentos em companhias restritas.

Immunization and Hedging of Post Retirement Income Annuity Products

Directory of Open Access Journals (Sweden)

Changyu Liu

2017-03-01

Full Text Available Designing post retirement benefits requires access to appropriate investment instruments to manage the interest rate and longevity risks. Post retirement benefits are increasingly taken as a form of income benefit, either as a pension or an annuity. Pension funds and life insurers offer annuities generating long term liabilities linked to longevity. Risk management of life annuity portfolios for interest rate risks is well developed but the incorporation of longevity risk has received limited attention. We develop an immunization approach and a delta-gamma based hedging approach to manage the risks of adverse portfolio surplus using stochastic models for mortality and interest rates. We compare and assess the immunization and hedge effectiveness of fixed-income coupon bonds, annuity bonds, as well as longevity bonds, using simulations of the portfolio surplus for an annuity portfolio and a range of risk measures including value-at-risk. We show how fixed-income annuity bonds can more effectively match cash flows and provide additional hedge effectiveness over coupon bonds. Longevity bonds, including deferred longevity bonds, reduce risk significantly compared to coupon and annuity bonds, reflecting the long duration of the typical life annuity and the exposure to longevity risk. Longevity bonds are shown to be effective in immunizing surplus over short and long horizons. Delta gamma hedging is generally only effective over short horizons. The results of the paper have implications for how providers of post retirement income benefit streams can manage risks in demanding conditions where innovation in investment markets can support new products and increase the product range.

International hedging under concurrent risks of input/output prices and exchange rate : The case of Korean oil refinery

Energy Technology Data Exchange (ETDEWEB)

Yun, W C; Kim, S D [Korea Energy Economics Institute, Euiwang (Korea, Republic of)

1997-11-01

This study develops an international hedging model which accounts for the multiple risks of input and output prices and exchange rates. Considering a fixed production technology, we formulize simultaneous minimum variance hedge ratios, which reflects inter correlations among prices. To utilize the dynamic nature of prices, time-varying conditional procedures are specified to estimate the relevant variance and covariance matrix. The time-varying representations of the variance and covariance matrix are statistically appropriate, in general. The separate hedge ratios are similar to the simultaneous hedge ratios for alternative procedures. The ex post hedging effectiveness indicate that there are substantial reduction in the variance of returns for all the procedures. The contribution of foreign currency futures is minimal due to the low correlation between commodities and exchange rates. Based on the traditional definition of hedging effectiveness, the time-varying conditional procedure provide little gain to the hedgers over a constant procedure in terms of the mean and the variance reduction. However, the performance of conditional procedures could be improved by accounting for the potential problems: mis specification problem, inappropriate definition of hedging effectiveness, and conflicts between theoretical derivation and estimation of hedge ratios. (author). 39 refs., 6 tabs.

Optimization problem and mean variance hedging on defaultable claims

OpenAIRE

Goutte, Stephane; Ngoupeyou, Armand

2012-01-01

We study the pricing and the hedging of claim {\\psi} which depends on the default times of two firms A and B. In fact, we assume that, in the market, we can not buy or sell any defaultable bond of the firm B but we can only trade defaultable bond of the firm A. Our aim is then to find the best price and hedging of {\\psi} using only bond of the firm A. Hence, we solve this problem in two cases: firstly in a Markov framework using indifference price and solving a system of Hamilton-Jacobi-Bellm...

Variance Swaps in BM&F: Pricing and Viability of Hedge

Directory of Open Access Journals (Sweden)

Richard John Brostowicz Junior

2010-07-01

Full Text Available A variance swap can theoretically be priced with an infinite set of vanilla calls and puts options considering that the realized variance follows a purely diffusive process with continuous monitoring. In this article we willanalyze the possible differences in pricing considering discrete monitoring of realized variance. It will analyze the pricing of variance swaps with payoff in dollars, since there is a OTC market that works this way and thatpotentially serve as a hedge for the variance swaps traded in BM&F. Additionally, will be tested the feasibility of hedge of variance swaps when there is liquidity in just a few exercise prices, as is the case of FX optionstraded in BM&F. Thus be assembled portfolios containing variance swaps and their replicating portfolios using the available exercise prices as proposed in (DEMETERFI et al., 1999. With these portfolios, the effectiveness of the hedge was not robust in mostly of tests conducted in this work.

Modern stage and the directions of developing the accounting system for hedging corporate derivatives

OpenAIRE

Ковтун, Ірина Юріївна

2015-01-01

The peculiarities of the accounting for hedging corporate derivatives oriented to the capital maintenance through system risk management have been disclosed. The suggestions on the accounting for hedging in the modern legal environment have been made

Weather derivatives: Business hedge instrument from weather risks

Directory of Open Access Journals (Sweden)

Đorđević Bojan S.

2014-01-01

Full Text Available In the late 1990s, a new financial market was developed - a market for weather derivatives, so that the risk managers could hedge their exposure to weather risk. After a rather slow start, the weather derivatives market had started to grow rapidly. Risk managers could no longer blame poor financial results on the weather. Weather risk could now be removed by hedging procedure. This paper will explain briefly what the weather derivatives are and will point out at some of the motives for use of derivatives. Thereafter we will look at the history of the weather risk market, how the weather derivatives market has developed in recent years and also who are the current and potential players in the weather derivatives market.

An analysis of the effectiveness of a joint commodity and foreign exchange rate futures hedge: The case of a Canadian crude oil trader

International Nuclear Information System (INIS)

Klusa, L.J.

1993-04-01

This study focused on reducing risk for Canadian crude oil traders exposed to crude oil price and exchange rate uncertainty. Joint static and flow period hedges were developed and compared to unhedged positions and to naive and simple hedges. Optimal hedge ratio size and hedging effectiveness were identified for a variety of hedge lifting periods and durations. The in-sample results indicated that joint hedge models were more effective than other models in terms of minimizing the variance of returns. Out-of-sample results indicated that joint and simple commodity hedges were equally effective. Other findings included: shorter duration, close to expiry hedges were the most effective; the difference between the variability of spot and future price differences and their correlations were related to hedge ratio size; and a flow period hedge was the most effective hedge when spot prices were monthly average prices. 53 refs., 3 figs., 49 tabs

FOREIGN CURRENCY RISK HEDGING

Directory of Open Access Journals (Sweden)

Mihaela SUDACEVSCHI

2017-05-01

Full Text Available This paper presents the traditional types of exchange rate risk faced by firms and some of principal methods of exchange risk management that a company which make foreign currency operations can use. Foreign currency risk management involves both assessing the risk faced by the companies and adopting measures for the risk hedging or reduce the damage it may cause. The damages result from the company’s unfavorable difference between the exchange rates of the currencies in which the transactions are made.

Optimal Hedging and Pricing of Equity-Linked Life Insurance Contracts in a Discrete-Time Incomplete Market

Directory of Open Access Journals (Sweden)

Norman Josephy

2011-01-01

Full Text Available We present a method of optimal hedging and pricing of equity-linked life insurance products in an incomplete discrete-time financial market. A pure endowment life insurance contract with guarantee is used as an example. The financial market incompleteness is caused by the assumption that the underlying risky asset price ratios are distributed in a compact interval, generalizing the assumptions of multinomial incomplete market models. For a range of initial hedging capitals for the embedded financial option, we numerically solve an optimal hedging problem and determine a risk-return profile of each optimal non-self-financing hedging strategy. The fair price of the insurance contract is determined according to the insurer's risk-return preferences. Illustrative numerical results of testing our algorithm on hypothetical insurance contracts are documented. A discussion and a test of a hedging strategy recalibration technique for long-term contracts are presented.

Return and volatility transmission between gold and stock sectors: Application of portfolio management and hedging effectiveness

Directory of Open Access Journals (Sweden)

Dilip Kumar

2014-03-01

Full Text Available The paper investigates the first and second orders moment transmission between gold and Indian industrial sectors with an application of portfolio design and hedging effectiveness using generalised VAR-ADCC-BVGARCH model. Our findings indicate unidirectional significant return spillover from gold to stock sectors. The negative values of estimated time varying conditional correlations are mainly observed during periods of market turbulence and crisis indicating the scope of portfolio diversification and hedging during these periods. We also estimate optimal weights, hedge ratios, and hedging effectiveness for the stock-gold portfolios. Our findings suggest that stock-gold portfolio provides better diversification benefits than stock portfolios.

Bet hedging in yeast by heterogeneous, age-correlated expression of a stress protectant.

Directory of Open Access Journals (Sweden)

Sasha F Levy

Full Text Available Genetically identical cells grown in the same culture display striking cell-to-cell heterogeneity in gene expression and other traits. A crucial challenge is to understand how much of this heterogeneity reflects the noise tolerance of a robust system and how much serves a biological function. In bacteria, stochastic gene expression results in cell-to-cell heterogeneity that might serve as a bet-hedging mechanism, allowing a few cells to survive through an antimicrobial treatment while others perish. Despite its clinical importance, the molecular mechanisms underlying bet hedging remain unclear. Here, we investigate the mechanisms of bet hedging in Saccharomyces cerevisiae using a new high-throughput microscopy assay that monitors variable protein expression, morphology, growth rate, and survival outcomes of tens of thousands of yeast microcolonies simultaneously. We find that clonal populations display broad distributions of growth rates and that slow growth predicts resistance to heat killing in a probabalistic manner. We identify several gene products that are likely to play a role in bet hedging and confirm that Tsl1, a trehalose-synthesis regulator, is an important component of this resistance. Tsl1 abundance correlates with growth rate and replicative age and predicts survival. Our results suggest that yeast bet hedging results from multiple epigenetic growth states determined by a combination of stochastic and deterministic factors.

An Empirical Study on Hedge Fund Portfolio Optimization, Mean-Risk Based Approaches

OpenAIRE

Li, Yang

2011-01-01

Abstract This research attempts to investigate the divergences between the Mean-Variance and the Mean-CVaR portfolio optimization methods in examining various assets classes, such as equities, bonds, and especially hedge funds. In order to get a thorough understanding of hedge funds facts and available optimization techniques, relevant literatures are carefully reviewed and incorporated into later stage computer modelling. By constructing three hypothetical portfolios, including traditiona...

A Hedge for Gödel Fuzzy Logic

Czech Academy of Sciences Publication Activity Database

Hájek, Petr; Harmancová, Dagmar

2000-01-01

Roč. 8, č. 4 (2000), s. 495-498 ISSN 0218-4885 Grant - others:COST(XE) Action 15 Institutional research plan: AV0Z1030915 Keywords : fuzzy logic * Gödel logic * intuitionistic logic * hedges Subject RIV: BA - General Mathematics Impact factor: 0.145, year: 2000

Empirical Evidence on Time-Varying Hedging Effectiveness of Emissions Allowances under Departures from the Cost-of-Carry Theory

Directory of Open Access Journals (Sweden)

Kai Chang

2013-01-01

Full Text Available Under departures from the cost-of-carry theory, traded spot prices and conditional volatility disturbed from futures market have significant impacts on futures price of emissions allowances, and then we propose time-varying hedge ratios and hedging effectiveness estimation using ECM-GARCH model. Our empirical results show that conditional variance, conditional covariance, and their correlation between between spot and futures prices exhibit time-varying trends. Conditional volatility of spot prices, conditional volatility disturbed from futures market, and conditional correlation of market noises implied from spot and futures markets have significant effects on time-varying hedge ratios and hedging effectiveness. In the immature emissions allowances market, market participants optimize portfolio sizes between spot and futures assets using historical market information and then achieve higher risk reduction of assets portfolio revenues; accordingly, we can obtain better hedging effectiveness through time-varying hedge ratios with departures from the cost-of-carry theory.

Determinantes para utilização de Hedge Accouting: uma escolha contábil

Directory of Open Access Journals (Sweden)

Fernando Caio Galdi

2009-01-01

Full Text Available Este estudio investiga la sistemática de la elección contable, en el medio corporativo, referente a la contratación y a la calificación, o no, de operaciones con derivativos para apli - cación de la contabilidad de hedge ( Hedge Accounting , conforme a las normas del Fasb ( SFAS 133 . Dentro de ese abordaje, fueron utilizadas variables relacionadas a los incen - tivos/beneficios que las empresas pueden tener al clasificar una transacción dentro de los requisitos necesarios para aplicación de la contabilidad de operaciones de hedge ( Hedge Accounting . Las empresas evaluadas son aquellas listadas en la NYSE en los sectores de Minería, Siderurgia/Metalurgia y Papel/Celulosa. Los datos utilizados fueron obtenidos por medio de la base de datos Economatica , websites de las firmas seleccionadas y del análisis de las demostraciones financieras publicadas en los informes anuales, en dólares norteamericanos, de cada una de las seleccionadas firmas, referentes al año 2006. Las evidencias apuntan hacia una relación positiva y significante entre la deuda de largo plazo y la aplicación de la contabilidad de hedge , lo que es consistente con la teoría y corrobora con la relación esperada.

A logical approach to fuzzy truth hedges

Czech Academy of Sciences Publication Activity Database

Esteva, F.; Godo, L.; Noguera, Carles

2013-01-01

Roč. 232, č. 1 (2013), s. 366-385 ISSN 0020-0255 Institutional support: RVO:67985556 Keywords : Mathematical fuzzy logic * Standard completeness * Truth hedges Subject RIV: BA - General Mathematics Impact factor: 3.893, year: 2013 http://library.utia.cas.cz/separaty/2016/MTR/noguera-0469148.pdf

Ambiguities of the hedge: an exercise in creative pleaching - of moments, memories and meanings

DEFF Research Database (Denmark)

Harvey, David

2017-01-01

of subjection’, connected invariably with Parliamentary enclosure and proletarianisation, the English hedgerow is also an iconic symbol of rural tranquillity, and mainstay of many conservation and biodiversity agendas, with hedge-laying — – the practice of constructing a living hedge — championed as a key item...

How hedge woody species diversity and habitat change is a function of land use history and recent management in a European agricultural landscape.

Science.gov (United States)

McCann, Thomas; Cooper, Alan; Rogers, David; McKenzie, Paul; McErlean, Thomas

2017-07-01

European hedged agricultural landscapes provide a range of ecosystem services and are an important component of cultural and biodiversity heritage. This paper investigates the extent of hedges, their woody species diversity (including the influence of historical versus recent hedge origin) and dynamics of change. The rationale is to contribute to an ecological basis for hedge habitat management. Sample sites were allocated based on a multivariate classification of landscape attributes. All field boundaries present in each site were mapped and surveyed in 1998 and 2007. To assess diversity, a list of all woody species was recorded in one standard 30 m linear plot within each hedge. There was a net decrease in hedge habitat extent, mainly as a result of removal, and changes between hedges and other field boundary types due to the development and loss of shrub growth-form. Agricultural intensification, increased rural building, and variation in hedge management practices were the main drivers of change. Hedges surveyed at baseline, which were lost at resurvey, were more species rich than new hedges gained. Hedges coinciding with historical land unit boundaries of likely Early Medieval origin were found to be more species rich. The most frequent woody species in hedges were native, including a high proportion with Fraxinus excelsior, a species under threat from current and emerging plant pests and pathogens. Introduced species were present in circa 30% of hedges. We conclude that since hedge habitat distribution and woody species diversity is a function of ecology and anthropogenic factors, the management of hedges in enclosed agricultural landscapes requires an integrated approach. Copyright © 2017 Elsevier Ltd. All rights reserved.

Performance of hedging strategies in interval models

NARCIS (Netherlands)

Roorda, Berend; Engwerda, Jacob; Schumacher, J.M.

2005-01-01

For a proper assessment of risks associated with the trading of derivatives, the performance of hedging strategies should be evaluated not only in the context of the idealized model that has served as the basis of strategy development, but also in the context of other models. In this paper we

Determinantes para utilização de Hedge Accouting: uma escolha contábil

Directory of Open Access Journals (Sweden)

Fernando Caio Galdi

2009-08-01

Full Text Available Este estudo investiga a sistemática da escolha contábil, no meio corporativo,referente à contratação e à qualificação, ou não, de operações com derivativos para aplicação da contabilidade de hedge (Hedge Accounting, conforme as normas do Fasb (SFAS 133. Dentro dessa abordagem, foram utilizadas variáveis relacionadas aos incentivos/benefícios que as empresas podem ter ao classificarem uma transação dentro dos requisitos necessários para aplicação da contabilidade de operações de hedge (Hedge Accounting. As empresas avaliadas são aquelas listadas na NYSE nos setores de Mineração, Siderurgia/Metalurgia e Papel/Celulose. Os dados utilizados foram obtidos por meio da base de dados Economatica, websites das firmas selecionadas e da análise das demonstrações financeiras publicadas nos relatórios anuais, em dólares norte-americanos, de cada uma das selecionadas firmas, referentes ao ano de 2006. As evidências apontam para uma relação positiva e significante entre a dívida de longo prazo e a aplicação da contabilidade de hedge, o que é consistente com a teoria e corrobora com a relação esperada.

The role of cointegration for optimal hedging with heteroscedastic error term

DEFF Research Database (Denmark)

Gatarek, Lukasz; Johansen, Søren

2017-01-01

a cointegrating vector for large h, thereby giving a bounded risk. Taking the expected return into account, the portfolio that maximizes the Sharpe ratio is found, and it is shown that it also approaches a cointegration portfolio. For constant conditional volatility, the conditional variance can be estimated...... forward contracts for electricity, which are hedged by forward contracts for fuel prices. The main conclusion of the paper is that for optimal hedging, one should exploit the cointegrating properties for long horizons, but for short horizons more weight should be put on the remaining dynamics....

The role of cointegration for optimal hedging with heteroscedastic error term

DEFF Research Database (Denmark)

Gatarek, Lutasz; Johansen, Søren

a cointegrating vector for large h, thereby giving a bounded risk. Taking the expected return into account, the portfolio that maximizes the Sharpe ratio is found, and it is shown that it also approaches a cointegration portfolio. For constant conditional volatility, the conditional variance can be estimated...... forward contracts for electricity, which are hedged by forward contracts for fuel prices. The main conclusion of the paper is that for optimal hedging, one should exploit the cointegrating properties for long horizons, but for short horizons more weight should be put on the remaining dynamics....

Contribution to modeling and dynamic risk hedging in energy markets

International Nuclear Information System (INIS)

Noufel, Frikha

2010-12-01

This thesis is concerned with probabilistic numerical problems about modeling, risk control and risk hedging motivated by applications to energy markets. The main tool is based on stochastic approximation and simulation methods. This thesis consists of three parts. The first one is devoted to the computation of two risk measures of the portfolio loss distribution L: the Value-at-Risk (VaR) and the Conditional Value-at-Risk (CVaR). This computation uses a stochastic algorithm combined with an adaptive variance reduction technique. The first part of this chapter deals with the finite dimensional case, the second part extends the results of the first part to the case of a path-dependency process and the last one deals low discrepancy sequences. The second chapter is devoted with risk minimizing hedging strategies in an incomplete market operating in discrete time using quantization based stochastic approximation. Theoretical results on CVaR hedging are presented then numerical aspects are addressed in a Markovian framework. The last part deals with joint modeling of Gas and Electricity spot prices. The multi-factor model presented is based on stationary Ornstein process with parameterized diffusion coefficient. (author)

Price volatility, hedging and variable risk premium in the crude oil market

International Nuclear Information System (INIS)

Ahmad Jalali-Naini; Maryam Kazemi Manesh

2006-01-01

The crude oil price exhibits a high degree of volatility which varies significantly over time. Such characteristics imply that the oil market is a promising area for testing volatility models. Testing and predicting volatility using ARCH and GARCH models have grown in the literature. A useful application of the volatility models is in the formulation of hedging strategies. In this paper we compare the optimal hedge ratio for the crude oil using the classical minimum risk approach and use ARCH to incorporate the effect of heteroskedasticity in the residuals on the hedge ratio. In addition, we test for the existence of a variable risk premium in the crude oil market. We find that, assuming rational expectations, there is a non-zero risk premium. We test for the variability of the risk premia and find evidence in its support when we employed a multivariate GARCH model. (author)

The Impact of Hedge Fund Activism on Target Firm Performance, Executive Compensation and Executive Wealth

Directory of Open Access Journals (Sweden)

Andrew Carrothers

2017-10-01

Full Text Available This paper examines the relationship between hedge fund activism and target firm performance, executive compensation, and executive wealth. It introduces a theoretical framework that describes the activism process as a sequence of discrete decisions. The methodology uses regression analysis on a matched sample based on firm size, industry, and market-to-book ratio. All regressions control for industry and year fixed effects. Schedule 13D Securities and Exchange Commission (SEC filings are the source for the statistical sample of hedge fund target firms. I supplement that data with target firm financial, operating, and share price information from the CRSP-COMPUSTAT merged database. Activist hedge funds target undervalued or underperforming firms with high profitability and cash flows. They do not avoid firms with powerful CEOs. Leverage, executive compensation, pay for performance and CEO turnover increase at target firms after the arrival of the activist hedge fund. Target firm executives’ wealth is more sensitive to changes in share price after hedge fund activism events suggesting that the executive team experiences changes to their compensation structure that provides incentive to take action to improve returns to shareholders. The top executives reap rewards for increasing firm value but not for increased risk taking.

Forward, Forward Option and No Hedging Which One is the Best for Managing Currency Risk?

Directory of Open Access Journals (Sweden)

Riko Hendrawan

2017-07-01

Full Text Available Bank Indonesia Regulation No.18/18/PBI/2016 concerning foreign exchange transactions against rupiah between banks and domestic parties, indicates that the importance of hedging for business actors in Indonesia. Based on the data of the rupiah exchange rate movement against the dollar from January 2006 to December 2016 shows that the fluctuation of the rupiah against the US dollar tends to weaken, although at some point the observation shows the strengthening of the rupiah against the US dollar. The purpose of this research is to assess impact of Forward, Forward Option and No Hedging Strategy for managing currency exposure between IDR to USD. Using data from January 2006–December 2016 taken from website of Bank Indonesia and Federal Reserve. Total 396 simulations,consists of 132 using Forward simulations, 132 using Forward Option simulations and 132 using No Hedging simulations. Findings from this research show that Forward Option was has no positive contribution in managing currency exposure, No Hedging Strategy has 36,36 percent positive contribution and forward contract has 72,73 percent positive contribution in managing currency exposure. Its means Forward Contract was better than Forward Option and No Hedging Strategies in managing currency exposure.

Pricing and hedging derivative securities with neural networks: Bayesian regularization, early stopping, and bagging.

Science.gov (United States)

Gençay, R; Qi, M

2001-01-01

We study the effectiveness of cross validation, Bayesian regularization, early stopping, and bagging to mitigate overfitting and improving generalization for pricing and hedging derivative securities with daily S&P 500 index daily call options from January 1988 to December 1993. Our results indicate that Bayesian regularization can generate significantly smaller pricing and delta-hedging errors than the baseline neural-network (NN) model and the Black-Scholes model for some years. While early stopping does not affect the pricing errors, it significantly reduces the hedging error (HE) in four of the six years we investigated. Although computationally most demanding, bagging seems to provide the most accurate pricing and delta hedging. Furthermore, the standard deviation of the MSPE of bagging is far less than that of the baseline model in all six years, and the standard deviation of the average HE of bagging is far less than that of the baseline model in five out of six years. We conclude that they be used at least in cases when no appropriate hints are available.

Operações de Hedge no Agronegócio - Uma Análise Baseada no Hedging Accounting'

Directory of Open Access Journals (Sweden)

Maria Jose de Camargo Machado De Zen

2009-10-01

Full Text Available O mercado de derivativos vem ganhando importância no contexto econômico mundial, demandando procedimentos contábeis que evidenciem corretamente os riscos e os benefícios envolvidos em tais operações. Desta maneira, este artigo mostra e discute aspectos da contabilização de operações de hedge, utilizando como base para análise, dois instrumentos utilizados com a finalidade de hedge no agronegócio brasileiro: a Cédula de Produto Rural (CPR e os contratos futuros agropecuários. Através de pesquisa bibliográfica, foram estudados os procedimentos do Hedging Accounting, segundo a normatização do FASB, e da CVM. Através do desenvolvimento de um exemplo teórico foram analisados e discutidos estes procedimentos, comparando as divergências de critérios entre as normas dos dois órgãos citados, e o impacto destes na análise das demonstrações financeiras tanto do produtor rural como da agroindústria. Esta análise demonstra que há divergências significativas na evidenciação destes instrumentos, principalmente dos contratos futuros, entre as normas analisadas. Ja para a CPR, foi proposta uma contabilização segundo o conceito de "derivativo embutido", conceito este contemplado pelo próprio FASB para alguns contratos com características híbridas. Existe uma necessidade de adequação das normas da CVM ao FASB, visto a importância de evidenciar estas operações no "corpo"do balanço, tanto no aspecto de exposição ao risco, como para a comparando de estratégias diferentes de proteção. No entanto, analisando somente dois títulos, fica evidente a dificuldade da adequação das normas brasileiras ao FASB.

Optimization of multi-reservoir operation with a new hedging rule: application of fuzzy set theory and NSGA-II

Science.gov (United States)

Ahmadianfar, Iman; Adib, Arash; Taghian, Mehrdad

2017-10-01

The reservoir hedging rule curves are used to avoid severe water shortage during drought periods. In this method reservoir storage is divided into several zones, wherein the rationing factors are changed immediately when water storage level moves from one zone to another. In the present study, a hedging rule with fuzzy rationing factors was applied for creating a transition zone in up and down each rule curve, and then the rationing factor will be changed in this zone gradually. For this propose, a monthly simulation model was developed and linked to the non-dominated sorting genetic algorithm for calculation of the modified shortage index of two objective functions involving water supply of minimum flow and agriculture demands in a long-term simulation period. Zohre multi-reservoir system in south Iran has been considered as a case study. The results of the proposed hedging rule have improved the long-term system performance from 10 till 27 percent in comparison with the simple hedging rule, where these results demonstrate that the fuzzification of hedging factors increase the applicability and the efficiency of the new hedging rule in comparison to the conventional rule curve for mitigating the water shortage problem.

Missing Data Bias on a Selective Hedging Strategy

Directory of Open Access Journals (Sweden)

Kiss Gábor Dávid

2017-03-01

Full Text Available Foreign exchange rates affect corporate profitability both on the macro and cash-flow level. The current study analyses the bias of missing data on a selective hedging strategy, where currency options are applied in case of Value at Risk (1% signs. However, there can be special occasions when one or some data is missing due to lack of a trading activity. This paper focuses on the impact of different missing data handling methods on GARCH and Value at Risk model parameters, because of selective hedging and option pricing based on them. The main added value of the current paper is the comparison of the impact of different methods, such as listwise deletion, mean substitution, and maximum likelihood based Expectation Maximization, on risk management because this subject has insufficient literature. The current study tested daily closing data of floating currencies from Kenya (KES, Ghana (GHS, South Africa (ZAR, Tanzania (TZS, Uganda (UGX, Gambia (GMD, Madagascar (MGA and Mozambique (MZN in USD denomination against EUR/USD rate between March 8, 2000 and March 6, 2015 acquired from the Bloomberg database. Our results suggested the biases of missingness on Value at Risk and volatility models, presenting significant differences among the number of extreme fluctuations or model parameters. A selective hedging strategy can have different expenditures due to the choice of method. This paper suggests the usage of mean substitution or listwise deletion for daily financial time series due to their tendency to have a close to zero first momentum

(IAM Series No 004) Highwaymen or Heroes: Should Hedge Funds be Regulated?

OpenAIRE

Jean-Pierre Zigrand; Ashley Taylor; Jon Danielsson

2004-01-01

The exponential growth of hedge funds, their role in financial crises in the 1990s, and examples of fraudulent behaviour have precipitated a heated debate over their regulatory status. The existing approaches of greater disclosure and activity restrictions appear too blunt to be effective and may stifle the benefits hedge funds can bring to the financial system. But, even the remote possibility of a systemic crisis weighs against no regulation. If reform is delayed until after a crisis it is ...

The European Union, Financial Crises and the Regulation of Hedge Funds: A Policy Cul-de-Sac or Policy Window?

Directory of Open Access Journals (Sweden)

David John Lutton

2008-11-01

Full Text Available A series of financial crises involving hedge funds has created a general perception that action needs to be taken. A number of key member states and political actors favour tighter regulation. Traditional bureaucratic theory suggests that the European Commission would seek to maximise this ‘policy window’, and yet there remains no single unified European Union (EU regulatory framework specifically targeting hedge funds. The nature of the regulatory regime, which has generally demanded a ‘light touch’ approach, means there are strict limits the EU’s ability to act. From an EU perspective, hedge fund regulation appears to be a policy cul-de-sac. However, the relationship between hedge funds and financial crisis is complex and less straightforward than is often portrayed. Hedge fund regulation cannot, however, be considered in isolation but should be viewed in the context of a wider programme to integrate European financial services markets. Viewed from this perspective, EU regulation is in fact changing the landscape of the hedge fund industry through a process of negative integration.

The performance of multi-factor term structure models for pricing and hedging caps and swaptions

NARCIS (Netherlands)

Driessen, J.J.A.G.; Klaassen, P.; Melenberg, B.

2000-01-01

In this paper we empirically compare a wide range of different term structure models when it comes to the pricing and, in particular, hedging of caps and swaptions. We analyze the influence of the number of factors on the hedging and pricing results, and investigate which type of data "interest rate

The Performance of Multi-Factor Term Structure Models for Pricing and Hedging Caps and Swaptions

NARCIS (Netherlands)

Driessen, J.J.A.G.; Klaassen, P.; Melenberg, B.

2000-01-01

In this paper we empirically compare different term structure models when it comes to the pricing and hedging of caps and swaptions.We analyze the influence of the number of factors on the pricing and hedging results, and investigate which type of data -interest rate data or derivative price data-

Striking Features of the New Market Companies Adopting Hedge Accounting

Directory of Open Access Journals (Sweden)

Leandro Augusto Toigo

2015-08-01

Full Text Available This research had as main objective to analyze the corporate and financial governance characteristics that discriminate against groups of companies that adopt hedge accounting in the new market for risk management. In this sense, there was descriptive survey the site of BM&FBOVESPA, conducted through desk review of the financial statements of 31/12/2012, including the explicative notes and management reports, there was also collecting data in reference form and Economatica. The population corresponds as 128 companies of the governance level - new market, and that the reserve sample was random and probabilistic, comprising 88 companies. We used a construct of the CPC 40 that deals with hedge accounting in order to segment the sample companies opting or not hedge accounting. The results of the application of Pearson's correlation and logistic regression with the Hosmer and Lemoshow tests (HLT and Test Omnibus coefficient model (OTMC, have shown that companies with ownership concentration, foreign investors and larger assets are adopting more significantly CPC 40. It follows that Brazilian companies belonging to the new market that adopt the practice of accounting disclosure to demonstrate improvement in risk management of the investments of the shareholders, are large companies with the capital structure composed of foreign investor and representative shareholder wealth.

Pricing and hedging in the VIX derivative market

NARCIS (Netherlands)

Kozarski, R.

2013-01-01

In course of the analysis, we take advantage of extended market evidence in the model estimation and a more complex design to assess the model pricing and hedging performance. The pursuit of more empirically relevant frameworks pays-off is a more precise pricing. However, instead of developing

Score-Driven Nelson Siegel: Hedging Long-Term Liabilities

NARCIS (Netherlands)

R. Quaedvlieg (Rogier); P.C. Schotman (Peter)

2016-01-01

textabstractDue to its affine structure the Nelson-Siegel model for yield curves can be transformed to a factor model for excess bond returns. Hedging interest rate risk in this framework amounts to eliminating the factor exposure and minimizing the residual risk. Fitting the model directly on

Belief elicitation in experiments: is there a hedging problem?

Czech Academy of Sciences Publication Activity Database

Blanco, M.; Engelmann, Dirk; Koch, A. K.; Normann, H.-T.

2010-01-01

Roč. 13, č. 4 (2010), s. 412-438 ISSN 1386-4157 Institutional research plan: CEZ:AV0Z70850503 Keywords : belief elicitation * hedging * experimental methodology Subject RIV: AH - Economics Impact factor: 1.868, year: 2010

Bet hedging via seed banking in desert evening primroses (Oenothera, Onagraceae): demographic evidence from natural populations.

Science.gov (United States)

Evans, Margaret E K; Ferrière, Régis; Kane, Michael J; Venable, D Lawrence

2007-02-01

Bet hedging is one solution to the problem of an unpredictably variable environment: fitness in the average environment is sacrificed in favor of lower variation in fitness if this leads to higher long-run stochastic mean fitness. While bet hedging is an important concept in evolutionary ecology, empirical evidence that it occurs is scant. Here we evaluate whether bet hedging occurs via seed banking in natural populations of two species of desert evening primroses (Oenothera, Onagraceae), one annual and one perennial. Four years of data on plants and 3 years of data on seeds yielded two transitions for the entire life cycle. One year was exceptionally dry, leading to reproductive failure in the sample areas, and the other was above average in precipitation, leading to reproductive success in four of five populations. Stochastic simulations of population growth revealed patterns indicative of bet hedging via seed banking, particularly in the annual populations: variance in fitness and fitness in the average environment were lower with seed banking than without, whereas long-run stochastic mean fitness was higher with seed banking than without across a wide range of probabilities of the wet year. This represents a novel, unusually rigorous demonstration of bet hedging from field data.

Testing Commodities as Safe Haven and Hedging Instrument on ASEAN's Five Stock Markets

OpenAIRE

Robiyanto, Robiyanto

2017-01-01

This study attempts to analyze commodity market instruments such as gold, silver, platinum, palladium, and West Texas Intermediate (WTI) crude oil’s potential as hedge and safe haven toward some stock markets in South East Asia such as in Indonesia, Singapore, Malaysia, Philippines, and Thailand. To analyze the data, GARCH (1,1) was applied. The research findings showed that gold, silver, platinum, palladium, and WTI could not play their role as hedging instrument for five South East Asi...

The Interaction between Real Options and Financial Hedging: An Empirical Study of Danish Non-Financial Companies

DEFF Research Database (Denmark)

Aabo, Tom

The interaction between real options and financial hedging is analyzed empirically. A majority of Danish non-financial companies either (1) chooses at times not to hedge an exchange rate operating exposure financially due to the possibility of the company to react to changes in exchange rates...

A mixed C-vine copula model for hedging price and volumetric risk in wind power trading

DEFF Research Database (Denmark)

Pircalabu, Anca; Jung, Jesper

2017-01-01

correlation with the much more liquid German market to construct a proxy hedge. We propose a three-dimensional mixed vine copula to model the evolution of the Danish and German spot electricity prices and the Danish wind power production. We construct a realistic hedging portfolio by identifying various...... of not only forwards, but also a basket of e.g. call and put options. Illiquidity and an almost non-existent market for options challenge however the optimal hedging of joint price and volumetric risk in many market places. Here, we consider the case of the Danish power market, and exploit its strong positive...... instruments available in the market, such as real options in the form of the right to transfer electricity across the border and the right to convert electricity to heat. Using the proposed vine copula to determine optimal hedging decisions, we show that significant benefits are to be drawn by extending...

12 CFR 956.6 - Use of hedging instruments.

Science.gov (United States)

2010-01-01

... counterparty for over-the-counter derivative contracts shall include: (i) A requirement that market value... reasonable estimate of the market value of the over-the-counter derivative contract at termination (standard.... Derivative instruments that do not qualify as hedging instruments pursuant to GAAP may be used only if a non...

Incentive Contracts and Hedge Fund Management

OpenAIRE

Jens Carsten Jackwerth; James E. Hodder

2005-01-01

This paper investigates dynamically optimal risk-taking by an expected-utility maximizing manager of a hedge fund. We examine the effects of variations on a compensation structure that includes a percentage management fee, a performance incentive for exceeding a specified highwater mark, and managerial ownership of fund shares. In our basic model, there is an exogenous liquidation barrier where the fund is shut down due to poor performance. We also consider extensions where the manager can vo...

Hedging Cash Flows from Commodity Processing

OpenAIRE

Dahlgran, Roger A.

2005-01-01

Agribusinesses make long-term plant-investment decisions based on discounted cash flow. It is therefore incongruous for an agribusiness firm to use cash flow as a plant-investment criterion and then to completely discard cash flow in favor of batch profits as an operating objective. This paper assumes that cash flow and its stability is important to commodity processors and examines methods for hedging cash flows under continuous processing. Its objectives are (a) to determine how standard he...

Value at Risk and Hedge Fund Return - Does High Risk Bring High Return?

OpenAIRE

Jing, Tao; Zhao, Hongxiang

2010-01-01

This paper mainly focuses on the correlation between live hedge fund return and their value at risk (VaR), and is based on the historical data from May 2000 to April 2010. The authors adopt portfolio level analyses and fund level cross-sectional regression, and find that there is significant positive correlation, both statistically and economically, between the hedge fund return and VaRs (parametric, non-parametric and GARCH). Further research is conducted by sub-dividing the overall period i...

Hedging strategies in energy markets: the case of electricity retailers

International Nuclear Information System (INIS)

Boroumand, Raphael Homayoun; Goutte, Stephane; Porcher, Simon; Porcher, Thomas

2015-01-01

As market intermediaries, electricity retailers buy electricity from the wholesale market or self-generate for re(sale) on the retail market. Electricity retailers are uncertain about how much electricity their residential customers will use at any time of the day until they actually turn switches on. While demand uncertainty is a common feature of all commodity markets, retailers generally rely on storage to manage demand uncertainty. On electricity markets, retailers are exposed to joint quantity and price risk on an hourly basis given the physical singularity of electricity as a commodity. In the literature on electricity markets, few articles deals on intra-day hedging portfolios to manage joint price and quantity risk whereas electricity markets are hourly markets. The contributions of the article are twofold. First, we define through a VaR and CVaR model optimal portfolios for specific hours (3 a.m., 6 a.m.,...,12 p.m.) based on electricity market data from 2001 to 2011 for the French market. We prove that the optimal hedging strategy differs depending on the cluster hour. Secondly, we demonstrate the significantly superior efficiency of intra-day hedging portfolios over daily (therefore weekly and yearly) portfolios. Over a decade (2001-2011), our results clearly show that the losses of an optimal daily portfolio are at least nine times higher than the losses of optimal intra-day portfolios. (authors)

Variance-optimal hedging for processes with stationary independent increments

DEFF Research Database (Denmark)

Hubalek, Friedrich; Kallsen, J.; Krawczyk, L.

We determine the variance-optimal hedge when the logarithm of the underlying price follows a process with stationary independent increments in discrete or continuous time. Although the general solution to this problem is known as backward recursion or backward stochastic differential equation, we...

Currency Hedging for International Stock Portfolios : A General Approach

NARCIS (Netherlands)

de Roon, F.A.; Nijman, T.E.; Werker, B.J.M.

1999-01-01

This paper tests whether hedging currency risk improves the performance of international stock portfolios. We use a generalized performance measure which allows for investor-dependencies such as different utility functions and the presence of nontraded risks. In addition we show that an auxiliary

Dual mode linguistic hedge fuzzy logic controller for an isolated wind-diesel hybrid power system with superconducting magnetic energy storage unit

International Nuclear Information System (INIS)

Thameem Ansari, M.Md.; Velusami, S.

2010-01-01

A design of dual mode linguistic hedge fuzzy logic controller for an isolated wind-diesel hybrid power system with superconducting magnetic energy storage unit is proposed in this paper. The design methodology of dual mode linguistic hedge fuzzy logic controller is a hybrid model based on the concepts of linguistic hedges and hybrid genetic algorithm-simulated annealing algorithms. The linguistic hedge operators are used to adjust the shape of the system membership functions dynamically and can speed up the control result to fit the system demand. The hybrid genetic algorithm-simulated annealing algorithm is adopted to search the optimal linguistic hedge combination in the linguistic hedge module. Dual mode concept is also incorporated in the proposed controller because it can improve the system performance. The system with the proposed controller was simulated and the frequency deviation resulting from a step load disturbance is presented. The comparison of the proportional plus integral controller, fuzzy logic controller and the proposed dual mode linguistic hedge fuzzy logic controller shows that, with the application of the proposed controller, the system performance is improved significantly. The proposed controller is also found to be less sensitive to the changes in the parameters of the system and also robust under different operating modes of the hybrid power system.

Pricing and Hedging Guaranteed Returns on Mix Funds

NARCIS (Netherlands)

Vellekoop, M.H.; van de Kamp, A.A.; Post, B.A.

2006-01-01

Abstract In this paper we propose a valuation and hedging strategy for a guaranteed minimal rate of return on a mix fund, which participates in both bonds and stocks. For the case where a fixed amount of money is invested, we show that a European put option on the mix fund replicates the cash flows

77 FR 63360 - Permal Hedge Strategies Fund, et al.;

Science.gov (United States)

2012-10-16

... SECURITIES AND EXCHANGE COMMISSION [Investment Company Act Release No. IC-30228; 812-14011] Permal Hedge Strategies Fund, et al.; Notice of Application October 9, 2012. AGENCY: Securities and Exchange Commission (``Commission''). ACTION: Notice of an application under section 6(c) of the Investment Company...

A seasonal copula mixture for hedging the clean spark spread with wind power futures

DEFF Research Database (Denmark)

Christensen, Troels Sønderby; Pircalabu, Anca; Høg, Esben

2018-01-01

The recently introduced German wind power futures have brought the opportunity to address the problem of volume risk in wind power generation directly. In this paper we study the hedging benefits of these instruments in the context of gas-fired power plants by employing a strategy that allows...... and the dependence structure, while being straightforward and easy to implement. Based on Monte Carlo simulations from the proposed model, the results indicate that significant benefits can be achieved by using wind power futures to hedge the spot clean spark spread. Moreover, a comparison study shows...... trading in the spot clean spark spread and wind power futures. To facilitate hedging decisions, we propose a time-varying copula mixture for the joint behavior of the spot clean spark spread and the daily wind index. The model describes the data surprisingly well, both in terms of the marginals...

Environmental hedging: A theory and method for reconciling reservoir operations for downstream ecology and water supply

Science.gov (United States)

Adams, L. E.; Lund, J. R.; Moyle, P. B.; Quiñones, R. M.; Herman, J. D.; O'Rear, T. A.

2017-09-01

Building reservoir release schedules to manage engineered river systems can involve costly trade-offs between storing and releasing water. As a result, the design of release schedules requires metrics that quantify the benefit and damages created by releases to the downstream ecosystem. Such metrics should support making operational decisions under uncertain hydrologic conditions, including drought and flood seasons. This study addresses this need and develops a reservoir operation rule structure and method to maximize downstream environmental benefit while meeting human water demands. The result is a general approach for hedging downstream environmental objectives. A multistage stochastic mixed-integer nonlinear program with Markov Chains, identifies optimal "environmental hedging," releases to maximize environmental benefits subject to probabilistic seasonal hydrologic conditions, current, past, and future environmental demand, human water supply needs, infrastructure limitations, population dynamics, drought storage protection, and the river's carrying capacity. Environmental hedging "hedges bets" for drought by reducing releases for fish, sometimes intentionally killing some fish early to reduce the likelihood of large fish kills and storage crises later. This approach is applied to Folsom reservoir in California to support survival of fall-run Chinook salmon in the lower American River for a range of carryover and initial storage cases. Benefit is measured in terms of fish survival; maintaining self-sustaining native fish populations is a significant indicator of ecosystem function. Environmental hedging meets human demand and outperforms other operating rules, including the current Folsom operating strategy, based on metrics of fish extirpation and water supply reliability.

Semi-nonparametric VaR forecasts for hedge funds during the recent crisis

Science.gov (United States)

Del Brio, Esther B.; Mora-Valencia, Andrés; Perote, Javier

2014-05-01

The need to provide accurate value-at-risk (VaR) forecasting measures has triggered an important literature in econophysics. Although these accurate VaR models and methodologies are particularly demanded for hedge fund managers, there exist few articles specifically devoted to implement new techniques in hedge fund returns VaR forecasting. This article advances in these issues by comparing the performance of risk measures based on parametric distributions (the normal, Student’s t and skewed-t), semi-nonparametric (SNP) methodologies based on Gram-Charlier (GC) series and the extreme value theory (EVT) approach. Our results show that normal-, Student’s t- and Skewed t- based methodologies fail to forecast hedge fund VaR, whilst SNP and EVT approaches accurately success on it. We extend these results to the multivariate framework by providing an explicit formula for the GC copula and its density that encompasses the Gaussian copula and accounts for non-linear dependences. We show that the VaR obtained by the meta GC accurately captures portfolio risk and outperforms regulatory VaR estimates obtained through the meta Gaussian and Student’s t distributions.

The Application of backward stochastic differential equation with stopping time in hedging American contingent claims

International Nuclear Information System (INIS)

Wang Bo; Song Ruili

2009-01-01

We consider a more general wealth process with a drift coefficient which is Lipschitz continuous and the portfolio process with convex constraint. We convert the problem of hedging American contingent claims into the problem of minimal solution of backward stochastic differential equation with stopping time. We adopt the penalization method for constructing the minimal solution of stochastic differential equations and obtain the upper hedging price of American contingent claims.

The Regional Special Operations Headquarters: Franchising the NATO Model as a Hedge in Lean Times

Science.gov (United States)

2012-04-01

1 AIR FORCE FELLOWS AIR UNIVERSITY THE REGIONAL SPECIAL OPERATIONS HEADQUARTERS: FRANCHISING THE NATO MODEL AS A HEDGE IN LEAN...Headquarters: Franchising The NATO Model As A Hedge In Lean Times 5a. CONTRACT NUMBER 5b. GRANT NUMBER 5c. PROGRAM ELEMENT NUMBER 6. AUTHOR(S) 5d...it is not copyrighted, but is the property of the United States government. 3 The Regional Special Operations Headquarters: Franchising the

Hedging and Boosting in English and Indonesian Research Articles

Science.gov (United States)

Sanjaya, I Nyoman Suka

2013-01-01

The present cross-cultural and cross-disciplinary study was aimed at exploring the similarities and differences between English and Indonesian research articles from the disciplines of applied linguistics and chemistry in terms of frequency of usage of hedges (e.g. "perhaps," "may") and boosters (e.g. "clearly,"…

Hedges Used in Business Emails: A Corpus Study on the Language Strategy of International Business Communication Online

Science.gov (United States)

Yue, Siwei; Wang, Xuefei

2014-01-01

Based on a corpus of 296 authentic business emails produced in computer-mediated business communication from 7 Chinese international trade enterprises, this paper addresses the language strategy applied in CMC (Computer-mediated Communication) by examining the use of hedges. With the emergence of internet, a wider range of hedges are applied…

Hedging endowment assurance products under interest rate and mortality risk

NARCIS (Netherlands)

Chen, A.; Mahayni, A.

2007-01-01

This paper analyzes how model misspecification associated with both interest rate and mortality risk influences hedging decisions of insurance companies. For this purpose, diverse risk management strategies which are riskminimizing when model risk is ignored come into consideration. The

Mean-Variance Hedging on Uncertain Time Horizon in a Market with a Jump

International Nuclear Information System (INIS)

Kharroubi, Idris; Lim, Thomas; Ngoupeyou, Armand

2013-01-01

In this work, we study the problem of mean-variance hedging with a random horizon T∧τ, where T is a deterministic constant and τ is a jump time of the underlying asset price process. We first formulate this problem as a stochastic control problem and relate it to a system of BSDEs with a jump. We then provide a verification theorem which gives the optimal strategy for the mean-variance hedging using the solution of the previous system of BSDEs. Finally, we prove that this system of BSDEs admits a solution via a decomposition approach coming from filtration enlargement theory

Mean-Variance Hedging on Uncertain Time Horizon in a Market with a Jump

Energy Technology Data Exchange (ETDEWEB)

Kharroubi, Idris, E-mail: kharroubi@ceremade.dauphine.fr [Université Paris Dauphine, CEREMADE, CNRS UMR 7534 (France); Lim, Thomas, E-mail: lim@ensiie.fr [Université d’Evry and ENSIIE, Laboratoire d’Analyse et Probabilités (France); Ngoupeyou, Armand, E-mail: armand.ngoupeyou@univ-paris-diderot.fr [Université Paris 7, Laboratoire de Probabilités et Modèles Aléatoires (France)

2013-12-15

In this work, we study the problem of mean-variance hedging with a random horizon T∧τ, where T is a deterministic constant and τ is a jump time of the underlying asset price process. We first formulate this problem as a stochastic control problem and relate it to a system of BSDEs with a jump. We then provide a verification theorem which gives the optimal strategy for the mean-variance hedging using the solution of the previous system of BSDEs. Finally, we prove that this system of BSDEs admits a solution via a decomposition approach coming from filtration enlargement theory.

Determinantes para utilização de Hedge Accouting: uma escolha contábil

OpenAIRE

Fernando Caio Galdi; Luiz Fernando Grama Guerra

2009-01-01

Este estudio investiga la sistemática de la elección contable, en el medio corporativo, referente a la contratación y a la calificación, o no, de operaciones con derivativos para apli - cación de la contabilidad de hedge ( Hedge Accounting ), conforme a las normas del Fasb ( SFAS 133 ). Dentro de ese abordaje, fueron utilizadas variables relacionadas a los incen - tivos/beneficios que las empresas pueden tener al clasificar una transacción dentro de los requisitos necesarios para aplicac...

The effects of liquidity and share restrictions on hedge fund performance in bull and bear markets

OpenAIRE

El-Alawa, Y. (Yasmin)

2016-01-01

Abstract Hedge funds are increasingly becoming a popular alternative investment vehicle. They are much more flexible and can freely choose from a pool of investment strategies due to their limited regulations. This gives them the flexibility to exploit opportunities in order to generate high returns at low risk. In order to have access to the freedom and flexibility to engage in different investment strategies, hedge funds ...

Are fund of hedge fund returns asymmetric?

OpenAIRE

Lynch, Margaret; Hutson, Elaine; Stevenson, Max

2004-01-01

We examine the return distributions of 332 funds of hedge funds and associated indices. Over half of the sample is significantly skewed according to the skewness statistic, and these are split 50/50 positive and negative. However, we argue that the skewness statistic can lead to erroneous inferences regarding the nature of the return distribution, because the test statistic is based on the normal distribution. Using a series of tests that make minimal assumptions about the shape of the ...

Numeraire Invariance and application to Option Pricing and Hedging

NARCIS (Netherlands)

Jamshidian, F.; Vanmaele, Michèle; Deelstra, Griselda; De Schepper, Ann; Dhaene, Jan; Reynaerts, Huguette; Schoutens, Wim; Van Goethem, Paul

2008-01-01

Numeraire invariance is a well-known technique in option pricing and hedging theory. It takes a convenient asset as the numeraire, as if it were the medium of exchange, and expresses all other asset and option prices in units of this numeraire. Since the price of the numeraire relative to itself is

Risk & Hedging Behavior: The Role and Determinants of Latent Heterogeneity

NARCIS (Netherlands)

Pennings, J.M.E.; Garcia, P.

2010-01-01

The notion of heterogeneous behavior is well grounded in economic theory. Recently it has been shown in a hedging context that the influence of risk attitudes and risk perceptions varies for different segments using a generalized mixture regression model. Here, using recently developed individual

Modeling seasonal water balance based on catchments' hedging strategy on evapotranspiration for climate seasonality

Science.gov (United States)

Wu, S.; Zhao, J.; Wang, H.

2017-12-01

This paper develops a seasonal water balance model based on the hypothesis that natural catchments utilize hedging strategy on evapotranspiration for climate seasonality. According to the monthly aridity index, one year is split into wet season and dry season. A seasonal water balance model is developed by analogy to a two-stage reservoir operation model, in which seasonal rainfall infiltration, evapotranspiration and saturation-excess runoff is corresponding to the inflow, release and surplus of the catchment system. Then the optimal hedging between wet season and dry season evapotranspiration is analytically derived with marginal benefit principle. Water budget data sets of 320 catchments in the United States covering the period from 1980 to 2010 are used to evaluate the performance of this model. The Nash-Sutcliffe Efficiency coefficient for evapotranspiration is higher than 0.5 in 84% of the study catchments; while the runoff is 87%. This paper validates catchments' hedging strategy on evapotranspiration for climate seasonality and shows its potential application for seasonal water balance, which is valuable for water resources planning and management.

Renewable energy as a natural gas price hedge: the case of wind

International Nuclear Information System (INIS)

Berry, David

2005-01-01

Electric utilities use natural gas to fuel many of their power plants, especially those plants which provide electricity at peak and intermediate hours. Natural gas prices are highly volatile and have shown a general upward trend. Wind energy can provide a cost-effective hedge against natural gas price volatility or price increases. This conclusion is based on analysis of the costs of marginal conventional generation given the historical probability distribution of natural gas prices, the cost of wind energy, wind integration costs, transmission costs for wind energy, the capacity value of wind, and environmental benefits of wind energy for a hypothetical utility in the Southwestern United States. The efficacy of using wind energy as a hedge at a particular utility will depend on site specific conditions

Hedge, redução de volatilidade dos lucros e o efeito sobre o imposto de renda das companhias abertas brasileiras

Directory of Open Access Journals (Sweden)

Valdir de Jesus Lameira

2005-08-01

Full Text Available Neste artigo, procurou-se identificar se as companhias abertas brasileiras teriam conseguido benefícios fiscais ao fazer hedge, fato esse derivado de uma expectativa de queda da sua carga tributária (Imposto de Renda a pagar. Com esse objetivo, inicialmente pesquisou-se em que situações have-ria possibilidade de geração desse benefício. Após essa revisão, foram estudadas situações em que a companhia tivesse grande volatilidade de seus resultados e os efeitos que o hedge traria no valor do I.R. a ser pago. Assim, pôde-se mensurar o efeito do resultado do hedge na carga tributária dessas companhias nesse período, simulando uma situação teórica para melhor evidenciarem-se os efeitos resultantes dessa prática. Posteriormente, utilizouse uma regressão linear múltipla para relacionar o valor do imposto de renda pago por companhias abertas brasileiras no ano de 2003 com os valores de hedge em 2002 e 2003 e os prejuízos acumulados em 2002. Os resultados são fundamentados em vasta bibliografia referente ao assunto.In this article we try to identify if Brazilian public companies hedge in response to tax incentives. With this goal, we first identify in which conditions the hedge causes reductions in tax obligations. Next, we study theoretical situations in which the companies' financial results change from great losses to great profits and we observe the impact in the companies' tax liabilities. Finally, we observe the results of a regression that tries to explain the tax obligations in 2003 in function of the hedge values in 2002, 2003 and the net operational losses in 2002. We conclude that it is possible to hedge in response to tax benefits in some special situations. Our results and conclusions are supported by other studies.

A Portrait of Hedge Fund Investors: Flows, Performance and Smart Money

NARCIS (Netherlands)

G. Baquero; M.J.C.M. Verbeek (Marno)

2005-01-01

textabstractWe explore the flow-performance interrelation by explicitly separating the investment and divestment decisions of hedge fund investors. The results show that different determinants and evaluation horizons underlie both decisions. While money inflows are sensitive to past long-run

Arbitrage and Hedging in a non probabilistic framework

OpenAIRE

Alvarez, Alexander; Ferrando, Sebastian; Olivares, Pablo

2011-01-01

The paper studies the concepts of hedging and arbitrage in a non probabilistic framework. It provides conditions for non probabilistic arbitrage based on the topological structure of the trajectory space and makes connections with the usual notion of arbitrage. Several examples illustrate the non probabilistic arbitrage as well perfect replication of options under continuous and discontinuous trajectories, the results can then be applied in probabilistic models path by path. The approach is r...

Hedge fund replication with a genetic algorithm: breeding a usable mousetrap

Czech Academy of Sciences Publication Activity Database

Payne, B. C.; Trešl, Jiří

2015-01-01

Roč. 15, č. 10 (2015), s. 1705-1726 ISSN 1469-7688 R&D Projects: GA ČR(CZ) GA14-31783S Institutional support: RVO:67985998 Keywords : hedge funds * replication * genetic algorithm Subject RIV: AH - Economics Impact factor: 0.794, year: 2015

The Case for Gold Revisited: A Safe Haven Or A Hedge ?

Directory of Open Access Journals (Sweden)

Sudi Apak

2012-09-01

Full Text Available This paper attempts to analyze the relation among gold prices and other macroeconomic and financial variables and addresses the question whether gold is a safe haven or a hedge for investors. The study investigates the relationship by using an econometric analysis for top gold exporter and importer countries, for a sample period of 11 years from 2000 to 2011. The results are twofold (i return of silver, USD returns and change in the volatility index influences gold returns positively whereas, Swiss Franc and Canadian Dollar returns influence gold returns negatively regardless of presence of the 2008 crisis. (ii In times of stress, our findings indicate that Swiss Franc, Norwegian Krone and Canadian Dollar function as haven whereas, on average, Swiss Franc, Canadian Dollar and 10 year US treasuries function as a hedge against gold but the results show no evidence for the US dollar.  

18 CFR 367.1760 - Account 176, Derivative instrument assets-Hedges.

Science.gov (United States)

2010-04-01

... change in the fair value of derivative instrument assets designated by the service company as cash flow... flow hedge it will record the change in the fair value of the derivative instrument in this account... must record the change in the fair value of the derivative instrument in this account with a concurrent...

Analysis of Nova 1 strategy formed by barrier options and its application in hedging against a price drop in oil market

Directory of Open Access Journals (Sweden)

Michal Šoltés

2015-12-01

Full Text Available This paper investigates hedging analysis against an underlying price drop by using the Nova 1 strategy formed by standard vanilla and barrier options. There are used European down and knock-in put options together with barrier call options. Derived income functions from the secured positions in analytical expressions are presented. Based on the theoretical results, the hedged portfolio is applied to SPDR SandP Oil and Gas Exploration and Production ETF. The proposed hedging variants are analysed and compared with the recommendation of the best possibilities for investors.

Institutional investor activism : Hedge funds and private equity, economics and regulation

NARCIS (Netherlands)

Mc Cahery, Joseph; Bratton, W.

2015-01-01

The increase in institutional ownership of recent decades has been accompanied by an enhanced role played by institutions in monitoring companies’ corporate governance behaviour. Activist hedge funds and private equity firms have achieved a degree of success in actively shaping the business plans of

Survival, Look-Ahead Bias and the Persistence in Hedge Fund Performance

NARCIS (Netherlands)

Baquero, G.; Ter Horst, J.R.; Verbeek, M.J.C.M.

2002-01-01

Hedge funds databases are typicall subject to high attrition rates because of fund termination and self-selection.Even when all funds are included up to their last available return, one cannot prevent that ex post conditioning biases affect standard estimates of performance persistence.In this paper

26 CFR 1.988-5 - Section 988(d) hedging transactions.

Science.gov (United States)

2010-04-01

... under the terms of the hedge to acquire the currency used to make payments under the qualifying debt.... (a) Integration of a nonfunctional currency debt instrument and a § 1.988-5(a) hedge—(1) In general... currency denominated debt instrument, such instrument shall be subject to the rules of § 1.988-2(b). (2...

Hedging electricity price volatility using nuclear power

International Nuclear Information System (INIS)

Mari, Carlo

2014-01-01

Highlights: • Nuclear power is an important asset to reduce the volatility of electricity prices. • Unpredictability of fossil fuels and carbon prices makes power prices very volatile. • The dynamics of fossil fuels and carbon prices is described by Brownian motions. • LCOE values, volatilities and correlations are obtained via Monte Carlo simulations. • Optimal portfolios of generating technologies are get using a mean–variance approach. - Abstract: The analysis presented in this paper aims to put in some evidence the role of nuclear power as hedging asset against the volatility of electricity prices. The unpredictability of natural gas and coal market prices as well as the uncertainty in environmental policies may affect power generating costs, thus enhancing volatility in electricity market prices. The nuclear option, allowing to generate electricity without carbon emissions, offers the possibility to reduce the volatility of electricity prices through optimal diversification of power generating technologies. This paper provides a methodological scheme to plan well diversified “portfolios” of generating capacity that minimize the electricity price risk induced by random movements of fossil fuels market prices and by unpredictable fluctuations of carbon credits prices. The analysis is developed within a stochastic environment in which the dynamics of fuel prices as well as the dynamics of carbon credits prices is assumed to evolve in time according to well defined Brownian processes. Starting from market data and using Monte Carlo techniques to simulate generating cost values, the hedging argument is developed by selecting optimal portfolio of power generating technologies using a mean–variance approach

Practical hedging and gas purchasing strategies for end-users

International Nuclear Information System (INIS)

Rosenzweig, J.

1995-01-01

Characteristics of the gas portfolio were described and its purpose was discussed in terms of diversification, risk reduction and flexibility. Tools to adjust the portfolio were discussed in terms of swaps and futures. Advantages and disadvantages of exchange and off-exchange traded instruments were outlined. Turning basis gas into a published indexed price, otherwise known as hedging, was explained. The market players ( banks, dealers, brokers) and their roles were described

Pseudo Control Hedging and its Application for Safe Flight Envelope Protection

NARCIS (Netherlands)

Lombaerts, T.J.J.; Looye, G.H.N.; Chu, Q.P.; Mulder, J.A.

2010-01-01

This paper describes how the previously developed concept of Pseudo Control Hedging (PCH) can be integrated in a Fault Tolerant Flight Controller (FTFC) as a safe flight envelope protection system of the first degree. This PCH algorithm adapts the reference model for the system output in case of

Pricing and hedging of arithmetic Asian options via the Edgeworth series expansion approach

Directory of Open Access Journals (Sweden)

Weiping Li

2016-03-01

Full Text Available In this paper, we derive a pricing formula for arithmetic Asian options by using the Edgeworth series expansion. Our pricing formula consists of a Black-Scholes-Merton type formula and a finite sum with the estimation of the remainder term. Moreover, we present explicitly a method to compute each term in our pricing formula. The hedging formulas (greek letters for the arithmetic Asian options are obtained as well. Our formulas for the long lasting question on pricing and hedging arithmetic Asian options are easy to implement with enough accuracy. Our numerical illustration shows that the arithmetic Asian options worths less than the European options under the standard Black-Scholes assumptions, verifies theoretically that the volatility of the arithmetic average is less than the one of the underlying assets, and also discovers an interesting phenomena that the arithmetic Asian option for large fixed strikes such as stocks has higher volatility (elasticity than the plain European option. However, the elasticity of the arithmetic Asian options for small fixed strikes as trading in currencies and commodity products is much less than the elasticity of the plain European option. These findings are consistent with the ones from the hedgings with respect to the time to expiration, the strike, the present underlying asset price, the interest rate and the volatility.

Making renewable energy competitive in India: Reducing financing costs via a government-sponsored hedging facility

International Nuclear Information System (INIS)

Farooquee, Arsalan Ali; Shrimali, Gireesh

2016-01-01

In India, a significant barrier to market-competitiveness of renewable energy is a shortage of attractive debt. Domestic debt has high cost, short tenors, and variable interest rates, adding 30% to the cost of renewable energy compared to renewable energy projects elsewhere. Foreign debt is as expensive as domestic debt because it requires costly market-based currency hedging solutions. We investigate a government-sponsored foreign exchange facility as an alternative to reducing hedging costs. Using the geometric Brownian motion (GBM) as a representative stochastic model of the INR–USD foreign exchange rate, we find that the expected cost of providing a currency hedge via this facility is 3.5 percentage points, 50% lower than market. This leads to an up to 9% reduction in the per unit cost of renewable energy. However, this requires the government to manage the risks related to unexpected currency movements appropriately. One option to manage these risks is via a capital buffer; for the facility to obtain India's sovereign rating, the capital buffer would need to be almost 30% of the underlying loan. Our findings have significant policy implications given that the Indian government can use this facility to make renewable energy more competitive and, therefore, hasten its deployment. - Highlights: • We analyze a government-sponsored foreign exchange facility in India. •We use geometric Brownian motion to represent the INR–USD exchange rate. •This facility can reduce the currency hedging costs by 50%. •This facility can reduce the levelized cost of renewable energy by 9%. •The capital buffer to reach India's sovereign rating is 30% of the original loan.

Descriptive Analysis on Flouting and Hedging of Conversational Maxims in the “Post Grad” Movie

Directory of Open Access Journals (Sweden)

Nastiti Rokhmania

2012-11-01

Full Text Available This research is focused on analyzing flouting and hedging of conversational maxim of utterances used by the main characters in “Post Grad” movie. Conversational maxims are the rules of cooperative principle categorized into four categories; Maxim of Quality, Maxim of Quantity, Maxim of Relevance, and Maxim of Manner. If these maxims are used in conversations, the conversations can go smoothly. However, people often break the maxims overtly (flouting maxim and sometimes break the maxims secretly (hedging maxims when they make a conversation. This research is conducted using descriptive qualitative method based on the theory known as Grice’s Maxims. The data are in form of utterances used by the characters in “Post Grad” movie. The data analysis reveals some finding covering the formulated research question. The maxims are flouted when the speaker breaks some conversational maxims when using the utterances in the form of rhetorical strategies, such as tautology, metaphor, hyperbole, irony, and rhetorical question. On the other hand, conversational maxims are also hedged when the information is not totally accurate or unclearly stated but seems informative, well-founded, and relevant.

Arbitrage hedging strategy and one more explanation of the volatility smile

OpenAIRE

Mikhail Martynov; Olga Rozanova

2011-01-01

We present an explicit hedging strategy, which enables to prove arbitrageness of market incorporating at least two assets depending on the same random factor. The implied Black-Scholes volatility, computed taking into account the form of the graph of the option price, related to our strategy, demonstrates the "skewness" inherent to the observational data.

Allelopathic Effect of Essential Oil of Sweet Bay (Laurus nobilis L. on Germination and Seedling Vigor of Velvetleaf (Abutilon theopharasti L. and Field Bindweed (Convolvulus arvensis L.

Directory of Open Access Journals (Sweden)

Bahram Mirshekari

2016-06-01

Full Text Available To study allelopatic effect of sweet bay essence concentrations (0, 100, 200, 300 and 400 ppm on germination and early establishment of velvetleaf and field bindweed an experiment was conducted at Islamic Azad University of Tabriz, Iran, during 2013. Results indicated that germination percentage of non-treated seeds was 73.3%, and that of treated seeds 64.7%. Plant height at 400 ppm concentration was shorter than other treatments. Mean leaf area per plant of weeds ranged from 13.5 cm2 in control up to 9.7 cm2 in 300 ppm and 400 ppm concertrations. Dry weight per weed plant of the seeds treated with 300 and 400 ppm concentrations was twice lower than of untreated seeds. Vigor index of seedling from seeds treated with 100 and 200 ppm essence and control were 1.5, 1.5 and 2.6 times higher than those treated with 300-400 ppm, respectively. Regression analysis showed that germination percentage, leaf area and dry weight per plant did have higher effect on seedling vigor index. It can be concluded that essential oil of sweet-bay may have potential in controlling weeds, especially in the higher concentrations. Therefor, it could be used in the synthesis of bioherbicides compounds to control weeds.

Testing Commodities as Safe Haven and Hedging Instrument on ASEAN's Five Stock Markets

Directory of Open Access Journals (Sweden)

Robiyanto Robiyanto

2017-08-01

Full Text Available This study attempts to analyze commodity market instruments such as gold, silver, platinum, palladium, and West Texas Intermediate (WTI crude oil’s potential as hedge and safe haven toward some stock markets in South East Asia such as in Indonesia, Singapore, Malaysia, Philippines, and Thailand. To analyze the data, GARCH (1,1 was applied. The research findings showed that gold, silver, platinum, palladium, and WTI could not play their role as hedging instrument for five South East Asian capital markets. WTI could act as a robust safe haven for most South East Asian capital markets. Gold could do the role as a robust safe haven in Singapore and Malaysia, whereas, platinum and silver consistently could be safe haven only for Singapore Stock Exchange. Palladium could only be safe haven for Philippines Stock Exchange.

Fuzzy linguistic hedges for the selection of manufacturing process for prosthetic sockets

Directory of Open Access Journals (Sweden)

Richa Pandey

2014-08-01

Full Text Available In this paper, a comparison is presented between two prime methods of producing prosthetic sockets by using the fuzzy linguistic hedges approach on the qualitative feedback of Indian prosthetic users. Recent trends indicate that the Indian manufacturers have tried to adopt the newer technologies like reverse engineering (RE approach to achieve the desired goals. However, the satisfaction of the user is of utmost importance for the unique and customized products for rehabilitation. In order to analyze the effectiveness of the manufacturing approaches, user case studies are taken, based on the linguistic feedbacks, and a comparative study is conducted. Thirteen users from four different manufacturing units are taken for study and sockets made by conventional as well as RE are experimented. Fuzzy membership functions are constructed using the linguistic hedges based on the user feedbacks. An analytical hierarchy process (AHP is applied to arrive at a decision to select the manufacturing process for user satisfaction and manufacturing excellence.

Turkish Accounting Standards, IAS - 39 "Financial Instruments: Recognition and Measurement" Under the Cash Flow Hedge Derivative Products Use: The Case of Forward

Directory of Open Access Journals (Sweden)

Emine ÇINA BAL

2013-06-01

Full Text Available Businesses face interest rate, exchange rate, liquidity, use derivative financial instruments to hedge against such risks. Forward transactions with derivative financial instruments, the non-organized markets, interest rates pre-determined future date, foreign currency contracts that contain delivery of goods as well as financial assets. Cash flow hedge that forms the subject of this study, a recognized asset or liability or a highly probable forecast transaction and the net profit or loss attributable to a particular risk of affecting the nature of a cash flow hedge to hedge changes in the process. Study the case of the application of foreign money has a tangible fixed asset purchases. Related to the purchase of tangible fixed assets at future foreign mercenaries were forward contracts to hedge the cash flow risk. Forward contracts, principal accounts on the balance sheet in accordance with IAS 39 Standard, derivative financial instruments are shown as fixed assets. The fair value of the contract during the contract period at the end of the period to show the valuation differences arising from the valuation of equity shown in the balance sheet. Net valuation differences arising from the contract are accounted for by two separate options. The first option, the net costs associated with the asset valuation difference. The second option is deducted from the amount of depreciation for the asset at the end of the period.

Mandatory Disclosure and Operational Risk: Evidence from Hedge Fund Registration

OpenAIRE

Stephen Brown; William Goetzmann; Bing Liang; Christopher Schwarz

2006-01-01

Mandatory disclosure is a regulatory tool intended to allow market participants to assess operational risk. We examine the value of disclosure through the controversial SEC requirement, since overturned, which required major hedge funds to register as investment advisors and file Form ADV disclosures. Leverage and ownership structures suggest that lenders and equity investors were already aware of operational risk. However, operational risk does not mediate flow-performance relationships. Inv...

The Buyers’ Perspective on Security Design: Hedge Funds and Convertible Bond Call Provisions

NARCIS (Netherlands)

B.D. Grundy (Bruce); P. Verwijmeren (Patrick)

2016-01-01

textabstractWe provide evidence that security design reflects the interplay of capital supplier and security issuer preferences. While call provisions have historically been the default option in convertible security design, only a minority of post-2005 issues are callable. Because hedge funds

Hedging Behavior in Small and Medium-sized Enterprises: The Role of Unobserved Heterogeneity

NARCIS (Netherlands)

Pennings, J.M.E.; Garcia, P.

2004-01-01

Abstract We investigate factors that drive derivative usage in small and medium-sized enterprises (SMEs). The influence of these factors on hedging behavior cannot a priori be assumed equal for all SMEs. To address this heterogeneity, a generalized mixture regression model is used which classifies

Bet hedging based cooperation can limit kin selection and form a basis for mutualism.

Science.gov (United States)

Uitdehaag, Joost C M

2011-07-07

Mutualism is a mechanism of cooperation in which partners that differ help each other. As such, mutualism opposes mechanisms of kin selection and tag-based selection (for example the green beard mechanism), which are based on giving exclusive help to partners that are related or carry the same tag. In contrast to kin selection, which is a basis for parochialism and intergroup warfare, mutualism can therefore be regarded as a mechanism that drives peaceful coexistence between different groups and individuals. Here the competition between mutualism and kin (tag) selection is studied. In a model where kin selection and tag-based selection are dominant, mutualism is promoted by introducing environmental fluctuations. These fluctuations cause reduction in reproductive success by the mechanism of variance discount. The best strategy to counter variance discount is to share with agents who experience the most anticorrelated fluctuations, a strategy called bet hedging. In this way, bet hedging stimulates cooperation with the most unrelated partners, which is a basis for mutualism. Analytic results and simulations reveal that, if this effect is large enough, mutualistic strategies can dominate kin selective strategies. In addition, mutants of these mutualistic strategies that experience fluctuations that are more anticorrelated to their partner, can outcompete wild type, which can lead to the evolution of specialization. In this way, the evolutionary success of mutualistic strategies can be explained by bet hedging-based cooperation. Copyright © 2011 Elsevier Ltd. All rights reserved.

Five-dimensional Monopole Equation with Hedge-Hog Ansatz and Abel's Differential Equation

OpenAIRE

Kihara, Hironobu

2008-01-01

We review the generalized monopole in the five-dimensional Euclidean space. A numerical solution with the Hedge-Hog ansatz is studied. The Bogomol'nyi equation becomes a second order autonomous non-linear differential equation. The equation can be translated into the Abel's differential equation of the second kind and is an algebraic differential equation.

The Effect of Shortfall as a Risk measure for Portfolios with Hedge Funds

NARCIS (Netherlands)

Lucas, A.; Siegmann, A.H.

2008-01-01

Current research suggests that the large downside risk in hedge fund returns disqualifies the variance as an appropriate risk measure. For example, one can easily construct portfolios with nonlinear pay-offs that have both a high Sharpe ratio and a high downside risk. This paper examines the

Market completeness. How options affect hedging and investments in the electricity sector

International Nuclear Information System (INIS)

Willems, Bert; Morbee, Joris

2010-01-01

The high volatility of electricity markets gives producers and retailers an incentive to hedge their exposure to electricity prices by buying and selling derivatives. This paper studies how welfare and investment incentives are affected when an increasing number of derivatives are introduced. It develops an equilibrium model of the electricity market with risk averse firms and a set of traded financial products, more specifically: a forward contract and an increasing number of options. We first show that aggregate welfare (the sum of individual firms' utility) increases with the number of derivatives offered, although most of the benefits are captured with one to three options. Secondly, power plant investments typically increase because additional derivatives enable better hedging of investments. However, the availability of derivatives sometimes leads to 'crowding-out' of physical investments because firms' limited risk-taking capabilities are being used to speculate on financial markets. Finally, we illustrate that players basing their investment decisions on risk-free probabilities inferred from market prices, may significantly overinvest when markets are not sufficiently complete. (author)

An abundant 'Candidatus Phytoplasma solani' tuf b strain is associated with grapevine, stinging nettle and Hyalesthes obsoletus.

Science.gov (United States)

Aryan, A; Brader, G; Mörtel, J; Pastar, M; Riedle-Bauer, M

2014-10-01

Bois noir (BN) associated with ' Candidatus Phytoplasma solani' (Stolbur) is regularly found in Austrian vine growing regions. Investigations between 2003 and 2008 indicated sporadic presence of the confirmed disease vector Hyalesthes obsoletus and frequent infections of bindweed and grapevine. Infections of nettles were rare. In contrast present investigations revealed a mass occurrence of H. obsoletus almost exclusively on stinging nettle. The high population densities of H. obsoletus on Urtica dioica were accompanied by frequent occurrence of ' Ca. P. solani' in nettles and planthoppers. Sequence analysis of the molecular markers secY, stamp, tuf and vmp1 of stolbur revealed a single genotype named CPsM4_At1 in stinging nettles and more than 64 and 90 % abundance in grapevine and H. obsoletus , respectively. Interestingly, this genotype showed tuf b type restriction pattern previously attributed to bindweed associated ' Ca. P. solani' strains, but a different sequence assigned as tuf b2 compared to reference tuf b strains. All other marker genes of CPsM4_At1 clustered with tuf a and nettle derived genotypes verifying distinct nettle phytoplasma genotypes. Transmission experiments with H. obsoletus and Anaceratagallia ribauti resulted in successful transmission of five different strains including the major genotype to Catharanthus roseus and in transmission of the major genotype to U. dioica . Altogether, five nettle and nine bindweed associated genotypes were described. Bindweed types were verified in 34 % of grapevine samples, in few positive Reptalus panzeri , rarely in bindweeds and occasionally in Catharanthus roseus infected by H. obsoletus or A. ribauti . ' Candidatus Phytoplasma convolvuli' (bindweed yellows) was ascertained in nettle and bindweed samples.

The Economics of Hedge Funds: Alpha, Fees, Leverage, and Valuation

OpenAIRE

Yingcong Lan; Neng Wang; Jinqiang Yang

2011-01-01

Hedge fund managers are compensated via management fees on the assets under management (AUM) and incentive fees indexed to the high-water mark (HWM). We study the effects of managerial skills (alpha) and compensation on dynamic leverage choices and the valuation of fees and investors' payoffs. Increasing the investment allocation to the alpha-generating strategy typically lowers the fund's risk-adjusted excess return due to frictions such as price pressure. When the manager is only paid via m...

Robustness of Quadratic Hedging Strategies in Finance via Backward Stochastic Differential Equations with Jumps

International Nuclear Information System (INIS)

Di Nunno, Giulia; Khedher, Asma; Vanmaele, Michèle

2015-01-01

We consider a backward stochastic differential equation with jumps (BSDEJ) which is driven by a Brownian motion and a Poisson random measure. We present two candidate-approximations to this BSDEJ and we prove that the solution of each candidate-approximation converges to the solution of the original BSDEJ in a space which we specify. We use this result to investigate in further detail the consequences of the choice of the model to (partial) hedging in incomplete markets in finance. As an application, we consider models in which the small variations in the price dynamics are modeled with a Poisson random measure with infinite activity and models in which these small variations are modeled with a Brownian motion or are cut off. Using the convergence results on BSDEJs, we show that quadratic hedging strategies are robust towards the approximation of the market prices and we derive an estimation of the model risk

Robustness of Quadratic Hedging Strategies in Finance via Backward Stochastic Differential Equations with Jumps

Energy Technology Data Exchange (ETDEWEB)

Di Nunno, Giulia, E-mail: giulian@math.uio.no [University of Oslo, Center of Mathematics for Applications (Norway); Khedher, Asma, E-mail: asma.khedher@tum.de [Technische Universität München, Chair of Mathematical Finance (Germany); Vanmaele, Michèle, E-mail: michele.vanmaele@ugent.be [Ghent University, Department of Applied Mathematics, Computer Science and Statistics (Belgium)

2015-12-15

We consider a backward stochastic differential equation with jumps (BSDEJ) which is driven by a Brownian motion and a Poisson random measure. We present two candidate-approximations to this BSDEJ and we prove that the solution of each candidate-approximation converges to the solution of the original BSDEJ in a space which we specify. We use this result to investigate in further detail the consequences of the choice of the model to (partial) hedging in incomplete markets in finance. As an application, we consider models in which the small variations in the price dynamics are modeled with a Poisson random measure with infinite activity and models in which these small variations are modeled with a Brownian motion or are cut off. Using the convergence results on BSDEJs, we show that quadratic hedging strategies are robust towards the approximation of the market prices and we derive an estimation of the model risk.

Scab severity in relation to hedge pruning pecan trees in the Southeastern USA

Science.gov (United States)

Scab is the most damaging disease of pecan in the Southeastern USA. Pecan trees are tall (up to 30+ m), and managing disease in the upper canopy is problematic. Hedge pruning trees to ~12 m is being explored to facilitate efficacy of ground-based fungicide sprays, but resulting vigorous shoot growth...

Oil Price Volatility, Economic Growth and the Hedging Role of Renewable Energy

OpenAIRE

Rentschler, Jun E.

2013-01-01

This paper investigates the adverse effects of oil price volatility on economic activity and the extent to which countries can hedge against such effects by using renewable energy. By considering the Realized Volatility of oil prices, rather than following the standard approach of considering oil price shocks in levels, the effects of factor price uncertainty on economic activity are analy...

Public lending to private hedge funds is inefficient, unstable, unconstitutional and unanimously disagreeable

Directory of Open Access Journals (Sweden)

Sankarshan Acharya

2016-06-01

Full Text Available Public funds include federally insured deposits held under the custody of private banks, central bank loans and taxpayer funds. The principal finding of this paper is that lending such public funds through a private banking system to private hedge funds allied with the banks is inefficient, unstable, fundamentally unfair (unconstitutional and unanimously disagreeable. This finding is akin to the unanimously agreeable safe central banking policy (Acharya, 1991-2016 which, in dynamic general equilibrium, (a eliminates federal guarantee of bank deposits, (b offers every business enterprise and household an option to keep in the central bank any part of its deposits it wants to be held absolutely safely, (c completely deregulates all private banks without any privilege to rob public or private wealth like too-big-to-fail or too-big-to-be-jailed status or the power of market making and clearing. Safe central banking is the only way to make private banks responsible to hold sufficient capital to attract uninsured private deposits like the trading houses currently do. The private banks will then have complete freedom to lend their uninsured deposits to private hedge funds. The Volker Rule (NYT, January 30, 2010, incorporated in the Dodd-Frank Act of 2010, is an infeasible and unworkable band-aid for the moral-hazard driven systemic robbery of wealth creators wrought by the government-ordained private banking custody of public funds. The established systemic moral-hazard problem can be efficiently and constitutionally resolved only through unanimously agreeable safe central banking. Current proposals on overhauling of Fannie and Freddie made by various pundits of systemic robbery amount to a gargantuan amount of public lending to private hedge funds and, hence, inefficient, unstable, unconstitutional and unanimously disagreeable.

Humanizing Finance by Hedging Property Values

Directory of Open Access Journals (Sweden)

Jaume Roig Hernando

2016-06-01

Full Text Available The recent financial crisis triggered the greatest recession since the 1930s and had a devastating impact on households’ wealth and on their capacity to reduce their indebtedness. In the aftermath, it became clear that there is significant room for improvement in property risk management. While there has been innovation in the management of corporate finance risk, real estate has lagged behind. Now is the time to expand the range of tools available for hedging households’ risks and, thus, to advance the democratization of finance. Property equity represents the major asset in households’ portfolios in developed and undeveloped countries. The present paper analyzes a set of potential innovations in real estate risk management, such as price level-adjusted mortgages, property derivatives, and home equity value insurance. Financial institutions, households, and governments should work together to improve the performance of the financial instruments available and, thus, to help mitigate the worst impacts of economic cycles.

[Life cycle of Gongylonema mucronatum Seurat, 1916, parasite of the African hedge-hog (author's transl)].

Science.gov (United States)

Quentin, J C; Seguignes, M

1979-01-01

The Gongylonematid Nematode parasite of the Tunisian hedge-hog has been identified as Gongylonema mucronatum Seurat, 1916. The infective larva has been obtained from Locusta migratoria as intermediate host. The larval characters of this Gongylonema link it to the species G. pulchrum.

Impact Of Foreign Currency Hedging On Firm Value Among Indian Corporates

OpenAIRE

Gupta, Amit

2016-01-01

Indian economy was opened for globalization in 1991 and Indian Rupee was deregulated in 1993 and subjected to market fluctuations. Indian Rupee was very volatile during the past decade due to global events like US subprime crisis (2007-2009), European sovereign debt crisis, Oil prices fluctuations and Fed monetary policy speculations to name few. This volatility has put pressure on Indian firms to manage their foreign currency exposure. Hedging and use of Foreign Currency Derivatives (FCD) is...

Martingale approach in pricing and hedging European options under regime-switching

OpenAIRE

Grigori N. Milstein; Vladimir Spokoiny

2011-01-01

The paper focuses on the problem of pricing and hedging a European contingent claim for an incomplete market model, in which evolution of price processes for a saving account and stocks depends on an observable Markov chain. The pricing function is evaluated using the martingale approach. The equivalent martingale measure is introduced in a way that the Markov chain remains the historical one, and the pricing function satisfies the Cauchy problem for a system of linear parabolic equations. It...

Risk Neutral Option Pricing With Neither Dynamic Hedging nor Complete Markets

OpenAIRE

Nassim N. Taleb

2014-01-01

Proof that under simple assumptions, such as constraints of Put-Call Parity, the probability measure for the valuation of a European option has the mean derived from the forward price which can, but does not have to be the risk-neutral one, under any general probability distribution, bypassing the Black-Scholes-Merton dynamic hedging argument, and without the requirement of complete markets and other strong assumptions. We confirm that the heuristics used by traders for centuries are both mor...

On Exponential Hedging and Related Quadratic Backward Stochastic Differential Equations

International Nuclear Information System (INIS)

Sekine, Jun

2006-01-01

The dual optimization problem for the exponential hedging problem is addressed with a cone constraint. Without boundedness conditions on the terminal payoff and the drift of the Ito-type controlled process, the backward stochastic differential equation, which has a quadratic growth term in the drift, is derived as a necessary and sufficient condition for optimality via a variational method and dynamic programming. Further, solvable situations are given, in which the value and the optimizer are expressed in closed forms with the help of the Clark-Haussmann-Ocone formula

Quantifying the value that energy efficiency and renewable energy provide as a hedge against volatile natural gas prices

Energy Technology Data Exchange (ETDEWEB)

Bolinger, Mark; Wiser, Ryan; Bachrach, Devra; Golove, William

2002-05-15

Advocates of energy efficiency and renewable energy have long argued that such technologies can mitigate fuel price risk within a resource portfolio. Such arguments--made with renewed vigor in the wake of unprecedented natural gas price volatility during the winter of 2000/2001--have mostly been qualitative in nature, however, with few attempts to actually quantify the price stability benefit that these sources provide. In evaluating this benefit, it is important to recognize that alternative price hedging instruments are available--in particular, gas-based financial derivatives (futures and swaps) and physical, fixed-price gas contracts. Whether energy efficiency and renewable energy can provide price stability at lower cost than these alternative means is therefore a key question for resource acquisition planners. In this paper we evaluate the cost of hedging gas price risk through financial hedging instruments. To do this, we compare the price of a 10-year natural gas swap (i.e., what it costs to lock in prices over the next 10 years) to a 10-year natural gas price forecast (i.e., what the market is expecting spot natural gas prices to be over the next 10 years). We find that over the past two years natural gas users have had to pay a premium as high as $0.76/mmBtu (0.53/242/kWh at an aggressive 7,000 Btu/kWh heat rate) over expected spot prices to lock in natural gas prices for the next 10 years. This incremental cost to hedge gas price risk exposure is potentially large enough - particularly if incorporated by policymakers and regulators into decision-making practices - to tip the scales away from new investments in variable-price, natural gas-fired generation and in favor of fixed-price investments in energy efficiency and renewable energy.

Not putting all their eggs in one basket: bet-hedging despite extraordinary annual reproductive output of desert tortoises

Science.gov (United States)

Lovich, Jeffrey E.; Ennen, Joshua R.; Yackulic, Charles B.; Meyer-Wilkins, Kathie; Agha, Mickey; Loughran, Caleb L.; Bjurlin, Curtis; Austin, Meaghan; Madrak, Sheila V.

2015-01-01

Bet-hedging theory makes the counter-intuitive prediction that, if juvenile survival is low and unpredictable, organisms should consistently reduce short-term reproductive output to minimize the risk of reproductive failure in the long-term. We investigated the long-term reproductive output of an Agassiz's desert tortoise (Gopherus agassizii) population and conformance to a bet-hedging strategy of reproduction in an unpredictable but comparatively productive environment. Most females reproduced every year, even during periods of low precipitation and poor germination of food plants, and the mean percentage of reproducing females did not differ significantly on an annual basis. Although mean annual egg production (clutch size × clutch frequency) differed significantly among years, mean clutch size and mean clutch frequency remained relatively constant. During an El Niño year, mean annual egg production and mean annual clutch frequency were the highest ever reported for this species. Annual egg production was positively influenced by maternal body size but clutch size and clutch frequency were not. Our long-term results confirm earlier conclusions based on short-term research that desert tortoises have a bet-hedging strategy of producing small clutches almost every year. The risk of long-term reproductive failure is minimized in unpredictable environments, both through time by annually producing multiple small clutches over a long reproductive lifespan, even in years of low resource availability, and through space by depositing multiple annual clutches in different locations. The extraordinary annual reproductive output of this population appears to be the result of a typically high but unpredictable biomass of annual food plants at the site relative to tortoise habitat in dryer regions. Under the comparatively productive but unpredictable conditions, tortoises conform to predictions of a bet-hedging strategy of reproduction with relatively small but consistent

Quantifying the value that energy efficiency and renewable energy provide as a hedge against volatile natural gas prices

International Nuclear Information System (INIS)

Bolinger, Mark; Wiser, Ryan; Bachrach, Devra; Golove, William

2002-01-01

Advocates of energy efficiency and renewable energy have long argued that such technologies can mitigate fuel price risk within a resource portfolio. Such arguments-made with renewed vigor in the wake of unprecedented natural gas price volatility during the winter of 2000/2001-have mostly been qualitative in nature, however, with few attempts to actually quantify the price stability benefit that these sources provide. In evaluating this benefit, it is important to recognize that alternative price hedging instruments are available-in particular, gas-based financial derivatives (futures and swaps) and physical, fixed-price gas contracts. Whether energy efficiency and renewable energy can provide price stability at lower cost than these alternative means is therefore a key question for resource acquisition planners. In this paper we evaluate the cost of hedging gas price risk through financial hedging instruments. To do this, we compare the price of a 10-year natural gas swap (i.e., what it costs to lock in prices over the next 10 years) to a 10-year natural gas price forecast (i.e., what the market is expecting spot natural gas prices to be over the next 10 years). We find that over the past two years natural gas users have had to pay a premium as high as$0.76/mmBtu (0.53/242/kWh at an aggressive 7,000 Btu/kWh heat rate) over expected spot prices to lock in natural gas prices for the next 10 years. This incremental cost to hedge gas price risk exposure is potentially large enough - particularly if incorporated by policymakers and regulators into decision-making practices - to tip the scales away from new investments in variable-price, natural gas-fired generation and in favor of fixed-price investments in energy efficiency and renewable energy

Bet-hedging response to environmental variability, an intraspecific comparison.

Science.gov (United States)

Nevoux, Marie; Forcada, Jaume; Barbraud, Christophe; Croxall, John; Weimerskirchi, Henri

2010-08-01

A major challenge in ecology is to understand the impact of increased environmental variability on populations and ecosystems. To maximize their fitness in a variable environment, life history theory states that individuals should favor a bet-hedging strategy, involving a reduction of annual breeding performance and an increase in adult survival so that reproduction can be attempted over more years. As a result, evolution toward longer life span is expected to reduce the deleterious effects of extra variability on population growth, and consequently on the trait contributing the most to it (e.g., adult survival in long-lived species). To investigate this, we compared the life histories of two Black-browed Albatross (Thalassarche melanophrys) populations breeding at South Georgia (Atlantic Ocean) and Kerguelen (Indian Ocean), the former in an environment nearly three times more variable climatically (e.g., in sea surface temperature) than the latter. As predicted, individuals from South Georgia (in the more variable environment) showed significantly higher annual adult survival (0.959, SE = 0.003) but lower annual reproductive success (0.285 chick per pair, SE = 0.039) than birds from Kerguelen (survival = 0.925, SE = 0.004; breeding success = 0.694, SE = 0.027). In both populations, climatic conditions affected the breeding success and the survival of inexperienced breeders, whereas the survival of experienced breeders was unaffected. The strength of the climatic impact on survival of inexperienced breeders was very similar between the two populations, but the effect on breeding success was positively related to environmental variability. These results provide rare and compelling evidence to support bet-hedging underlying changes in life history traits as an adaptive response to environmental variability.

Coping With a Rising Power: Vietnam’s Hedging Strategy Toward China

Science.gov (United States)

2018-03-01

bandwagoning, or neutrality.”14 Roy thinks hedging may or may not involve balancing, as small states seek to maintain more than one strategic option...competitive Sino-US relations, Southeast Asian states have found substantial economic and diplomatic benefits “without over- betting on any options that...navigate between the balancing and bandwagoning spectrum, while maintaining its positive relations with great powers “without over- betting on any

Myopic or Dynamic Liquidity Management? : A Study of Hedge Funds around the 2008 Financial Crisis

NARCIS (Netherlands)

Driessen, Joost; Xing, R.

2017-01-01

In this paper, we show that hedge funds repurchased a large amount of liquid stocks and continued to sell illiquid stocks as the 2008 financial crisis mitigated. It complements existing empirical evidence that institutional investors sold more liquid than illiquid assets during the crisis period.

Optimal Hedge Tracking Portfolios in a Limit Order Book

DEFF Research Database (Denmark)

Ellersgaard, Simon; Tegner, Martin

2017-01-01

-optimizing option seller, who hedges his position using a combination of limit and market orders, while facing certain constraints as to how far he can deviate from a targeted (Bachelierian) delta strategy. By translating the control problem into a three-dimensional Hamilton–Jacobi–Bellman quasi......-variational inequality (HJB QVI) and solving numerically, we are able to deduce optimal limit order quotes alongside the regions surrounding the targeted delta surface in which the option seller must place limit orders vis-à-vis the more aggressive market orders. Our scheme is shown to be monotone, stable......, and consistent and thence, modulo a comparison principle, convergent in the viscosity sense....

Pricing and Hedging Quanto Options in Energy Markets

DEFF Research Database (Denmark)

Benth, Fred Espen; Lange, Nina; Myklebust, Tor Åge

approach we derive a closed form option pricing formula for energy quanto options, under the assumption that the underlying assets are log-normally distributed. Our approach encompasses several interesting cases, such as geometric Brownian motions and multifactor spot models. We also derive delta and gamma......In energy markets, the use of quanto options have increased significantly in the recent years. The payoff from such options are typically written on an underlying energy index and a measure of temperature and are suited for managing the joint price and volume risk in energy markets. Using an HJM...... expressions for hedging. Furthermore, we illustrate the use of our model by an empirical pricing exercise using NYMEX traded natural gas futures and CME traded Heating Degree Days futures for New York....

The Impact of Portfolio Disclosure on Hedge Fund Performance, Fees and Flows

OpenAIRE

Zhen Shi

2011-01-01

This study investigates the impact of portfolio disclosure on hedge fund performance. Using a regression discontinuity design, I investigate the effect of the disclosure requirements that take effect when an investment company's assets exceed $100 million; when that occurs, a fund is required by the U.S. Securities and Exchange Commission to submit form 13F disclosing its portfolio holdings. Consistent with the argument that portfolio disclosure reveals 'trade secrets' and also raises front r...

Risks in global natural gas markets: Investment, hedging and trade

International Nuclear Information System (INIS)

Egging, Ruud; Holz, Franziska

2016-01-01

Recent supply security concerns in Europe have revived interest into the natural gas market. We investigate infrastructure investment and trade in an imperfect market structure for various possible risks for both supply and demand. We focus on three possible scenarios in a stochastic global gas market model: (i) transit of Russian gas via Ukraine that may be disrupted from 2020 on; (ii) natural gas intensity of electricity generation in OECD countries that may lead to higher or lower natural gas demand after 2025; and (iii) availability of shale gas around the globe after 2030. We illustrate how the timing of investments is affected by inter-temporal hedging behavior of market agents, such as when LNG capacity provides ex-ante flexibility or an ex-post fallback option if domestic or nearby pipeline supply sources are low. Moreover, we find that investment in LNG capacities is more determined by demand side pull – due to higher needs in electric power generation – than by supply side push, e.g. higher shale gas supplies needing an outlet. We focus on Europe, North America, and China that are the world's most important gas consuming and supplying regions. - Highlights: •We use the stochastic variant of the multi-period Global Gas Model. •We investigate the effects of uncertainty in Russian exports, demand, and shale gas. •We find that LNG is preferred as hedging option in anticipation of uncertain events. •Pipelines may be chosen as recourse decision after uncertain events realized. •China will dominate the global natural gas market regardless the scenario.

The Effect of Founder Family Influence on Hedging and Speculation

DEFF Research Database (Denmark)

Aabo, Tom; Kuhn, Jochen; Zanotti, Giovanna

We investigate the effect of founder family influence in the form of managers, board of directors, and/or ownership on hedging and speculation in medium-sized, manufacturing firms in Denmark. On a crude measure of use / non-use of derivatives we find only a weak indication of differences between...... founder family firms and other firms in relation to their management of foreign exchange rate, interest rate, and commodity price exposures. Digging deeper into a subsample of users of foreign exchange derivatives and debt denominated in foreign currency, we find that founder family firms not only tend...

Sellers' hedging incentives at EPA's emission trading auction

International Nuclear Information System (INIS)

Dijkstra, B.R.; Haan, M

1999-01-01

Cason (1993) argued that the auction the EPA (Environmental Protection Agency in the USA) used in order to start the market for sulfur allowances, is not efficient. The set-up of the auction gives both buyers and sellers an incentive to understate their valuation of an allowance. In this paper, we show that the sellers' incentives are even more perverse than Cason suggested. In particular, we show that sellers have an incentive to set their ask price equal to zero, while simultaneously hedging their bets by submitting a positive bid. It is not possible to derive the Nash equilibrium for this set-up. If such an equilibrium exists, sellers either set only a positive ask price, or an ask price equal to zero, and a positive bid as well. 14 refs

Pricing and Hedging Quanto Options in Energy Markets

DEFF Research Database (Denmark)

Benth, Fred Espen; Lange, Nina; Myklebust, Tor Åge

2015-01-01

–Jarrow–Morton approach, we derive a closed-form option pricing formula for energy quanto options under the assumption that the underlying assets are lognormally distributed. Our approach encompasses several interesting cases, such as geometric Brownian motions and multifactor spot models. We also derive Delta and Gamma......In energy markets, the use of quanto options has increased significantly in recent years. The payoff from such options are typically written on an underlying energy index and a measure of temperature. They are suited to managing the joint price and volume risk in energy markets. Using a Heath...... expressions for hedging. Further, we illustrate the use of our model by an empirical pricing exercise using NewYork Mercantile Exchange-traded natural gas futures and Chicago Mercantile Exchange-traded heating degree days futures for NewYork....

The Dirichlet Portfolio Model: Uncovering the Hidden Composition of Hedge Fund Investments

OpenAIRE

Korsos, Laszlo F.

2013-01-01

Hedge funds have long been viewed as a veritable "black box" of investing since outsiders may never view the exact composition of portfolio holdings. Therefore, the ability to estimate an informative set of asset weights is highly desirable for analysis. We present a compositional state space model for estimation of an investment portfolio's unobserved asset allocation weightings on a set of candidate assets when the only observed information is the time series of portfolio returns and the ca...

The role of non-genetic inheritance in evolutionary rescue: epigenetic buffering, heritable bet hedging and epigenetic traps.

Science.gov (United States)

O'Dea, Rose E; Noble, Daniel W A; Johnson, Sheri L; Hesselson, Daniel; Nakagawa, Shinichi

2016-01-01

Rapid environmental change is predicted to compromise population survival, and the resulting strong selective pressure can erode genetic variation, making evolutionary rescue unlikely. Non-genetic inheritance may provide a solution to this problem and help explain the current lack of fit between purely genetic evolutionary models and empirical data. We hypothesize that epigenetic modifications can facilitate evolutionary rescue through 'epigenetic buffering'. By facilitating the inheritance of novel phenotypic variants that are generated by environmental change-a strategy we call 'heritable bet hedging'-epigenetic modifications could maintain and increase the evolutionary potential of a population. This process may facilitate genetic adaptation by preserving existing genetic variation, releasing cryptic genetic variation and/or facilitating mutations in functional loci. Although we show that examples of non-genetic inheritance are often maladaptive in the short term, accounting for phenotypic variance and non-adaptive plasticity may reveal important evolutionary implications over longer time scales. We also discuss the possibility that maladaptive epigenetic responses may be due to 'epigenetic traps', whereby evolutionarily novel factors (e.g. endocrine disruptors) hack into the existing epigenetic machinery. We stress that more ecologically relevant work on transgenerational epigenetic inheritance is required. Researchers conducting studies on transgenerational environmental effects should report measures of phenotypic variance, so that the possibility of both bet hedging and heritable bet hedging can be assessed. Future empirical and theoretical work is required to assess the relative importance of genetic and epigenetic variation, and their interaction, for evolutionary rescue.

Using electricity options to hedge against financial risks of power producers

DEFF Research Database (Denmark)

Pineda Morente, Salvador; Conejo, Antonio J.

2013-01-01

or unexpected unit failures faced by power producers. A multi-stage stochastic model is described in this tutorial paper to determine the optimal forward and option contracting decisions for a risk-averse power producer. The key features of electricity options to reduce both price and availability risks......As a consequence of competition in electricity markets, a wide variety of financial derivatives have emerged to allow market agents to hedge against risks. Electricity options and forward contracts constitute adequate instruments to manage the financial risks pertaining to price volatility...

Integrated Strategic Planning of Global Production Networks and Financial Hedging under Uncertain Demands and Exchange Rates

Directory of Open Access Journals (Sweden)

Achim Koberstein

2013-11-01

Full Text Available In this paper, we present a multi-stage stochastic programming model that integrates financial hedging decisions into the planning of strategic production networks under uncertain exchange rates and product demands. This model considers the expenses of production plants and the revenues of markets in different currency areas. Financial portfolio planning decisions for two types of financial instruments, forward contracts and options, are represented explicitly by multi-period decision variables and a multi-stage scenario tree. Using an illustrative example, we analyze the impact of exchange-rate and demand volatility, the level of investment expenses and interest rate spreads on capacity location and dimensioning decisions. In particular, we show that, in the illustrative example, the exchange-rate uncertainty cannot be completely eliminated by financial hedging in the presence of demand uncertainty. In this situation, we find that the integrated model can result in better strategic planning decisions for a risk-averse decision maker compared to traditional modeling approaches.

A administração do lucro contábil e os critérios para determinação da eficácia do hedge accounting: utilização da correlação simples dentro do arcabouço do sfas nº 133

Directory of Open Access Journals (Sweden)

Alexsandro Broedel Lopes

2003-04-01

Full Text Available O hedge accounting constitui inovação relevante introduzida pelo SFAS 133. Dentro desse critério, operações designadas como hedge deverão ter seus resultados diferidos para o momento no qual os itens sendo protegidos forem reconhecidos. Problema central nessa contabilização é a determinação do quê constitui uma operação de hedge. Os órgãos reguladores analisados neste trabalho apresentam critérios ad hoc para a determinação da eficácia das operações de hedge. Esses critérios não possuem propriedades estatísticas de previsão do comportamento dos ativos no futuro, condição necessária para o sucesso do hedge. Esse tipo de qualificação de hedge introduz enorme subjetividade no processo de reconhecimento contábil, fornecendo ampla margem para manipulação dos resultados. Este trabalho analisa e critica a opção adotada pelo FASB e outros órgãos reguladores e oferece sugestões.The hedge accounting mechanism is a recent innovation introduced by SFAS 133. According to this method, transactions designated as hedge should have their results deferred to a future period when the hedged items are recognised. hedge characterisation is a central problem in this subject. Regulatory bodies studied in this work use ad hoc criteria to determine hedge effectiveness. Those criteria are not statistically significant in terms of forecasting the asset's behaviour, a necessary condition for a successful hedge. This sort of hedge characterisation introduces more subjectivity into accounting recognition, allowing for manipulation. This work criticises the option adopted by FASB and other regulatory bodies.

Gold as an Infl ation Hedge in a Time-Varying Coefficient Framework

OpenAIRE

Beckmann, Joscha; Czudaj, Robert

2012-01-01

This study analyzes the question whether gold provides the ability of hedging against inflation from a new perspective. Using data for four major economies, namely the USA, the UK, the Euro Area, and Japan, we allow for nonlinearity and discriminate between long-run and time-varying short-run dynamics. Thus, we conduct a Markov-switching vector error correction model (MS-VECM) approach for a sample period ranging from January 1970 to December 2011. Our main findings are threefold: First, we s...

Temporal variability and cooperative breeding: testing the bet-hedging hypothesis in the acorn woodpecker.

Science.gov (United States)

Koenig, Walter D; Walters, Eric L

2015-10-07

Cooperative breeding is generally considered an adaptation to ecological constraints on dispersal and independent breeding, usually due to limited breeding opportunities. Although benefits of cooperative breeding are typically thought of in terms of increased mean reproductive success, it has recently been proposed that this phenomenon may be a bet-hedging strategy that reduces variance in reproductive success (fecundity variance) in populations living in highly variable environments. We tested this hypothesis using long-term data on the polygynandrous acorn woodpecker (Melanerpes formicivorus). In general, fecundity variance decreased with increasing sociality, at least when controlling for annual variation in ecological conditions. Nonetheless, decreased fecundity variance was insufficient to compensate for reduced per capita reproductive success of larger, more social groups, which typically suffered lower estimated mean fitness. We did, however, find evidence that sociality in the form of larger group size resulted in increased fitness in years following a small acorn crop due to reduced fecundity variance. Bet-hedging, although not the factor driving sociality in general, may play a role in driving acorn woodpecker group living when acorns are scarce and ecological conditions are poor. © 2015 The Author(s).

Hedging LDC price risk in the futures market

International Nuclear Information System (INIS)

Trace, J.W.

1990-01-01

During its first five months the natural gas futures market has seen steady growth and increasing participation by various industry players, particularly producers, marketers, and brokers. Not much has been heard, however, about participation by the principal retailers of the gas industry, the local distribution companies (LDCs). Undoubtedly, various LDCs are now in the process of determining whether or not the gas futures market can serve any useful business purpose in their operations. In examining this question LDCs should keep in mind that the futures market should serve the same purpose for them as it does for any other business engaged in the actual buying and selling of price-volatile commodities - mitigation of price risk. This article looks at the risks of the market, gives examples of investments to hedge risks and looks at the overall performance of the market

The Buyers’ Perspective on Security Design: Hedge Funds and Convertible Bond Call Provisions

OpenAIRE

Grundy, Bruce; Verwijmeren, Patrick

2016-01-01

textabstractWe provide evidence that security design reflects the interplay of capital supplier and security issuer preferences. While call provisions have historically been the default option in convertible security design, only a minority of post-2005 issues are callable. Because hedge funds dominate the market for new convertibles today and because convertible arbitrage is less risky without callability, the recent diminution in the frequency of call provisions in new convertible bond issu...

The buyers’ perspective on security design: Hedge funds and convertible bond call provisions

OpenAIRE

Grundy, Bruce D.; Verwijmeren, Patrick

2018-01-01

We provide evidence that security design reflects the interplay of capital supplier and security issuer preferences. While call provisions have historically been the default option in convertible security design, only a minority of post-2005 issues are callable. Because hedge funds dominate the market for new convertibles today and because convertible arbitrage is less risky without callability, the recent diminution in the frequency of call provisions in new convertible bond issues illustrat...

Longevity Risk and Natural Hedge Potential in Portfolios Of Life Insurance Products : The Effect of Investment Risk

NARCIS (Netherlands)

Stevens, R.S.P.; De Waegenaere, A.M.B.; Melenberg, B.

2011-01-01

Payments of life insurance products depend on the uncertain future evolution of survival probabilities. This uncertainty is referred to as longevity risk. Existing literature shows that the effect of longevity risk on single life annuities can be substantial, and that there exists a (natural) hedge

Weather derivatives or how an energy company can hedge its weather risks

International Nuclear Information System (INIS)

Tahghighi, A.; Carpentier, Ph.

2000-01-01

This paper gives a detailed overview of weather derivatives and explains where this new class of financial products falls. The emergence of weather derivatives came about as a response to a need in the energy sector to hedge this sector's weather risks. This article focuses on the nature of these financial contracts, what they include and how they are priced. This article concludes by stating that energy companies in Europe can no longer afford to remain exposed to weather risks in an increasingly privatized and competitive market

Derivatives Usage by Non-Financial Firms in Thailand; implications on the hedging strategy

OpenAIRE

Chawla, Veerathep

2007-01-01

This dissertation is the result of the research carried out to investigate the derivatives usage in 65 non-financial companies across 8 specified industries in Thailand. The use of derivatives in Thailand is growing rapidly every year, our survey shows 75% of firms using derivatives in their hedging strategy. There is no significance in the use between Thai and Foreign companies in Thailand, while smaller firms do not use derivatives as much as larger firms, especially large listed companies....

(IAM Series No 005) Are “Market Neutral” Hedge Funds Really Market Neutral?

OpenAIRE

Andrew Patton

2004-01-01

One can consider the concept of market neutrality for hedge funds as having breadth and depth: breadth reflects the number of market risks to which a fund is neutral, while depth reflects the completeness of the neutrality of the fund to market risks. We focus on market neutrality depth, and propose five different neutrality concepts. Mean neutrality nests the standard correlation-based definition of neutrality. Variance neutrality, Value-at-Risk neutrality and tail neutrality all relate to t...

Hedging Price Risks of Farmers by Commodity Boards: A Simulation Applied to the Indian Natural Rubber Market

NARCIS (Netherlands)

Zant, W.

2001-01-01

This paper investigates a hypothetical hedging scheme in a domestic commodity market under which a commodity board offers a forward contract to domestic producers and local traders and covers its commitments on an international futures exchange. It is aimed to quantify welfare gains to agents in the

Bayesian Nonparametric Measurement of Factor Betas and Clustering with Application to Hedge Fund Returns

Directory of Open Access Journals (Sweden)

Urbi Garay

2016-03-01

Full Text Available We define a dynamic and self-adjusting mixture of Gaussian Graphical Models to cluster financial returns, and provide a new method for extraction of nonparametric estimates of dynamic alphas (excess return and betas (to a choice set of explanatory factors in a multivariate setting. This approach, as well as the outputs, has a dynamic, nonstationary and nonparametric form, which circumvents the problem of model risk and parametric assumptions that the Kalman filter and other widely used approaches rely on. The by-product of clusters, used for shrinkage and information borrowing, can be of use to determine relationships around specific events. This approach exhibits a smaller Root Mean Squared Error than traditionally used benchmarks in financial settings, which we illustrate through simulation. As an illustration, we use hedge fund index data, and find that our estimated alphas are, on average, 0.13% per month higher (1.6% per year than alphas estimated through Ordinary Least Squares. The approach exhibits fast adaptation to abrupt changes in the parameters, as seen in our estimated alphas and betas, which exhibit high volatility, especially in periods which can be identified as times of stressful market events, a reflection of the dynamic positioning of hedge fund portfolio managers.

Gold as an Infl ation Hedge in a Time-Varying Coeffi cient Framework

OpenAIRE

Joscha Beckmann; Robert Czudaj

2012-01-01

This study analyzes the question whether gold provides the ability of hedging against inflation from a new perspective. Using data for four major economies, namely the USA, the UK, the Euro Area, and Japan, we allow for nonlinearity and discriminate between long-run and time-varying short-run dynamics. Thus, we conduct a Markov-switching vector error correction model (MS-VECM) approach for a sample period ranging from January 1970 to December 2011. Our main findings are threefold: First, we s...

Hedge Accounting in the Brazilian Stock Market: Effects on the Quality of Accounting Information, Disclosure, and Information Asymmetry

Directory of Open Access Journals (Sweden)

Silas Adolfo Potin

2016-08-01

Full Text Available ABSTRACT This paper investigates, in the Brazilian stock market, the effect of hedge accounting on the quality of financial information, on the disclosure of derivative financial instruments, and on the information asymmetry. To measure the quality of accounting information, relevance metrics of accounting information and book earnings informativeness were used. For executing this research, a general sample was obtained through Brazilian companies, non-financial, listed on the Brazilian Securities, Commodities, and Futures Exchange (BM&FBOVESPA, comprising the 150 companies with highest market value on 01/01/2014. Through the general sample, samples were compiled for applying the econometric models of value relevance, informativeness, disclosure, and information asymmetry. The sample for relevance had 758 companies-years observations within the period from 2008 to 2013; the sample for informativeness had 701 companies-years observations with the period from 2008 to 2013; the sample for disclosure had 100 companies-years observations, within the period from 2011 to 2012; the sample for information asymmetry had 100 companies-years observations, also related to the period from 2011 to 2012. In addition to the econometric models, the propensity score matching method was applied to the analyses of the hedge accounting effect on disclosure and information asymmetry. The evidence found for the influence of hedge accounting indicates a relation: (i positive and significant concerning accounting information relevance and disclosure of derivatives; (ii negative and significant for book earnings informativeness. Regarding information asymmetry, although the coefficients showed up as expected, they were not statistically significant.

Using financial derivatives to hedge against currency risk : British large and medium-sized firms

OpenAIRE

Nguyen, My

2012-01-01

Nowadays, as a growing number of firms strive to conduct their business at international market place, currency risk has increasingly raised concern among financial mangers due to its substantial impact on companies’ financial results. Financial derivative instruments (Forward, Futures, Options, Swaps) are utilized as efficient hedging mechanisms against such an exchange rate exposure. The main objective of this study is to examine whether derivatives play a primary role in mitigating an adve...

Rhetorical Impact through Hedging Devices in the "Results and Discussion" Part of a Civil Engineering Research Article

Science.gov (United States)

Khamesian, Minoo

2015-01-01

It is common knowledge that hedging devices as a rhetorical technique common in all persuasive writing are considerably important in scientific discourse, for they are tools which facilitate presenting claims or arguments in a polite, acceptable and respectful manner. In addition, they are discoursal resources available to a scientific writer's…

Severity of scab and its effects on fruit weight in mechanically hedge-pruned and topped pecan trees

Science.gov (United States)

Scab is the most damaging disease of pecan in the southeastern USA. Pecan trees can attain 44 m in height, so managing disease in the upper canopy is a problem. Fungicide is ordinarily applied using ground-based air-blast sprayers. Although mechanical hedge-pruning and topping of pecan is done for s...

Effectiveness of Domestic Wastewater Treatment Using a Bio-Hedge Water Hyacinth Wetland System

Directory of Open Access Journals (Sweden)

Alireza Valipour

2015-01-01

Full Text Available onstructed wetland applications have been limited by a large land requirement and capital investment. This study aimed to improve a shallow pond water hyacinth system by incorporating the advantages of engineered attached microbial growth technique (termed Bio-hedge for on-site domestic wastewater treatment. A laboratory scale continuous-flow system consists of the mesh type matrix providing an additional biofilm surface area of 54 m2/m3. Following one year of experimentation, the process showed more stability and enhanced performance in removing organic matter and nutrients, compared to traditional water hyacinth (by lowering 33%–67% HRT and facultative (by lowering 92%–96% HRT ponds. The wastewater exposed plants revealed a relative growth rate of 1.15% per day, and no anatomical deformities were observed. Plant nutrient level averaged 27 ± 1.7 and 44 ± 2.3 mg N/g dry weight, and 5 ± 1.4 & 9±1.2 mg P/g dry weight in roots and shoots, respectively. Microorganisms immobilized on Bio-hedge media (4.06 × 107 cfu/cm2 and plant roots (3.12 × 104 cfu/cm were isolated and identified (a total of 23 strains. The capital cost was pre-estimated for 1 m3/d wastewater at 78 US$/m3inflow and 465 US$/kg BOD5 removed. This process is a suitable ecotechnology due to improved biofilm formation, reduced footprint, energy savings, and increased quality effluent.

Effects of planting density and bearing-branch composition on the yield of sweet cherry [Prunus avium] grown by hedge-row training

International Nuclear Information System (INIS)

Tomita, A.; Shinya, K.; Watanabe, K.; Inomata, M.

2008-01-01

To improve the yield of sweet cherries (Prunus avium L.) grown by hedge-row training, the following two methods were compared: increased numbers of spurs and bouquet spurs to improve the spur composition and narrowed row intervals to increase planting density. To develop spurs and bouquet spurs, 30 cm long branches were positioned at 30 cm intervals on lateral branches in addition to the conventional spur development from 5 cm current shoots. Although this measure decreased the number of bouquet spurs, it increased the total number of spurs including the conventional short spurs to improve the yield to 1,024 kg/10a from 557 kg/10a using conventional hedge-row training. However, this method decreased solar radiation in the tree crowns thereby lowering fruit quality. In contrast, increasing planting density from 3-m intervals to 2- or 1.5-m intervals did not affect fruit quality. Moreover, in contrast to a yield of 588 kg/10a when row intervals were 3 m, the row intervals narrowed to 2 m and 1.5 m improved the yield to 881 kg/10a and 1,101 kg/10a, respectively. The above results show that decreasing row intervals is an effective method for increasing the yield of sweet cherries grown by hedge-row training without lowering fruit quality

Aridity promotes bet hedging via delayed hatching: a case study with two temporary pond crustaceans along a latitudinal gradient.

Science.gov (United States)

Pinceel, Tom; Vanschoenwinkel, Bram; Hawinkel, Wouter; Tuytens, Karen; Brendonck, Luc

2017-05-01

Climate change does affect not only average rainfall and temperature but also their variation, which can reduce the predictability of suitable conditions for growth and reproduction. This situation is problematic for inhabitants of temporary waters whose reproductive success depends on rainfall and evaporation that determine the length of the aquatic phase. For organisms with long-lived dormant life stages, bet hedging models suggest that a fraction of these should stay dormant during each growing season to buffer against the probability of total reproductive failure in variable environments. Thus far, however, little empirical evidence supports this prediction in aquatic organisms. We study geographic variation in delayed hatching of dormant eggs in natural populations of two crustaceans, Branchinella longirostris and Paralimnadia badia, that occur in temporary rock pools along a 725 km latitudinal aridity gradient in Western Australia. Consistent with bet hedging theory, populations of both species were characterised by delayed hatching under common garden conditions and hatching fractions decreased towards the drier end of the gradient where the probability of reproductive success was shown to be lower. This decrease was most pronounced in the species with the longer maturation time, presumably because it is more sensitive to the higher prevalence of short inundations. Overall, these findings illustrate that regional variation in climate can be reflected in differential investment in bet hedging and hints at a higher importance of delayed hatching to persist when the climate becomes harsher. Such strategies could become exceedingly relevant as determinants of vulnerability under climate change.

Bet-hedging as a complex interaction among developmental instability, environmental heterogeneity, dispersal, and life-history strategy.

Science.gov (United States)

Scheiner, Samuel M

2014-02-01

One potential evolutionary response to environmental heterogeneity is the production of randomly variable offspring through developmental instability, a type of bet-hedging. I used an individual-based, genetically explicit model to examine the evolution of developmental instability. The model considered both temporal and spatial heterogeneity alone and in combination, the effect of migration pattern (stepping stone vs. island), and life-history strategy. I confirmed that temporal heterogeneity alone requires a threshold amount of variation to select for a substantial amount of developmental instability. For spatial heterogeneity only, the response to selection on developmental instability depended on the life-history strategy and the form and pattern of dispersal with the greatest response for island migration when selection occurred before dispersal. Both spatial and temporal variation alone select for similar amounts of instability, but in combination resulted in substantially more instability than either alone. Local adaptation traded off against bet-hedging, but not in a simple linear fashion. I found higher-order interactions between life-history patterns, dispersal rates, dispersal patterns, and environmental heterogeneity that are not explainable by simple intuition. We need additional modeling efforts to understand these interactions and empirical tests that explicitly account for all of these factors.

Hedging to save face: a linguistic analysis of written comments on in-training evaluation reports.

Science.gov (United States)

Ginsburg, Shiphra; van der Vleuten, Cees; Eva, Kevin W; Lingard, Lorelei

2016-03-01

Written comments on residents' evaluations can be useful, yet the literature suggests that the language used by assessors is often vague and indirect. The branch of linguistics called pragmatics argues that much of our day to day language is not meant to be interpreted literally. Within pragmatics, the theory of 'politeness' suggests that non-literal language and other strategies are employed in order to 'save face'. We conducted a rigorous, in-depth analysis of a set of written in-training evaluation report (ITER) comments using Brown and Levinson's influential theory of 'politeness' to shed light on the phenomenon of vague language use in assessment. We coded text from 637 comment boxes from first year residents in internal medicine at one institution according to politeness theory. Non-literal language use was common and 'hedging', a key politeness strategy, was pervasive in comments about both high and low rated residents, suggesting that faculty may be working to 'save face' for themselves and their residents. Hedging and other politeness strategies are considered essential to smooth social functioning; their prevalence in our ITERs may reflect the difficult social context in which written assessments occur. This research raises questions regarding the 'optimal' construction of written comments by faculty.

Host-parasite coevolution can promote the evolution of seed banking as a bet-hedging strategy.

Science.gov (United States)

Verin, Mélissa; Tellier, Aurélien

2018-04-20

Seed (egg) banking is a common bet-hedging strategy maximizing the fitness of organisms facing environmental unpredictability by the delayed emergence of offspring. Yet, this condition often requires fast and drastic stochastic shifts between good and bad years. We hypothesize that the host seed banking strategy can evolve in response to coevolution with parasites because the coevolutionary cycles promote a gradually changing environment over longer times than seed persistence. We study the evolution of host germination fraction as a quantitative trait using both pairwise competition and multiple mutant competition methods, while the germination locus can be genetically linked or unlinked with the host locus under coevolution. In a gene-for-gene model of coevolution, hosts evolve a seed bank strategy under unstable coevolutionary cycles promoted by moderate to high costs of resistance or strong disease severity. Moreover, when assuming genetic linkage between coevolving and germination loci, the resistant genotype always evolves seed banking in contrast to susceptible hosts. Under a matching-allele interaction, both hosts' genotypes exhibit the same seed banking strategy irrespective of the genetic linkage between loci. We suggest host-parasite coevolution as an additional hypothesis for the evolution of seed banking as a temporal bet-hedging strategy. © 2018 The Author(s). Evolution © 2018 The Society for the Study of Evolution.

A snapshot of soil water composition as an indicator of contrasted redox environments in a hedged farmland plot.

Science.gov (United States)

Albéric, Patrick; Vennink, Aurélie; Cornu, Sophie; Bourennane, Hocine; Bruand, Ary

2009-10-15

While soil water composition has long been recognised as being related to soil type (characteristics of the horizons), the influence of structures resulting from agricultural activities (hedges, ditches, wheel ruts, etc) is still under discussion. This work was undertaken to show that a snapshot of spatial variability of the geochemical characteristics of soil water at the scale of a plot can improve our understanding of soil geochemistry in a farmland setting. We selected a 3 hectare hedged plot located on a hillside, limited by a stream and used as pasture where soils have developed in weathered gneiss. The water depth, electrical conductivity, major ions, temperature, pH, dissolved organic carbon (DOC) content, dissolved oxygen content, fluorescence, alkalinity, Fe(2+), Mn(2+), NO(2)(-), Fe(III) and F(-) contents were measured in 62 auger holes randomly drilled on the site. Four sectors were identified in order to describe the distribution of the main geochemical parameters. Electrical conductivity and some major ions, especially sulphate, had larger concentrations near hedges where oxic conditions prevailed. These features were attributed to the impact of the linear anthropogenic network on the circulation of subsurface soil waters and evapo-transpiration and represent sector I. Dissolved Mn was an indicator of well channelled runoff subsurfaces facilitating the circulation of more highly reducing water (sector III), while DOC probably marked areas drained less well, with a prolonged contact time between soil solutions and organic topsoil horizons (sector II). The presence of dissolved Mn and Fe(II) indicates bottomland anoxic conditions (sector IV). It is concluded that a survey of the chemical composition of soil water may be a direct approach to show the influence of permanent structures on current soil properties and dynamics.

Multi-Objective Optimization of the Hedging Model for reservoir Operation Using Evolutionary Algorithms

Directory of Open Access Journals (Sweden)

sadegh sadeghitabas

2015-12-01

Full Text Available Multi-objective problems rarely ever provide a single optimal solution, rather they yield an optimal set of outputs (Pareto fronts. Solving these problems was previously accomplished by using some simplifier methods such as the weighting coefficient method used for converting a multi-objective problem to a single objective function. However, such robust tools as multi-objective meta-heuristic algorithms have been recently developed for solving these problems. The hedging model is one of the classic problems for reservoir operation that is generally employed for mitigating drought impacts in water resources management. According to this method, although it is possible to supply the total planned demands, only portions of the demands are met to save water by allowing small deficits in the current conditions in order to avoid or reduce severe deficits in future. The approach heavily depends on economic and social considerations. In the present study, the meta-heuristic algorithms of NSGA-II, MOPSO, SPEA-II, and AMALGAM are used toward the multi-objective optimization of the hedging model. For this purpose, the rationing factors involved in Taleghan dam operation are optimized over a 35-year statistical period of inflow. There are two objective functions: a minimizing the modified shortage index, and b maximizing the reliability index (i.e., two opposite objectives. The results show that the above algorithms are applicable to a wide range of optimal solutions. Among the algorithms, AMALGAM is found to produce a better Pareto front for the values of the objective function, indicating its more satisfactory performance.

Market efficiency, cross hedging and price forecasts: California's natural-gas markets

International Nuclear Information System (INIS)

Woo, C.K.; Olson, A.; Horowitz, I.

2006-01-01

An extensive North American pipeline grid that physically integrates individual natural-gas markets, in conjunction with economic ties binding the California markets to those at Henry Hub, Louisiana and the New York mercantile exchange via an array of financial instruments, suggests that the spot prices at Henry Hub will impact those in California. We verify the suggestion via a partial-adjustment regression model, thus affirming that California traders can exploit the cross-hedging opportunities made available to them via market integration with Henry Hub, and that they can accurately forecast the price they will have to pay to meet future demand based solely on the price of futures at Henry Hub and the price of a California natural-gas basis swaps contract. (author)

From Socialism to Hedge Fund: The Human Element and the New History of Capitalism

Directory of Open Access Journals (Sweden)

David Huyssen

2015-08-01

Full Text Available Alfred Winslow Jones was a socialist who founded the first hedge fund in 1949. He had been U.S. Vice Consul in Berlin from 1931 to 1932, Soviet sympathizer and anti-Nazi spy with dissident German communists, humanitarian observer during the Spanish Civil War, acclaimed sociologist of class, and an editor for Fortune magazine. At every stage of his life, Jones occupied positions of advantage, and his invention of the modern hedge fund has had an outsized impact on global capitalism’s contemporary round of financialization. On its face, then, his life would appear to offer ideal material for a “great-man” biography. Yet this “great man” also wrestled with the continual recognition that structural forces were undermining his fondest hopes for social change. Following Georgi Derluguian, Giovanni Arrighi, and Marc Bloch, this article proposes a world-system biography of Jones as a method better suited for mapping the internal dialectics of twentieth-century capitalism, using Jones as a human connection between cyclical and structural transformations of capitalism, and across changes of phase from financial to material expansion—and back again. On another level, it suggests a theoretical reorientation—toward what Bloch called “the human element”—for studies of capitalism’s cultural and material history. It argues that such a reorientation would hold rewards for the “new history of capitalism” field, which until now has pursued its quarry primarily by tracing the movements of commodities, capital, institutions, and ideas.

Bet hedging in a warming ocean: predictability of maternal environment shapes offspring size variation in marine sticklebacks.

Science.gov (United States)

Shama, Lisa N S

2015-12-01

Bet hedging at reproduction is expected to evolve when mothers are exposed to unpredictable cues for future environmental conditions, whereas transgenerational plasticity (TGP) should be favoured when cues reliably predict the environment offspring will experience. Since climate predictions forecast an increase in both temperature and climate variability, both TGP and bet hedging are likely to become important strategies to mediate climate change effects. Here, the potential to produce variably sized offspring in both warming and unpredictable environments was tested by investigating whether stickleback (Gasterosteus aculeatus) mothers adjusted mean offspring size and within-clutch variation in offspring size in response to experimental manipulation of maternal thermal environment and predictability (alternating between ambient and elevated water temperatures). Reproductive output traits of F1 females were influenced by both temperature and environmental predictability. Mothers that developed at ambient temperature (17 °C) produced larger, but fewer eggs than mothers that developed at elevated temperature (21 °C), implying selection for different-sized offspring in different environments. Mothers in unpredictable environments had smaller mean egg sizes and tended to have greater within-female egg size variability, especially at 21 °C, suggesting that mothers may have dynamically modified the variance in offspring size to spread the risk of incorrectly predicting future environmental conditions. Both TGP and diversification influenced F2 offspring body size. F2 offspring reared at 21 °C had larger mean body sizes if their mother developed at 21 °C, but this TGP benefit was not present for offspring of 17 °C mothers reared at 17 °C, indicating that maternal TGP will be highly relevant for ocean warming scenarios in this system. Offspring of variable environment mothers were smaller but more variable in size than offspring from constant environment

我国上市公司金融性套期保值决策的动机研究%Analysis on the Motives of Financial Hedging of Chinese A-Share Listed Company

Institute of Scientific and Technical Information of China (English)

郭玲; 阴永晟

2009-01-01

近年来,我国上市公司的金融性套期保值交易增长迅速.本文以国外公司套期保值动机理论作为分析框架,根据我国的市场环境和上市公司的财务特征构建解释变量,对上市公司金融性套期保值决策的动机进行实证检验和分析.研究表明,降低财务困境成本和债务代理成本是我国上市公司全融性套期保值决策的主要动机:此外,公司有现金分红需要、股权结构中有外资法人股或境外上市股时,公司越有动机进行金融性套期保值,并且套期保值具有规模经济效应.%Despite the use of derivatives for corporate hedging in China has been growing fast,the relevant domestic research is still in the primary stage,for example there is 110 systemalic research on the feasibility of corporate hedging theory and empirical research in China.This paper analyzed the corporate hedging theory and made an empirical research on the determinants of hedging strategies with China A-share listed Cmpa-nies after constructing the variables under the analysis of unique characteristics of Chinese business environ-ment.This paperdiscovers that the main motives of our listed companies financial hedging decision - making are reducing financial distress costs and agency costs of debt.In addition,a company has the need of cash dividend.A company with foreign legal person stocks or foreign listing stocks,has greater motives to finan cial hedging,which has the effect of economy of scale.

Genetic Variability of Stolbur Phytoplasma in Hyalesthes obsoletus (Hemiptera: Cixiidae) and its Main Host Plants in Vineyard Agroecosystems.

Science.gov (United States)

Landi, Lucia; Riolo, Paola; Murolo, Sergio; Romanazzi, Gianfranco; Nardi, Sandro; Isidoro, Nunzio

2015-08-01

Bois noir is an economically important grapevine yellows that is induced by 'Candidatus Phytoplasma solani' and principally vectored by the planthopper Hyalesthes obsoletus Signoret (Hemiptera: Cixiidae). This study explores the 'Ca. P. solani' genetic variability associated to the nettle-H. obsoletus and bindweed-H. obsoletus systems in vineyard agroecosystems of the central-eastern Italy. Molecular characterization of 'Ca. P. solani' isolates was carried out using polymerase chain reaction/restriction fragment length polymorphism to investigate the nonribosomal vmp1 gene. Seven phytoplasma vmp-types were detected among the host plants- and insect-associated field-collected samples. The vmp1 gene showed the highest polymorphism in the bindweed-H. obsoletus system, according to restriction fragment length polymorphism analysis, which is in agreement with nucleotide sequence analysis. Five vmp-types were associated with H. obsoletus from bindweed, of which one was solely restricted to planthoppers, with one genotype also in planthoppers from nettle. Type V12 was the most prevalent in both planthoppers and bindweed. H. obsoletus from nettle harbored three vmp-types, of which V3 was predominant. V3 was the only type detected for nettle. Our data demonstrate that planthoppers might have acquired some 'Ca. P. solani' profiles from other plant hosts before landing on nettle or bindweed. Overall, the different vmp1 gene rearrangements observed in these two plant hosts-H. obsoletus systems might represent different adaptations of the pathogen to the two host plants. Molecular information about the complex of vmp-types provides useful data for better understanding of Bois noir epidemiology in vineyard agroecosystem. © The Authors 2015. Published by Oxford University Press on behalf of Entomological Society of America. All rights reserved. For Permissions, please email: journals.permissions@oup.com.

Futures and forward contract as a route of hedging the risk

Directory of Open Access Journals (Sweden)

Misbahul Islam

2015-10-01

Full Text Available In the present highly uncertain business scenario, the importance of risk management is much greater than ever before. Variations in the prices of agricultural and non-agricultural commodities are induced, over time, by demand-supply dynamics. The last two decades have witnessed many-fold increase in the volume of international trade and business due to the wave of globalization and liberalization sweeping across the world. This has led to rapid and unpredictable variations in financial assets prices, interest rates and exchange rates, and subsequently, to exposing the corporate world to an unwieldy financial risk. As a result, financial markets have experienced rapid variations in interest and exchange rates, stock market prices thus exposing the corporate world to a state of growing financial risk. The emergence of derivatives market is an ingenious feat of financial engineering that provides an effective and less costly solution to the problem of risk that is embedded in the price unpredictability of the underlying asset. Derivatives provide an effective solution to the problem of risk caused by uncertainty and volatility in underlying assets. These are the financial instruments that are linked to a specific financial instrument or indicator or commodity and through which specific risks can be traded in financial markets in their own right. In actual practice there are various different types of derivatives but this paper emphasizes on the two most important types of derivatives i.e. futures and forward contracts. These two are the most commonly used types of derivatives in financial markets. We can hedge the risk of price variations in stocks, bonds, commodities, currencies, interest rates, market indices etc. This study is about the futures and forward contracts. This paper presents various types of futures and forward contract and what advantages and disadvantages these two important types of derivatives have? It also includes that how

Effect of Different Growth Stages and Dew Period Length on Disease Development of Alternaria alternata as a Biological Control Agent for Convolvulus arvensis

Directory of Open Access Journals (Sweden)

E Zeidali

2012-02-01

Full Text Available Abstract Field bindweed is an important perinial weed of agricultural crops word-wide. There are plant pathogen fungus which could cause necrotic spots on the leaves and stems of convolvulus arvensis under natural coditions. In order to evaluate the effects of weed growth stage and length of dew period on disease development causes by Aletrnaria alternata and Fusarium sp. two expriments were performed in the greenhouse based on a completely randomized design in factorial arrangement with four replications during 2006-2007. Spore concentration for both experiments was 107 spores per ml of distilled water. In the first experiment, treatments were different growth stages of field bindweed (cotyledon, 4-leaf, 6-leaf, 9-11-leaf stages. Results showed that disease development in the fungus of A. alternata was higher than Fusarium sp. The most susceptable growth stage of field bindweed plants to A. alternata was 2-4-leave stage. The second expriment was performed in order to study the effect of dew period length (6, 12, 24 and 48 hour dew periods on disease development at 4-leaf growth stage of field bindweed. The maximum disease development and minimum weed dry weight were observed with application of the fungus of A. alternata at dew periods of 24 and 48 hour, however, plant damage was also observed with a length of 6 hours dew period.

A Study on the risk-return characteristics and the diversification benefit of the Hedge Fund industry

OpenAIRE

Bagaria, Neha

2007-01-01

Hedge funds with their dynamic trading strategies have gained great popularity in the past decade and have been found to provide significant diversification benefits to a traditional portfolio of assets. As an investment strategy they assure higher returns at a lower risk. Thus we will investigate its unique characteristics and its relation with the S&P 500 index through various quantitative tools like simple regression analysis, Sharpe ratios and graphical and correlation analysis of the dif...

Rooting stem cuttings of northern red oak (Quercus rubra L.) utilizing hedged stump sprouts formed on recently felled trees

Science.gov (United States)

Matthew H. Gocke; Daniel J. Robinson

2010-01-01

The ability to root stem cuttings collected from hedged stump sprouts formed on recently felled trees was evaluated for 26 codominant northern red oak (Quercus rubra L.) trees growing in Durham County, NC. Sprouting occurred, the same year as felling, on 23 of the 26 tree stumps and sprout number was significantly and positively correlated with stump diameter. The...

TRANSPORT OUTSOURCING AND TRANSPORT COLLABORATION RELATIONSHIP - THE RISK HEDGING PERSPECTIVE

Directory of Open Access Journals (Sweden)

Đurđica M. Stojanović

2015-04-01

Full Text Available Although transport outsourcing decision-making and collaborative transport management (CTM have been “hot topics” for years, their links are still not thoroughly explored. The purpose of this paper is to contribute to a better understanding of the relationship between them. In particular, we focus on the conflicting and complementary features of these concepts with regard to their capability to hedge against transport outsourcing-related risks. Transport outsourcing is often a tool for transferring part of the demand risks from the primary parties in supply chains to transport service providers. However, new relationships introduce some new risks - outsourcing contract risks. It is important to identify, estimate and compare such kinds of risks. Transport collaboration may decrease both the demand risks and the outsourcing contract risks, although the relationship with the latter is more complex. It is used an exploratory research based on a combination of a literature review and empirical examples.

Analysis and Accounting of Hedging of a Net Investment in a Foreign Operation Process in the concept of Turkish Accounting Standards

Directory of Open Access Journals (Sweden)

Veli Öztürk

2013-09-01

Full Text Available In recent years, in line with developments in the financial markets, financial instruments developed rapidly. As a result of this development, how to classify financial instruments, recognition of these principles has become important. As a result of the every day increase in types of financial instruments, financial risks have emerged. Especially after the end of the Bretton Woods system that based on fixed exchange rates in 1970’s, entities faced the financial risk. IAS 39 gathered financial risks faced by businesses in the financial markets in three groups. These risks are risk arising from financial instruments at fair value and risk arising from cash flows and risk arising from the net investment in a foreign operation. Preventing from the risk arising from the net investment in a foreign operation hedge that composes the subject of this study and also one type of prevention from financial risk, is explained in Turkish Accounting Standards TAS 21 and TAS 39. The implementation section of this study, one of the varieties of hedging, hedge accounting is an example of a net investment in a foreign operation. Example implementation is divided into three sections. In the first part, the increase and decreases at the exchange rates that arised from the position in which the entity made investment does not make forward contracts arised exchange rates are shown. In the second part of our application, the accounting records related to forward contract made for preventing from net investment risk are shown, and how the forward contract prevent the entity from net investment risk is explained. In the final part of the implementation, the disposal of the net investment in a foreign country and it’s results are shown.

Optimization of conventional rule curves coupled with hedging rules for reservoir operation

DEFF Research Database (Denmark)

Taghian, Mehrdad; Rosbjerg, Dan; Haghighi, Ali

2014-01-01

As a common approach to reservoir operating policies, water levels at the end of each time interval should be kept at or above the rule curve. In this study, the policy is captured using rationing of the target yield to reduce the intensity of severe water shortages. For this purpose, a hybrid...... to achieve the optimal water allocation and the target storage levels for reservoirs. As a case study, a multipurpose, multireservoir system in southern Iran is selected. The results show that the model has good performance in extracting the optimum policy for reservoir operation under both normal...... model is developed to optimize simultaneously both the conventional rule curve and the hedging rule. In the compound model, a simple genetic algorithm is coupled with a simulation program, including an inner linear programming algorithm. In this way, operational policies are imposed by priority concepts...

Investing in Cognac Producing Vineyards to Hedge Wealth While Receiving High Returns

Directory of Open Access Journals (Sweden)

Hakob Hakobyan

2015-07-01

Full Text Available The general trend over the last decade for investments has been moving towards emerging markets, where investors are promised high returns for risky investments. These kind of investments favor the brave and bold, but are frightening for the risk averse. In this paper I will be presenting the opportunities that an investment into cognac producing vineyards can offer. High return and relatively low risk investment opportunities that exists in France. Included in the paper will be examples of large investments made recently into the industry. I will analyze the trends in the market over the past 8 years for the prices of land, cognac itself and the ease of sales of such products. There will also be an in-depth explanation of why cognac is today’s least risky product to invest into, comparing it to the Champagne regions’ similar historic trends. The findings show that land prices have increased at an average of 10% while simultaneously the price of cognac, has grow at an average of 14%. This product also has a unique hedging opportunity for investors. In short, excluding the growth of cognac prices in general the product itself gains value the longer it is stored, by an average of 12%. In this industry there are 5 big players that compete with each other on quality and also access to future stocks. This reality gives an investor the unique ability to sign futures contracts for 100% of their production over a 5 year period (standard market contract. Similar contracts can be signed with cooperatives who manage the lands for the investor, making the investment hassle free. This allows for an assured projection of both costs and returns for an unprecedented length of time compared to any other industry today. In conclusion, cognac producing vineyards are an investment that can potentially bring high returns, while being able to hedge the investment and see capital gains over the course of time. There will be a final simulation of a 5 year

76 FR 33337 - Endangered Species Recovery Permit Applications

Science.gov (United States)

2011-06-08

...: Lasthenia conjugens (Contra Costa goldfields), Arabis mcdonaldiana (McDonald's rock-cress), Calystegia... of receipt of permit applications; request for comment. SUMMARY: We, the U.S. Fish and Wildlife... received on or before July 8, 2011. ADDRESSES: Written data or comments should be submitted to the U.S...

Soil moisture and its consequences under different management in a six year old hedged agroforestry demonstration plot in semi-arid Kenya, for two successive contrasting seasons

NARCIS (Netherlands)

Otengi, S.B.B.; Stigter, C.J.; Ng'anga, J.K.; Liniger, H.

2007-01-01

Hedged agroforestry (AF) demonstration plots with maize/bean intercrops were studied at Matanya in Laikipia district, Kenya, between 1991 and 1995 inclusive, to understand crop yield behaviour due to selected soil moisture conservation methods applicable in semi-arid areas. The treatments were:

Robustness of critical points in a complex adaptive system: Effects of hedge behavior

Science.gov (United States)

Liang, Yuan; Huang, Ji-Ping

2013-08-01

In our recent papers, we have identified a class of phase transitions in the market-directed resource-allocation game, and found that there exists a critical point at which the phase transitions occur. The critical point is given by a certain resource ratio. Here, by performing computer simulations and theoretical analysis, we report that the critical point is robust against various kinds of human hedge behavior where the numbers of herds and contrarians can be varied widely. This means that the critical point can be independent of the total number of participants composed of normal agents, herds and contrarians, under some conditions. This finding means that the critical points we identified in this complex adaptive system (with adaptive agents) may also be an intensive quantity, similar to those revealed in traditional physical systems (with non-adaptive units).

Risk hedging against the fuel price fluctuation in energy service business

International Nuclear Information System (INIS)

Bannai, Masaaki; Tomita, Yasushi; Ishida, Yasushi; Miyazaki, Takahiko; Akisawa, Atsushi; Kashiwagi, Takao

2007-01-01

Energy service business, or energy service company (ESCO), is expanding among industrial users as a means of energy saving. The ESCO business normally tends to become a long-term operation. During the operation, fluctuations of fuel and electricity costs significantly impact on the stability of the profit from ESCO business. Therefore, it is essential to reduce the risk of fuel and electricity cost fluctuations. Generally, a transaction called ''financial derivative'' is used as a measure of hedging against the fuel price fluctuation. In the case of ESCO business, it is necessary to manage the risk of both electricity and fuel price fluctuations because the variation in electricity price strongly affects the profit from ESCO as that in fuel price does. In this paper, the stabilization of the ESCO profit using financial derivatives was discussed by quantitative analyses of the actual data from existing plants. Case studies revealed that the appropriate volume of the fuel derivative implementation was less than a half of the fuel consumption at the ESCO facilities, and it ranged from 5% to 50%. (author)

Hedging Financial Risks in the Economic Practices of Small Business: Current Imperatives

Directory of Open Access Journals (Sweden)

Kolomiyets Ganna M.

2017-04-01

Full Text Available The article considers the need to update approaches to hedging the financial risks of small businesses. Reducing the probability of financial costs and losses is of continuing relevance. It appears to be especially critical for small businesses. Small business plays a significant role in the country’s economic system as creator of jobs and as a producer of goods and services that adapts quickly to changing consumer requirements. However, its access to credit resources has certain limitations. The instability of the economic environment by individual factors can affect small businesses not less, and sometimes even more than large and medium-sized businesses. Design of the risk-management in terms of small business needs to be updated. In the current context, there is a need in re-evaluating that the efficient financial risk management can only be carried out in a complex of all the enterprise’s risks, with an increase in the planning horizon and the identification of obstacles to achieving the objective set.

Effect of foliar treatments on distribution of 14C-glyphosate in Convolvulus arvensis L

International Nuclear Information System (INIS)

Lauridson, T.C.

1986-01-01

Field bindweed is a perennial weed which produces shoots from buds on its roots. Herbicides, such as glyphosate [N-(phosphonomethyl)glycine] used for control of field bindweed usually do not kill all shoot buds on the roots, thus field bindweed often reinfests areas within 3 to 6 weeks of treatment. This dissertation deals with the development of a technique to change glyphosate distribution in field bindweed roots and could result in less shoot regrowth after glyphosate application. In field studies eight plant growth regulators were applied in September, 3 days before 2.24 kg/ha of 2.4-D[(2,4-dichlorophenoxy) acetic acid] or 1.68 kg/ha of glyphosate. Eight months later, regrowth of shoots was least where glyphosate was applied at 0.028 kg/ha as a pretreatment, followed by a standard rate of 1.68 kg/ha. In subsequent greenhouse studies, typical patterns of shoot growth and 14 C-glyphosate distribution in isolated root sections taken from 15-week-old intact plants were determined. In subsequent growth chamber studies, plants were decapitated to observe the effect of shoot apical dominance on 14 C-glyphosate translocation. After 14 C-glyphosate was applied, intact plants had about twice as much 14 C in distal root sections as in proximal or middle root sections. Decapitated plants had more 14 C in proximal and middle root sections than in distal sections, and about twice as much 14 C was translocated to roots of decapitated plants than intact plants. Eight concentrations of 2,4,-D or glyphosate from 1 to 5000 ppm were applied in logarithmic series to 6-week old plants

Power generation assets. Energy constraints, upper bounds and hedging strategies

Energy Technology Data Exchange (ETDEWEB)

Enge, Thomas

2010-09-20

strategy for this benchmark that is based on quantile regression. It defines a price interval for executing an individual swing right and is therefore very well suited for real world applications. In case of an American option we are able to show EaR-efficiency of our strategy in particular for a changing risk profile of the underlying price (altering volatility). Finally, we investigate hedging strategies before the delivery period as a function of the maximum available energy. In particular, we look at a hedge for the spot price risk of the power plant using a swing option. We propose a heuristic based on our synthetic spot deltas to find the relevant parameters of the swing option (number of swing rights and swing size) for a given upper generation amount. (orig.)

Survival relative to new and ancestral host plants, phytoplasma infection, and genetic constitution in host races of a polyphagous insect disease vector

Science.gov (United States)

Maixner, Michael; Albert, Andreas; Johannesen, Jes

2014-01-01

Dissemination of vectorborne diseases depends strongly on the vector's host range and the pathogen's reservoir range. Because vectors interact with pathogens, the direction and strength of a vector's host shift is vital for understanding epidemiology and is embedded in the framework of ecological specialization. This study investigates survival in host-race evolution of a polyphagous insect disease vector, Hyalesthes obsoletus, whether survival is related to the direction of the host shift (from field bindweed to stinging nettle), the interaction with plant-specific strains of obligate vectored pathogens/symbionts (stolbur phytoplasma), and whether survival is related to genetic differentiation between the host races. We used a twice repeated, identical nested experimental design to study survival of the vector on alternative hosts and relative to infection status. Survival was tested with Kaplan–Meier analyses, while genetic differentiation between vector populations was quantified with microsatellite allele frequencies. We found significant direct effects of host plant (reduced survival on wrong hosts) and sex (males survive longer than females) in both host races and relative effects of host (nettle animals more affected than bindweed animals) and sex (males more affected than females). Survival of bindweed animals was significantly higher on symptomatic than nonsymptomatic field bindweed, but in the second experiment only. Infection potentially had a positive effect on survival in nettle animals but due to low infection rates the results remain suggestive. Genetic differentiation was not related to survival. Greater negative plant-transfer effect but no negative effect of stolbur in the derived host race suggests preadaptation to the new pathogen/symbiont strain before strong diversifying selection during the specialization process. Physiological maladaptation or failure to accept the ancestral plant will have similar consequences, namely positive assortative

7 CFR 201.17 - Noxious-weed seeds in the District of Columbia.

Science.gov (United States)

2010-01-01

...), Canada thistle (Cirsium arvense), field bindweed (Convolvulus arvensis), bermudagrass (Cynodon dactylon), giant bermudagrass (Cynodon dactylon var. aridus), annual bluegrass (Poa annua), and wild garlic or wild...

Hedging na produção de açúcar e álcool: uma integração de decisões financeiras e de produção Hedging in the ethanol and sugar production: integrating financial and production decisions

Directory of Open Access Journals (Sweden)

Anna Andrea Kajdacsy Balla Sosnoski

2012-01-01

Full Text Available O risco financeiro ao qual o produtor agrícola está exposto no momento da comercialização do produto final demanda o uso de instrumentos de redução de risco, a fim de assegurar um preço que viabilize economicamente o processo produtivo. Este artigo analisa o problema de elaboração de estratégias de proteção financeira na presença de restrições de produção, através de um modelo de otimização multiperíodo determinístico. A incerteza é descrita através de árvores de cenários e o risco analisado através das abordagens clássicas de média-variância. O comportamento do modelo proposto é analisado no caso do mercado sucroalcooleiro, para a gestão financeira de usinas sucroalcooleiras, sendo as estratégias de hedging construídas com base no mercado futuro de álcool e açúcar.Agricultural producers face financial risk at the moment of final products selling. This imposes the use of instruments to reduce risks in order to assure prices and production process economic feasibility. This paper examines the problem of creating hedging strategies with production constraints and proposes a deterministic multi-period optimization model to solve it. Uncertainty was introduced in the model through scenario trees and risk was analyzed according to the traditional mean variance approach. The model was analyzed for the sugar and ethanol market in order to aid in the financial management of a sugar cane refinery.

La copertura dei rischi finanziari nelle imprese non finanziarie italiane attraverso gli strumenti derivati (The Hedging of Financial Risks Using Derivatives by Italian Non-financial Firms

Directory of Open Access Journals (Sweden)

Gianluca Bison

2012-04-01

Full Text Available The paper deals with the use of derivatives by Italian non-financial firms, in order to analyse existing theories of hedging behaviour, and provides empirical evidence on a potential differentiation of determinants of derivative use over time. Univariate and multivariate analyses show that the determinants of derivative use reveal marked differences when compared in the different years, so they may change over time. In general, we find that the most determinant variable is foreign sales, and analysis therefore suggests the hypothesis that exposure to exchange rate risk is the strongest determinant in derivative use. Interest rate risk exposure seems to be less relevant. Moreover, from 1997, another variable proves determinant, firm size, which suggests that economies of scale could also be a key variable in derivative use. With respect to financial distress cost models, tax and agency cost theories, the results are mixed.           JEL Codes: G11, G31, G32, F31Keywords: Financial Risk, Firm, Hedging        

Regional Guidebook for Applying the Hydrogeomorphic Approach to Assessing the Functions of Headwater Slope Wetlands on the Mississippi and Alabama Coastal Plans

Science.gov (United States)

2007-08-01

sourwood Bignonia capreolata crossvine Panicum virgatum switchgrass Callicarpa americana American beautyberry Persea borbonia redbay Calystegia sepium...sweetbay (Magnolia virginiana), loblolly-bay (Gordonia lasianthus), redbay ( Persea borbonia), and swamp bay ( Persea palustris) make up a significant...com- munity model. The Society of American Foresters (Eyre 1980) recognizes a “Sweetbay- Swamp Tupelo (Nyssa sylvatica var. biflora)-Redbay” forest

The European carbon market (2005-2007): banking, pricing and risk hedging strategies

International Nuclear Information System (INIS)

Chevallier, J.

2008-11-01

This thesis investigates the market rules of the European carbon market (EU ETS) during 2005-2007. We provide theoretical and empirical analyses of banking and borrowing provisions, price drivers and risk hedging strategies attached to tradable quotas, which were introduced to cover the CO 2 emissions of around 10,600 installations in Europe. In Chapter 1, we outline the economic and environmental effects of banking and borrowing on tradable permits markets. More specifically, we examine the banking and borrowing provisions adopted in the EU ETS, and the effects of banning banking between Phases I and II on CO 2 price changes. We show statistically that the low levels of CO 2 prices recorded until the end of Phase I may be explained by the restriction on the inter-period transfer of allowances, besides the main explanations that were identified by market observers. In Chapter 2, we identify the carbon price drivers since the launch of the EU ETS on January 1, 2005. We emphasize the central role played by the 2005 yearly compliance event imposed by the European Commission in revealing the net short/long position at the installation level in terms of allowances allocated with respect to verified emissions. The main result of this study features that price drivers of CO 2 allowances linked to energy market prices and unanticipated weather events vary around institutional events. Moreover, we show the influence of the variation of industrial production in three sectors covered by the EU ETS on CO 2 price changes by applying a disentangling analysis, that has also been extended at the country-level. In Chapter 3, we focus on the risk hedging strategies linked to holding CO 2 allowances. By using a methodology applied on stock markets, we recover the changes in investors' average risk aversion. This study shows that, during the time period considered, risk aversion has been higher on the carbon market than on the stock market, and that the risk is linked to an increasing

Financial instruments help producers hedge gas deals in volatile market

International Nuclear Information System (INIS)

Lawnin, J.N.; Kupiec, S.L.

1993-01-01

The Natural Gas Policy Act (NGPA) of 1978 and more recently the U.S. Federal Energy Regulatory Commission's Order 636 have changed gas marketing from a totally regulated industry to one that responds to free-market forces. The stable but controlled market in which producers once sold gas has become highly competitive and more efficient. Consequently, prices have become more volatile; they respond more quickly than they did before to changes in supply of and demand for natural gas. Prior to deregulation of the natural gas industry, producers had fewer marketing options than they do today. Under a typical gas sales contract, producers sold gas to the nearest pipeline at regulated prices, which remained relatively stable along the interstate distribution chain. The system, however, failed to generate adequate supply of gas. In an effort to realign supply and demand, Congress initiated the deregulation of natural gas with NGPA, which phased out most wellhead price controls. A series of FERC actions culminating in Order 636 extended the process. Now, independent producers can sell gas directly to end users. Under Order 636, interstate pipelines no longer offer merchant services to gas customers. The paper discusses the change in risk profiles, price protection, futures and options, hedged exposure, setting price floors, off-exchange contracts, risk considerations, types of risks, business controls, back office controls, and credit monitoring

Analyzing and forecasting volatility spillovers, asymmetries and hedging in major oil markets

International Nuclear Information System (INIS)

Chang, Chia-Lin; McAleer, Michael; Tansuchat, Roengchai

2010-01-01

Crude oil price volatility has been analyzed extensively for organized spot, forward and futures markets for well over a decade, and is crucial for forecasting volatility and Value-at-Risk (VaR). There are four major benchmarks in the international oil market, namely West Texas Intermediate (USA), Brent (North Sea), Dubai/Oman (Middle East), and Tapis (Asia-Pacific), which are likely to be highly correlated. This paper analyses the volatility spillover and asymmetric effects across and within the four markets, using three multivariate GARCH models, namely the constant conditional correlation (CCC), vector ARMA-GARCH (VARMA-GARCH) and vector ARMA-asymmetric GARCH (VARMA-AGARCH) models. A rolling window approach is used to forecast the 1-day ahead conditional correlations. The paper presents evidence of volatility spillovers and asymmetric effects on the conditional variances for most pairs of series. In addition, the forecast conditional correlations between pairs of crude oil returns have both positive and negative trends. Moreover, the optimal hedge ratios and optimal portfolio weights of crude oil across different assets and market portfolios are evaluated in order to provide important policy implications for risk management in crude oil markets. (author)

Analyzing and forecasting volatility spillovers, asymmetries and hedging in major oil markets

Energy Technology Data Exchange (ETDEWEB)

Chang, Chia-Lin [Department of Applied Economics National Chung Hsing University Taichung, 250 Kuo Kuang Road, National Chung Hsing University Taichung 402 (China); McAleer, Michael [Econometric Institute, Erasmus School of Economics, Erasmus University Rotterdam (Netherlands); Tinbergen Institute (Netherlands); Tansuchat, Roengchai [Faculty of Economics, Maejo University (Thailand)

2010-11-15

Crude oil price volatility has been analyzed extensively for organized spot, forward and futures markets for well over a decade, and is crucial for forecasting volatility and Value-at-Risk (VaR). There are four major benchmarks in the international oil market, namely West Texas Intermediate (USA), Brent (North Sea), Dubai/Oman (Middle East), and Tapis (Asia-Pacific), which are likely to be highly correlated. This paper analyses the volatility spillover and asymmetric effects across and within the four markets, using three multivariate GARCH models, namely the constant conditional correlation (CCC), vector ARMA-GARCH (VARMA-GARCH) and vector ARMA-asymmetric GARCH (VARMA-AGARCH) models. A rolling window approach is used to forecast the 1-day ahead conditional correlations. The paper presents evidence of volatility spillovers and asymmetric effects on the conditional variances for most pairs of series. In addition, the forecast conditional correlations between pairs of crude oil returns have both positive and negative trends. Moreover, the optimal hedge ratios and optimal portfolio weights of crude oil across different assets and market portfolios are evaluated in order to provide important policy implications for risk management in crude oil markets. (author)

Gerenciamento de risco cambial na Fiat Automóveis S/A com utilização de hedge sem caixa

OpenAIRE

Pereira, Marcus Vinicius Soares

2003-01-01

Dissertação (mestrado) - Universidade Federal de Santa Catarina, Centro Tecnológico. Programa de Pós-Graduação em Engenharia de Produção. Este estudo objetivou investigar o processo de gerenciamento de riscos cambial na Fiat Automóveis S/A com utilização de hedge. Tal objetivo evidencia o tipo de pesquisa realizada que caracteriza como sendo exploratório, seguindo o método do estudo de caso. Os dados foram obtidos no Balanço Patrimonial da Fiat Automóveis de 1999, através de fonte primária...

Bet-hedging in bacteriocin producing Escherichia coli populations: the single cell perspective

Science.gov (United States)

Bayramoglu, Bihter; Toubiana, David; van Vliet, Simon; Inglis, R. Fredrik; Shnerb, Nadav; Gillor, Osnat

2017-02-01

Production of public goods in biological systems is often a collaborative effort that may be detrimental to the producers. It is therefore sustainable only if a small fraction of the population shoulders the cost while the majority reap the benefits. We modelled this scenario using Escherichia coli populations producing colicins, an antibiotic that kills producer cells’ close relatives. Colicin expression is a costly trait, and it has been proposed that only a small fraction of the population actively expresses the antibiotic. Colicinogenic populations were followed at the single-cell level using time-lapse microscopy, and showed two distinct, albeit dynamic, subpopulations: the majority silenced colicin expression, while a small fraction of elongated, slow-growing cells formed colicin-expressing hotspots, placing a significant burden on expressers. Moreover, monitoring lineages of individual colicinogenic cells showed stochastic switching between expressers and non-expressers. Hence, colicin expressers may be engaged in risk-reducing strategies—or bet-hedging—as they balance the cost of colicin production with the need to repel competitors. To test the bet-hedging strategy in colicin-mediated interactions, competitions between colicin-sensitive and producer cells were simulated using a numerical model, demonstrating a finely balanced expression range that is essential to sustaining the colicinogenic population.

Planthopper pests of grapevine (in French)

Science.gov (United States)

In the French vineyards occur two main insect pests belonging to Fulgoromorpha, Hyalesthes obsoletus Signoret (Cixiidae) and Metcalfa pruinosa (Say) (Flatidae). Hyalesthes obsoletus is inducing economic losses by transmitting a phytoplasma, called Stolbur, from wild plants (bindweed, nettle, etc.) t...

Obg and Membrane Depolarization Are Part of a Microbial Bet-Hedging Strategy that Leads to Antibiotic Tolerance.

Science.gov (United States)

Verstraeten, Natalie; Knapen, Wouter Joris; Kint, Cyrielle Ines; Liebens, Veerle; Van den Bergh, Bram; Dewachter, Liselot; Michiels, Joran Elie; Fu, Qiang; David, Charlotte Claudia; Fierro, Ana Carolina; Marchal, Kathleen; Beirlant, Jan; Versées, Wim; Hofkens, Johan; Jansen, Maarten; Fauvart, Maarten; Michiels, Jan

2015-07-02

Within bacterial populations, a small fraction of persister cells is transiently capable of surviving exposure to lethal doses of antibiotics. As a bet-hedging strategy, persistence levels are determined both by stochastic induction and by environmental stimuli called responsive diversification. Little is known about the mechanisms that link the low frequency of persisters to environmental signals. Our results support a central role for the conserved GTPase Obg in determining persistence in Escherichia coli in response to nutrient starvation. Obg-mediated persistence requires the stringent response alarmone (p)ppGpp and proceeds through transcriptional control of the hokB-sokB type I toxin-antitoxin module. In individual cells, increased Obg levels induce HokB expression, which in turn results in a collapse of the membrane potential, leading to dormancy. Obg also controls persistence in Pseudomonas aeruginosa and thus constitutes a conserved regulator of antibiotic tolerance. Combined, our findings signify an important step toward unraveling shared genetic mechanisms underlying persistence. Copyright © 2015 Elsevier Inc. All rights reserved.

How stable 'should' epigenetic modifications be? Insights from adaptive plasticity and bet hedging.

Science.gov (United States)

Herman, Jacob J; Spencer, Hamish G; Donohue, Kathleen; Sultan, Sonia E

2014-03-01

Although there is keen interest in the potential adaptive value of epigenetic variation, it is unclear what conditions favor the stability of these variants either within or across generations. Because epigenetic modifications can be environmentally sensitive, existing theory on adaptive phenotypic plasticity provides relevant insights. Our consideration of this theory suggests that stable maintenance of environmentally induced epigenetic states over an organism's lifetime is most likely to be favored when the organism accurately responds to a single environmental change that subsequently remains constant, or when the environmental change cues an irreversible developmental transition. Stable transmission of adaptive epigenetic states from parents to offspring may be selectively favored when environments vary across generations and the parental environment predicts the offspring environment. The adaptive value of stability beyond a single generation of parent-offspring transmission likely depends on the costs of epigenetic resetting. Epigenetic stability both within and across generations will also depend on the degree and predictability of environmental variation, dispersal patterns, and the (epi)genetic architecture underlying phenotypic responses to environment. We also discuss conditions that favor stability of random epigenetic variants within the context of bet hedging. We conclude by proposing research directions to clarify the adaptive significance of epigenetic stability. © 2013 The Author(s). Evolution © 2013 The Society for the Study of Evolution.

Disruptive selection and bet-hedging in planktonic Foraminifera: Shell morphology as predictor of extinctions

Directory of Open Access Journals (Sweden)

Manuel F. G. Weinkauf

2014-10-01

Full Text Available Extinction is a remarkably difficult phenomenon to study under natural conditions. This is because the outcome of stress exposure and associated fitness reduction is not known until the extinction occurs and it remains unclear whether there is any phenotypic reaction of the exposed population that can be used to predict its fate. Here we take advantage of the fossil record, where the ecological outcome of stress exposure is known. Specifically, we analyze shell morphology of planktonic Foraminifera in sediment samples from the Mediterranean, during an interval preceding local extinctions. In two species representing different plankton habitats, we observe shifts in trait state and decrease in variance in association with non-terminal stress, indicating stabilizing selection. At terminal stress levels, immediately before extinction, we observe increased growth asymmetry and trait variance, indicating disruptive selection and bet-hedging. The pre-extinction populations of both species show a combination of trait states and trait variance distinct from all populations exposed to non-terminal levels of stress. This finding indicates that the phenotypic history of a population may allow the detection of threshold levels of stress, likely to lead to extinction. It is thus an alternative to population dynamics in studying and monitoring natural population ecology.

Insecticidal Activity of the Essential Oil Isolated from Azilia eryngioides (Pau Hedge et Lamond Against Two Beetle Pests Actividad Insecticida del Aceite Esencial Aislado de Azilia eryngioides (Pau Hedge et Lamond contra Dos Escarabajos Plaga

Directory of Open Access Journals (Sweden)

Asgar Ebadollah

2011-09-01

Full Text Available A large number of plant essential oils have been used against diverse insect pests since they, unlike conventional pesticides, present no risk to humans and the environment. This study was conducted to determine the toxicity of Azilia eryngioides (Pau Hedge et Lamond (Apiaceae essential oil against 1- to 7-d-old Sitophilus granarius (L. (Curculionidae and Tribolium castaneum (Herbst (Tenebrionidae adults. The essential oil was obtained from aerial parts of the plant using a Clevenger apparatus and analyzed by gas chromatography and mass spectrometry. The major constituents of the oil were α-Pinene and bornyl acetate. Fumigation bioassays revealed that A. eryngioides oil had a strong insecticidal activity on adult test insects that were exposed to 37.03, 74.07, 111.11, and 148.14 µL L-1 to estimate mean lethal time (LT50 values. Mortality increased as concentration and exposure time increased, and reached 100% at the 39-h exposure time and concentrations higher than 111.11 µL L-1. Another experiment was designed to determine the mean lethal concentration at the 24-h exposure time (LC50-, and these values indicated that S. granarius was more susceptible than T. castaneum. It can be concluded that the essential oil of A. eryngioides has potential against two stored-product pests, S. granarius and T. castaneum.Una gran cantidad de aceites esenciales de plantas se han utilizado como agentes de control biológico contra diversos insectos plaga, ya que no presentan riesgo para los seres humanos y el medio ambiente, a diferencia de los pesticidas convencionales. Se determinó la toxicidad del aceite esencial de Azilia eryngioides (Pau Hedge et Lamond (Apiaceae contra adultos de 1 a 7 días de edad de Sitophilus granarius (L. (Curculionidae y Tribolium castaneum (Herbst (Tenebrionidae. El aceite esencial se obtuvo de las partes aéreas de la planta utilizando un aparato de Clevenger y se analizó por cromatografía de gases por espectrometría de

Use of Solar and Wind as a Physical Hedge against Price Variability within a Generation Portfolio

Energy Technology Data Exchange (ETDEWEB)

Jenkin, T.; Diakov, V.; Drury, E.; Bush, B.; Denholm, P.; Milford, J.; Arent, D.; Margolis, R.; Byrne, R.

2013-08-01

This study provides a framework to explore the potential use and incremental value of small- to large-scale penetration of solar and wind technologies as a physical hedge against the risk and uncertainty of electricity cost on multi-year to multi-decade timescales. Earlier studies characterizing the impacts of adding renewable energy (RE) to portfolios of electricity generators often used a levelized cost of energy or simplified net cash flow approach. In this study, we expand on previous work by demonstrating the use of an 8760 hourly production cost model (PLEXOS) to analyze the incremental impact of solar and wind penetration under a wide range of penetration scenarios for a region in the Western U.S. We do not attempt to 'optimize' the portfolio in any of these cases. Rather we consider different RE penetration scenarios, that might for example result from the implementation of a Renewable Portfolio Standard (RPS) to explore the dynamics, risk mitigation characteristics and incremental value that RE might add to the system. We also compare the use of RE to alternative mechanisms, such as the use of financial or physical supply contracts to mitigate risk and uncertainty, including consideration of their effectiveness and availability over a variety of timeframes.

Bet-hedging dry-forest resilience to climate-change threats in the western USA based on historical forest structure

Directory of Open Access Journals (Sweden)

William Lawrence Baker

2015-01-01

Full Text Available Dry forests are particularly subject to wildfires, insect outbreaks, and droughts that likely will increase with climate change. Efforts to increase resilience of dry forests often focus on removing most small trees to reduce wildfire risk. However, small trees often survive other disturbances and could provide broader forest resilience, but small trees are thought to have been historically rare. We used direct records by land surveyors in the late-1800s along 22,206 km of survey lines in 1.7 million ha of dry forests in the western USA to test this idea. These systematic surveys (45,171 trees of historical forests reveal that small trees dominated (52-92% of total trees dry forests. Historical forests also included diverse tree sizes and species, which together provided resilience to several types of disturbances. Current risk to dry forests from insect outbreaks is 5.6 times the risk of higher-severity wildfires, with small trees increasing forest resilience to insect outbreaks. Removal of most small trees to reduce wildfire risk may compromise the bet-hedging resilience, provided by small trees and diverse tree sizes and species, against a broad array of unpredictable future disturbances.

Using renewables to hedge against future electricity industry uncertainties—An Australian case study

International Nuclear Information System (INIS)

Vithayasrichareon, Peerapat; Riesz, Jenny; MacGill, Iain F.

2015-01-01

A generation portfolio modelling was employed to assess the expected costs, cost risk and emissions of different generation portfolios in the Australian National Electricity Market (NEM) under highly uncertain gas prices, carbon pricing policy and electricity demand. Outcomes were modelled for 396 possible generation portfolios, each with 10,000 simulations of possible fuel and carbon prices and electricity demands. In 2030, the lowest expected cost generation portfolio includes 60% renewable energy. Increasing the renewable proportion to 75% slightly increased expected cost (by $0.2/MWh), but significantly decreased the standard deviation of cost (representing the cost risk). Increasing the renewable proportion from the present 15% to 75% by 2030 is found to decrease expected wholesale electricity costs by $17/MWh. Fossil-fuel intensive portfolios have substantial cost risk associated with high uncertainty in future gas and carbon prices. Renewables can effectively mitigate cost risk associated with gas and carbon price uncertainty. This is found to be robust to a wide range of carbon pricing assumptions. This modelling suggests that policy mechanisms to promote an increase in renewable generation towards a level of 75% by 2030 would minimise costs to consumers, and mitigate the risk of extreme electricity prices due to uncertain gas and carbon prices. - Highlights: • A generation portfolio with 75% renewables in 2030 is the most optimal in terms of cost, cost risk and emissions. • Investment in CCGT is undesirable compared to renewables given the cost risk due to gas and carbon price uncertainties. • Renewables can hedge against extreme electricity prices caused by high and uncertain carbon and gas prices. • Existing coal-fired plants still play a key role by moving into a peaking role to complement variable renewables. • Policy mechanisms to promote renewable generation are important

Mate choice for major histocompatibility complex genetic divergence as a bet-hedging strategy in the Atlantic salmon (Salmo salar)

Science.gov (United States)

Evans, Melissa L.; Dionne, Mélanie; Miller, Kristina M.; Bernatchez, Louis

2012-01-01

Major histocompatibility complex (MHC)-dependent mating preferences have been observed across vertebrate taxa and these preferences are expected to promote offspring disease resistance and ultimately, viability. However, little empirical evidence linking MHC-dependent mate choice and fitness is available, particularly in wild populations. Here, we explore the adaptive potential of previously observed patterns of MHC-dependent mate choice in a wild population of Atlantic salmon (Salmo salar) in Québec, Canada, by examining the relationship between MHC genetic variation and adult reproductive success and offspring survival over 3 years of study. While Atlantic salmon choose their mates in order to increase MHC diversity in offspring, adult reproductive success was in fact maximized between pairs exhibiting an intermediate level of MHC dissimilarity. Moreover, patterns of offspring survival between years 0+ and 1+, and 1+ and 2+ and population genetic structure at the MHC locus relative to microsatellite loci indicate that strong temporal variation in selection is likely to be operating on the MHC. We interpret MHC-dependent mate choice for diversity as a likely bet-hedging strategy that maximizes parental fitness in the face of temporally variable and unpredictable natural selection pressures. PMID:21697172

The Qualitative And Quantitative Determination Of The Phenolic Compounds In Polygonum Convolvulus L. Species, Polygonaceae Family

Directory of Open Access Journals (Sweden)

Olaru O T

2013-06-01

Full Text Available Introduction: Polygonum convolvulus L. (black bindweed, syn. Fallopia convolvulus (L. Á. Löve, Polygonaceae family is a plant from the spontaneous flora, spread from the plain zone up to the subalpine zone. The objectives of our researches are the qualitative and quantitative determination of polyphenolic compounds from Polygoni convolvuli herba and the choice of the adequate solvent for obtaining an active pharmacological extract.

Genetic evolution, plasticity, and bet-hedging as adaptive responses to temporally autocorrelated fluctuating selection: A quantitative genetic model.

Science.gov (United States)

Tufto, Jarle

2015-08-01

Adaptive responses to autocorrelated environmental fluctuations through evolution in mean reaction norm elevation and slope and an independent component of the phenotypic variance are analyzed using a quantitative genetic model. Analytic approximations expressing the mutual dependencies between all three response modes are derived and solved for the joint evolutionary outcome. Both genetic evolution in reaction norm elevation and plasticity are favored by slow temporal fluctuations, with plasticity, in the absence of microenvironmental variability, being the dominant evolutionary outcome for reasonable parameter values. For fast fluctuations, tracking of the optimal phenotype through genetic evolution and plasticity is limited. If residual fluctuations in the optimal phenotype are large and stabilizing selection is strong, selection then acts to increase the phenotypic variance (bet-hedging adaptive). Otherwise, canalizing selection occurs. If the phenotypic variance increases with plasticity through the effect of microenvironmental variability, this shifts the joint evolutionary balance away from plasticity in favor of genetic evolution. If microenvironmental deviations experienced by each individual at the time of development and selection are correlated, however, more plasticity evolves. The adaptive significance of evolutionary fluctuations in plasticity and the phenotypic variance, transient evolution, and the validity of the analytic approximations are investigated using simulations. © 2015 The Author(s). Evolution © 2015 The Society for the Study of Evolution.

Biomass availability in forests, poplar plantations and hedges for various timber uses. National assessment based on the national forest inventory data and wood consumption statistics

International Nuclear Information System (INIS)

Ginisty, Christian; Vallet, Patrick; Chevalier, Helene; COLIN, Antoine

2011-01-01

This article provides an assessment of the quantities of potentially exploitable timber in French forests, poplar plantations and hedges for the period 2007 to 2020. The first step consisted in computing the gross available quantities of timber, prior to deduction of the various current consumptions. This was done applying the reference silvicultural scenarios to all the plots in the French national forest inventory, on the basis of their features (species, structure, fertility, age, observed per hectare volume). Current consumption was then subtracted from these quantities. It was estimated using the annual sectoral 'forest exploitation' survey in industry and an estimation of fuelwood consumption by households. The outcome is an excess availability of more than 28 million cubic metres of timber per year for bio-energy or pulp uses, and nearly 15 million cubic metres of workable timber, essentially hardwoods. (authors)

"Near-term" Natural Catastrophe Risk Management and Risk Hedging in a Changing Climate

Science.gov (United States)

Michel, Gero; Tiampo, Kristy

2014-05-01

in risk-taking rather than the "downside" and the general notion that catastrophes will get worse. The focus will be on the industry's ability to hedge and optimize risk more efficiently in a changing environment.

Haies et boisements pare-congères : de la théorie à la pratique Hedges and afforestration to prevent damage from blowing snow: from theory to practice

Directory of Open Access Journals (Sweden)

Florence Naaim-Bouvet, Sylvie Monier et Sylvie Ougier

2010-09-01

Full Text Available Lorsque la neige et le vent s'associent, ils créent des congères qui vont gêner la circulation sur les routes et les chemins de montagne. Pour lutter contre ce problème, l'implantation de haies et de boisements apparait comme une solution écologique et durable. Quels sont les principes de fonctionnement ? Où et comment implanter ces haies pour constituer un barrage efficace à la neige ? Quelles essences choisir et quel entretien cela suppose-t-il ? Cet article fait le point sur les connaissances disponibles afin de répondre aux préoccupations des gestionnaires.Blowing and drifting snow can generate snowdrifts on roads and railways. This is an important issue for instance in the Massif Central (France where limited snowfalls on vast areas can locally lead to huge snow accumulations. This problem is not new and prevention measures were designed and tested as early as the end of the 19th century. However, the development of efficient snow clearing vehicles in the second half of the 20th century led to some decrease of research efforts (mostly a trial and error approach on traditional prevention measures such as afforestration and hedges. Nevertheless, the renewed interest in ecological engineering, dating from the early 90s has yielded to new research efforts on that topic, even though such measures are not effective on short term. Currently, bioengineering tallies meet the requirements of sustainable development and of long term management, accordingly. In this context, this paper aims at giving a new vision of hedges and afforestration, taken as protection measures against snowdrifting, through the eyes of a fluid mechanics researcher, a forest engineer and a territories manager. The principles of action, setting and species choice are presented through case studies with emphasis on difficulties related to land property and long and short-term maintenance.

The effect of species, planting date, and management of cover crops on weed community in hybrid sunflower (Helianthus annuus

Directory of Open Access Journals (Sweden)

M. Bolandi Amoughein

2016-02-01

Full Text Available Introduction: Studies showed that if mixed populations of annual weeds grow with the sunflower, for every 10% increase in weed biomass, seed yield would decrease by 13% (Van Gessel & Renner, 2000. In addition to control weeds using herbicides multi-stage spraying is required. In organic farming systems mulch is used to control weeds, protection, fertility and improve soil quality (Glab & Kulig, 2008; Kuchaki et al., 2001. Surface mulches from cover crops suppress weed growth by reducing light levels at the soil surface, thereby slowing photosynthesis. In return, these conditions reduce seed germination and act as a physical barrier to seedling emergence and growth (Teasdale et al., 2007. Materials and Methods: The experiment was carried out in Ardabil Agricultural Research Station, as a factorial experiment based on randomized complete block design with three replications during 1390-1391. The first factor was considered four types of cover crops including winter rye (Secale cereal, spring barley (Hordeum vulgare, winter wheat (Triticum aestivum and control (no cover crop, no weeding.The second factor was mulch management at two levels (living mulch and dead mulch and the third factor was two planting dates for cover crops (synchronous with sunflower planting and 45 days after sunflower planting. Sunflower seeding performed manually on 23 May on the ridges with 50 cm row distance and spacing between plants was 25 cm in depth of 5 cm. Cover crops seeds, rye, barley and wheat, were planted between rows of sunflower. Due to the low density of weeds in study field, complete weeding and sampling of weeds in one session was performed (60 days after planting date sunflower. Statistical analysis of data performed using SAS software and mean comparison performed using Duncan's test with probability level of 5% and 1%. Diagrams drawn using Excel (Version 8.2. Results and Discussion\t: Density and dry weight of Field bindweed (Convolvulus arvensis L

ANALISIS PERBANDINGAN PENGGUNAAN HEDGINGANTARA FORWARD CONTRACT DENGAN CURRENCY SWAP UNTUK MEMINIMASI RISIKO FOREIGN EXCHANGE

Directory of Open Access Journals (Sweden)

Ni Wayan Eka Mitariani

2013-07-01

Full Text Available This study aims is to identifying the differences between using forward contract hedging or currencyswap hedging. Paired Sample T-Test were used to answer the problems and to test the hypothesis. The findings showthat without paying attention to the time value of money, currency swap hedging generated higher income value than forward contract hedging, whereas by paying attention to the time value of money, forwardcontracthedging generated higher income value than currency swap hedging. Significant differences were foundas far as the use of forward contract hedging and currency swap hedging are concerned, both by paying or noattention to the time value of money.

High energy density physics studies at the facility for antiprotons and ion research: the HEDgeHOB collaboration

International Nuclear Information System (INIS)

Tahir, N.A.; Stoehlker, T.; Geissel, H.; Shutov, A.; Lomonosov, I.V.; Fortov, V.E.; Piriz, A.R.; Redmer, R.; Deutsch, C.

2011-01-01

The forthcoming Facility for Antiprotons and Ion Research (FAIR) at Darmstadt, is going to be a unique accelerator facility that will deliver high quality, strongly bunched, well focused, intense beams of heavy ions that will lead to unprecedented specific power deposition in solid matter. This will generate macroscopic samples of High Energy Density (HED) matter with fairly uniform physical conditions. These samples can be used to study the thermophysical and transport properties of HED matter. Extensive theoretical work has been carried out over the past decade to design numerous dedicated experiments to study HED physics at the FAIR, which has provided the basis for the HEDgeHOB (High Energy Density Matter Generated by Heavy Ion Beams) scientific proposal. This work is still in progress as the feasibility studies for more experimental schemes are being carried out. Another, very important research area that will benefit tremendously from the FAIR facility, is the production of radioactive beams. A superconducting fragment separator, Super-FRS is being designed for the production and separation of rare radioactive isotopes. Unlike the HED targets, the Super-FRS production target should not be destroyed or damaged by the beam, but should remain intact during the long experimental campaign. However, the high level of specific power deposited in the production target by the high intensity ion beam at FAIR, could cause serious problems to the target survival. These HED issues related to the Super-FRS production target are also discussed in the present paper (copyright 2011 WILEY-VCH Verlag GmbH and Co. KGaA, Weinheim) (orig.)

Aspectos a considerar en los calculos de efectividad de una cobertura de valor razonable en donde el swap de tasa de interes intercambia una tasa flotante por otra tasa flotante

Directory of Open Access Journals (Sweden)

Miguel A. Garcia

2009-07-01

Full Text Available This article analyzes the hedge accounting of fair value hedge on a variable-tovariable swap. Following the effectiveness valuation procedure established in Bulletin C-10 “Derivative Financial Instruments and Hedge Activities” under Mexican GAAP will generate distorted effectiveness outcome even though the critical terms between the hedge item and the hedging instrument are the same in all aspects. To show this effect we present a hypothetic example for a fair value hedge relationship LIBOR-TIIE. Our conclusion is that this distortion is due to a valuation effect known as “pull to par” especially when the coupon reset dates of the hedge item and the hedging instrument does not match with the valuation date. Finally, it propones alternative ways to book this kind of transactions that eliminate the temporal distortion that this pull to par effect generates.

Combining 137Cs and topographic surveys for measuring soil erosion/deposition patterns in a rapidly accreting area

International Nuclear Information System (INIS)

Ritchie, J.C.

2000-01-01

Narrow, stiff grass hedges are biological barriers designed to slow runoff and capture soils carried in runoff water. This study was designed to measure quantitatively the deposition of soil up slope of a narrow, stiff grass hedge using topographic and 137 Cs surveys. Topographic surveys made in 1991, 1995, and 1998 measured 1 to 2 cm yr -1 of recent sediment deposited up slope of the grass hedge. 137 Cs analyses of soil samples were used to determine the medium-term (45 years) soil redistribution patterns. Erosion rates and patterns determined using 137 Cs measured medium-term erosion near the hedge do not reflect the recent deposition patterns near the grass hedge measured by topographic surveys. Using the combination of topographic and 137 Cs surveys allows a better understanding of the role of grass hedges as barriers for capturing eroding soils and suggest that the recent deposition is associated with the grass hedge but that there is still a net loss of soil near the hedge position over the past 45 years. (author)

Developing of risk-hedging CO2-emission policy. Part II: risks associated with measures to limit emissions, synthesis and conclusions

International Nuclear Information System (INIS)

Harvey, L.D.D.

1996-01-01

This paper is Part II of a two-part series in which the risk associated with unrestrained greenhouse-gas emissions, and with measures to limit emissions, are reviewed. The following risks associated with these efforts to limit CO 2 emissions are reviewed here: (1) resources might be diverted from other urgent needs; (2) economic growth might be reduced; (3) reduction measures might cost more than expected; (4) early action might cost more than later action; (5) reduction measures might have undesired side effects; (6) reduction measures might require heavy-handed government intervention; and (7) reduction measures might not work. With gradual implementation of a diversified portfolio of measures, these risks can be greatly reduced. Based on the review of risks associated with measures to limit emissions here, and the review of the risk associated with unrestrained emissions presented in Part I, it is concluded that a reasonable near-term (20-30 year) risk hedging strategy is one which seeks to stabilize global fossil CO 2 emissions at the present (early 1990s) level. This is turn implies an emission reduction of 26% for industrialized countries as a whole and 40-50% for Canada and the USA if developing country emissions are to increase by no more than 60%, which in itself would require major assistance from the industrialized countries. The framework and conclusions presented here are critically compared with so-called optimization frameworks. 82 refs., 2 figs., 2 tabs

Operações de hedge com instrumentos derivativos e sua associação à redução da volatilidade dos resultados e à criação de valor: um estudo aplicado às empresas brasileiras não-financeiras

OpenAIRE

Savegnago, Rogério de Paiva

2017-01-01

Este trabalho teve como motivação principal averiguar se a utilização de operações com derivativos para fins de hedge estaria associada à redução da volatilidade dos resultados e à criação de valor nas companhias não-financeiras brasileiras. Para isso, foram pesquisadas 223 empresas não-financeiras listadas na BM&FBovespa, representando 96,5% do valor total de mercado das não-financeiras e 85,8% da quantidade dessas empresas listadas na bolsa, relativamente ao ano de 2015, no qual uma profund...

WEED SURVEYING OF PHACELIA (PHACELIA TANACETIFOLIA L.) AND EVALUATING THE EFFICIENCY OF THE WEED CONTROL.

Science.gov (United States)

Horváth, E; Szabó, R

2014-01-01

The experiment was set up in an area of 9 ha that was split into 4 plots: in plot 1 the row spacing was 12 cm and the seeding rate was 10 kg; in plot 2 the row spacing was 24 cm and the seeding rate was 10 kg; in plot 3 the row spacing was 24 cm and the seeding rate was 8 kg; in plot 4 the row spacing was 12 cm and the seeding rate was 8 kg. After the weed surveying, the total weed coverage was established as follows: in plot 1 the total weed coverage was 11.34%, in plot 2 it was 12.3%, in plot 3 it was 18%, and in plot 4 the total weed coverage was 15%. Based on the weed survey, on the test area the following dicotyledon weeds belonging to the T4 Raunkiaer plant life-form category occupied the highest percentage: heal-all, black-bindweed, goosefoot. The proportion of the perennial dicotyledons: field bindweed (G3), tuberous pea (G1), white campion (H3) was negligible. In all four cases the weed control was executed using the same herbicide in the same doses and with regard to the weed species it showed the same level of efficiency. The smaller row spacing and higher seeding rate has a beneficial effect on the weed suppressing capacity of the crop, the crop's weed suppressing capacity is better and the development of the weeds becomes worse.

Quantal bookkeeping of samples and locality

International Nuclear Information System (INIS)

Groenewold, H.J.

1983-01-01

The skeptical pruned ensemble interpretation of quantal measurements is described in the conventional representation and in an equivalent hedge-hog representation. (A symmetric hedge-hog is displayed by a spiny array of Hilbert projectors.) A fundamental problem of any individual interpretation is the distinction in the formalism of individual samples and their mutual independence. In the formal hedge-hog bookkeeping an auxiliary hedge-hog hypothesis is proposed, which associates separate real samples of quantal ensembles with separate fictions hedge-hogs. In accordance with its private unobservable hedge-hog each sample has so to speak to every potential observable question its own definite potential answer in store. The statistical distribution of the answers of the various samples to all questions is represented by the ensemble operator, which can only be attributed to the entire ensemble as a whole. Observable answers can be obtained from an individual real sample only one at a time. In this fictitous finer grained model the hedge-hogs metaphorically represent a kind of individual memory of the corresponding samples. The principle of mutual kinematical and dynamical independence of samples as well as the principle of locality in retarded correlation is satisfied. This has to be paid for by indefinite statistics of the hedge-hog distribution in the ensemble. Even if the hedge-hog model is afterwards thrown away as an untestable fake, the logical compatibility of these two fundamental principles (whatever their significance may be) with standard quantum mechanics holds firm. The physical compatibility remains an open question. (orig.)

Accounting for Fair Value Headging

OpenAIRE

Botea Elena Mihaela; Stanila Oana Georgiana; SSahlian Daniela Nicoleta

2010-01-01

The derivatives appearance was generated by the discovery of new ways to limit and manage current activity risks. Derivatives couldn’t hedge any type of risk. Derivative operations can be used to hedge: interest rate risks, foreign currency exchange rate risks, credit risks. Derivatives used to hedge these risks can be handled to cover fair value exposure, cash flow exposure and exposure to changes in the value of a net investment in a foreign operation. The hedging accounting roll is to prot...

Identifying the best market to sell: A cost function formulation

Indian Academy of Sciences (India)

1TCS Innovation Labs, Tata Consultancy Services, Yantra Park, Thane (West), ... the ineffective growth of commodity futures market in India. ... They show, theoretically, using the concepts of strong correlation, that the farmer's opti- ... over-hedging, full-hedging, or under-hedging strategies, depending on whether the two ...

78 FR 18382 - Self-Regulatory Organizations; The Options Clearing Corporation; Notice of Filing of Proposed...

Science.gov (United States)

2013-03-26

... Stock Loan/Hedge Program in a manner that protects the clearing system against risk through the same or... the By- Laws To Facilitate the Use of the Stock Loan/Hedge Program by Canadian Clearing Members March... the Stock Loan/Hedge Program by Canadian Clearing Members. II. Self-Regulatory Organization's...

77 FR 23 - Prohibitions and Restrictions on Proprietary Trading and Certain Interests in, and Relationships...

Science.gov (United States)

2012-01-03

... Relationships With, Hedge Funds and Private Equity Funds AGENCIES: Office of the Comptroller of the Currency... relationships with, a hedge fund or private equity fund (``proposed rule''). Due to the complexity of the issues... in proprietary trading and have certain interests in, or relationships with, a hedge fund or private...

Price Risk and Risk Management in Agriculture

Directory of Open Access Journals (Sweden)

Udo Broll

2013-06-01

Full Text Available This note studies the risk-management decisions of a risk-averse farmer. The farmer faces multiple sources of price uncertainty. He sells commodities to two markets at two prices, but only one of these markets has a futures market. We show that the farmer’s optimal commodity futures market position, i.e., a cross-hedge strategy, is actually an over-hedge, a full-hedge, or an under-hedge strategy, depending on whether the two prices are strongly positively correlated, uncorrelated, or negatively correlated, respectively.

78 FR 56764 - Self-Regulatory Organizations; NYSE Arca, Inc.; Notice of Filing and Immediate Effectiveness of...

Science.gov (United States)

2013-09-13

...Shares QAM Equity Hedge ETF September 9, 2013. Pursuant to Section 19(b)(1) \\1\\ of the Securities...Shares QAM Equity Hedge ETF (``Fund''). The Fund is currently listed and traded on the Exchange under... listing and trading on the Exchange of shares (``Shares'') of the AdvisorShares QAM Equity Hedge ETF, a...

The Importance of Linear Landscape Elements for Bats in a Farmland Area: The Influence of Height on Activity

Directory of Open Access Journals (Sweden)

Toffoli Roberto

2016-01-01

Full Text Available In the past 50 years, widespread removal of hedges and hedgerows in many European regions, with a consequent reduction in biodiversity, has occurred as a result of farming intensification. Acknowledging the ecological importance of linear farmland landscape elements, many agro-environmental schemes provide financial support for the management, conservation and reconstruction of hedges and hedgerows. The efficacy of such initiatives, also aimed at bat conservation, could be enhanced by including the role of hedges and hedgerows correlated to the variability of their physical structure and to the surrounding landscape context. Linear landscape elements are in fact of great importance to bats, whose flight activity tends to increase in proximity to hedges and hedgerows, used both during foraging and as commuting routes. Nevertheless, information concerning the correlation between various physical structures of hedges and flight and foraging techniques in bats is still lacking. The present study analyses the activity of bats along two different hedge types, with and without trees, and in open spaces, in an area of the Padana plane (North-western Italy as a function of different flight behaviours.

Hedging customers.

Science.gov (United States)

Dhar, Ravi; Glazer, Rashi

2003-05-01

You are a marketing director with $5 million to invest in customer acquisition and retention. Which customers do you acquire, and which do you retain? Up to a point, the choice is obvious: Keep the consistent big spenders and lose the erratic small ones. But what about the erratic big spenders and the consistent small ones? It's often unclear whether you should acquire or retain them and at what cost. Businesses have begun dealing with unpredictable customer behavior by following the practices of sophisticated investors who own portfolios comprising dozens of stocks with different, indeed divergent, histories and prospects. Each portfolio is diversified so as to produce the investor's desired returns at the particular level of uncertainty he or she can tolerate. Customers, too, are assets--risky assets. As with stocks, the cost of acquiring them is supposed to reflect the cash-flow values they are likely to generate. The authors explain how to construct a portfolio based on the notion that a customer's risk-adjusted lifetime value depends on its anticipated effect on the riskiness of the group it is joining. They also show how this approach was used to identify the best prospects for Myron Corporation, a global leader in the personalized business-gift industry. The concept of risk-adjusted lifetime value has a transforming power: For companies that rely on it, product managers will be replaced by customer managers, and the current method of accounting for profit and loss--which is by product--will be replaced by one that determines each customer's P&L. Once adjusted for risk, those P&Ls will become the firm's key performance and operational metric.

A Note on the Fundamental Theorem of Asset Pricing under Model Uncertainty

Directory of Open Access Journals (Sweden)

Erhan Bayraktar

2014-10-01

Full Text Available We show that the recent results on the Fundamental Theorem of Asset Pricing and the super-hedging theorem in the context of model uncertainty can be extended to the case in which the options available for static hedging (hedging options are quoted with bid-ask spreads. In this set-up, we need to work with the notion of robust no-arbitrage which turns out to be equivalent to no-arbitrage under the additional assumption that hedging options with non-zero spread are non-redundant. A key result is the closedness of the set of attainable claims, which requires a new proof in our setting.

A further inquiry into FTR properties

International Nuclear Information System (INIS)

Benjamin, Richard

2010-01-01

William Hogan introduced financial transmission rights as a tool to hedge the locational risk inherent in locational marginal prices. FTRs are claimed to serve four main purposes: (1) provide a hedge for nodal price differences, (2) provide revenue sufficiency for contracts for differences, (3) distribute the merchandizing surplus an RTO accrues in market operations, and (4) provide a price signal for transmission and generation developers. This paper examines the hedging and redistributional properties of FTRs. It argues that FTR allocation has important distributional impacts and related implications for retail rates. This observation adds an additional explanation for rate increases in light of decreased production costs due to restructuring. This paper also shows that RTO practices have important implications for the hedging characteristics of FTRs. It further shows, via counterexample, that, even in theory, FTRs may not serve as a perfect hedge against congestion charges. The paper concludes with a series of recommendations for FTR allocation and the functions that FTRs should serve. (author)

The U.S. Financial Crisis: The Global Dimension With Implications for U.S. Policy

Science.gov (United States)

2008-11-18

crises from occurring. Much of this involves the technicalities of regulation and oversight of financial markets, derivatives, and hedging activity...buying CDSs that paid in case of default. As the risk of defaults rose, the cost of the CDS protection rose. Investors, therefore, could arbitrage ...was hedged rather than backed by sufficient capital to pay claims in case of default. Under a systemic crisis, hedges also may fail. However

Correlation risk and optimal portfolio choice

OpenAIRE

Buraschi, Andrea; Porchia, Paolo; Trojani, Fabio

2010-01-01

We develop a new framework for multivariate intertemporal portfolio choice that allows us to derive optimal portfolio implications for economies in which the degree of correlation across industries, countries, or asset classes is stochastic. Optimal portfolios include distinct hedging components against both stochastic volatility and correlation risk. We find that the hedging demand is typically larger than in univariate models, and it includes an economically significant covariance hedging...

Impact of vector dispersal and host-plant fidelity on the dissemination of an emerging plant pathogen.

Directory of Open Access Journals (Sweden)

Jes Johannesen

Full Text Available Dissemination of vector-transmitted pathogens depend on the survival and dispersal of the vector and the vector's ability to transmit the pathogen, while the host range of vector and pathogen determine the breath of transmission possibilities. In this study, we address how the interaction between dispersal and plant fidelities of a pathogen (stolbur phytoplasma tuf-a and its vector (Hyalesthes obsoletus: Cixiidae affect the emergence of the pathogen. Using genetic markers, we analysed the geographic origin and range expansion of both organisms in Western Europe and, specifically, whether the pathogen's dissemination in the northern range is caused by resident vectors widening their host-plant use from field bindweed to stinging nettle, and subsequent host specialisation. We found evidence for common origins of pathogen and vector south of the European Alps. Genetic patterns in vector populations show signals of secondary range expansion in Western Europe leading to dissemination of tuf-a pathogens, which might be newly acquired and of hybrid origin. Hence, the emergence of stolbur tuf-a in the northern range was explained by secondary immigration of vectors carrying stinging nettle-specialised tuf-a, not by widening the host-plant spectrum of resident vectors with pathogen transmission from field bindweed to stinging nettle nor by primary co-migration from the resident vector's historical area of origin. The introduction of tuf-a to stinging nettle in the northern range was therefore independent of vector's host-plant specialisation but the rapid pathogen dissemination depended on the vector's host shift, whereas the general dissemination elsewhere was linked to plant specialisation of the pathogen but not of the vector.

The Dark Side of Alternative Asset Markets: Networks, Performance and Risk Taking

OpenAIRE

Baden-Fuller, C.; Ferriani, S.; Mengoli, S.; Torlo, V. J.

2011-01-01

When actors invest in making strong network ties (relationships) with other actors, such ties can potentially influence behavior and subsequent financial performance, but the strength and direction of these effects is debated. Using original fine-grained data that documents the nature and extent of the relationships between Hedge Funds through their Prime Brokers (banks that provide leverage, issue credit lines and serve as bridges between Hedge Funds) we probe the social topology of Hedge Fu...

Portfolio insurance using traded options

OpenAIRE

Machado-Santos, Carlos

2001-01-01

Literature concerning the institutional use of options indicates that the main purpose of option trading is to provide investors with the opportunity to create return distributions previously unavailable, considering that options provide the means to manipulate portfolio returns. In such a context, this study intends to analyse the returns of insured portfolios generated by hedging strategies on underlying stock portfolios. Because dynamic hedging is too expensive, we have hedged the stock po...

Avastamata rikkused ja riskid alternatiivfondis / Virge Lahe

Index Scriptorium Estoniae

Lahe, Virge

2008-01-01

Raha investeerimise üheks võimaluseks on selle paigutamine alternatiivsetesse fondidesse. Üheks nendest on nn. riskikapitalifond ehk hedge-fond. Vt. samas: Hedge-fondid sobivad teadlikule; Gild Arbitage - Eestis registreeritud riskikapitalifond

An equilibrium pricing model for weather derivatives in a multi-commodity setting

International Nuclear Information System (INIS)

Lee, Yongheon; Oren, Shmuel S.

2009-01-01

Many industries are exposed to weather risk. Weather derivatives can play a key role in hedging and diversifying such risk because the uncertainty in a company's profit function can be correlated to weather condition which affects diverse industry sectors differently. Unfortunately the weather derivatives market is a classical example of an incomplete market that is not amenable to standard methodologies used for derivative pricing in complete markets. In this paper, we develop an equilibrium pricing model for weather derivatives in a multi-commodity setting. The model is constructed in the context of a stylized economy where agents optimize their hedging portfolios which include weather derivatives that are issued in a fixed quantity by a financial underwriter. The supply and demand resulting from hedging activities and the supply by the underwriter are combined in an equilibrium pricing model under the assumption that all agents maximize some risk averse utility function. We analyze the gains due to the inclusion of weather derivatives in hedging portfolios and examine the components of that gain attributable to hedging and to risk sharing. (author)

Corporate derivatives use and firm value: Evidence from Turkey

Directory of Open Access Journals (Sweden)

Yusuf Ayturk

2016-06-01

Full Text Available This paper examines use of financial derivatives (currency, interest rate and commodity and its effect on firm value of non-financial Turkish firms for period of 2007–2013. Only 36.41% of companies in our sample use derivatives to hedge their currency, interest rate or commodity price risks. We have used Tobin's Q ratio analysis with panel data models, Fama-French three-factor time-series analysis and single sector analysis to investigate whether corporate derivatives use is value relevant or not. Except Tobin's Q ratio analysis with system GMM estimators, we cannot find significant hedging premium or discount for all Turkish non-financial firms. We find a positive relationship between derivatives use and firm value, only when we use Tobin's Q ratio analysis with system GMM estimators. We also test the effects of currency hedging, interest rate hedging and commodity price hedging separately and find similar results as in the case of general derivatives use. Overall, majority of our results imply that use of financial derivatives does not affect firm value in Turkish market.

Random matrix theory and fund of funds portfolio optimisation

Science.gov (United States)

Conlon, T.; Ruskin, H. J.; Crane, M.

2007-08-01

The proprietary nature of Hedge Fund investing means that it is common practise for managers to release minimal information about their returns. The construction of a fund of hedge funds portfolio requires a correlation matrix which often has to be estimated using a relatively small sample of monthly returns data which induces noise. In this paper, random matrix theory (RMT) is applied to a cross-correlation matrix C, constructed using hedge fund returns data. The analysis reveals a number of eigenvalues that deviate from the spectrum suggested by RMT. The components of the deviating eigenvectors are found to correspond to distinct groups of strategies that are applied by hedge fund managers. The inverse participation ratio is used to quantify the number of components that participate in each eigenvector. Finally, the correlation matrix is cleaned by separating the noisy part from the non-noisy part of C. This technique is found to greatly reduce the difference between the predicted and realised risk of a portfolio, leading to an improved risk profile for a fund of hedge funds.

Using GAMM to examine inter-individual heterogeneity in thermal performance curves for Natrix natrix indicates bet hedging strategy by mothers.

Science.gov (United States)

Vickers, Mathew J; Aubret, Fabien; Coulon, Aurélie

2017-01-01

observation is reminiscent of bet-hedging strategies, and implies the possibility for intra-clutch variability in the TPCs to buffer N. natrix against unpredictable environmental variability. Copyright © 2016 Elsevier Ltd. All rights reserved.

Mindfulness-Based Interventions for People Diagnosed with a Current Episode of an Anxiety or Depressive Disorder: A Meta-Analysis of Randomised Controlled Trials

Science.gov (United States)

Strauss, Clara; Cavanagh, Kate; Oliver, Annie; Pettman, Danelle

2014-01-01

Objective Mindfulness-based interventions (MBIs) can reduce risk of depressive relapse for people with a history of recurrent depression who are currently well. However, the cognitive, affective and motivational features of depression and anxiety might render MBIs ineffective for people experiencing current symptoms. This paper presents a meta-analysis of randomised controlled trials (RCTs) of MBIs where participants met diagnostic criteria for a current episode of an anxiety or depressive disorder. Method Post-intervention between-group Hedges g effect sizes were calculated using a random effects model. Moderator analyses of primary diagnosis, intervention type and control condition were conducted and publication bias was assessed. Results Twelve studies met inclusion criteria (n = 578). There were significant post-intervention between-group benefits of MBIs relative to control conditions on primary symptom severity (Hedges g = −0.59, 95% CI = −0.12 to −1.06). Effects were demonstrated for depressive symptom severity (Hedges g = −0.73, 95% CI = −0.09 to −1.36), but not for anxiety symptom severity (Hedges g = −0.55, 95% CI = 0.09 to −1.18), for RCTs with an inactive control (Hedges g = −1.03, 95% CI = −0.40 to −1.66), but not where there was an active control (Hedges g = 0.03, 95% CI = 0.54 to −0.48) and effects were found for MBCT (Hedges g = −0.39, 95% CI = −0.15 to −0.63) but not for MBSR (Hedges g = −0.75, 95% CI = 0.31 to −1.81). Conclusions This is the first meta-analysis of RCTs of MBIs where all studies included only participants who were diagnosed with a current episode of a depressive or anxiety disorder. Effects of MBIs on primary symptom severity were found for people with a current depressive disorder and it is recommended that MBIs might be considered as an intervention for this population. PMID:24763812

Mindfulness-based interventions for people diagnosed with a current episode of an anxiety or depressive disorder: a meta-analysis of randomised controlled trials.

Directory of Open Access Journals (Sweden)

Clara Strauss

Full Text Available OBJECTIVE: Mindfulness-based interventions (MBIs can reduce risk of depressive relapse for people with a history of recurrent depression who are currently well. However, the cognitive, affective and motivational features of depression and anxiety might render MBIs ineffective for people experiencing current symptoms. This paper presents a meta-analysis of randomised controlled trials (RCTs of MBIs where participants met diagnostic criteria for a current episode of an anxiety or depressive disorder. METHOD: Post-intervention between-group Hedges g effect sizes were calculated using a random effects model. Moderator analyses of primary diagnosis, intervention type and control condition were conducted and publication bias was assessed. RESULTS: Twelve studies met inclusion criteria (n = 578. There were significant post-intervention between-group benefits of MBIs relative to control conditions on primary symptom severity (Hedges g = -0.59, 95% CI = -0.12 to -1.06. Effects were demonstrated for depressive symptom severity (Hedges g = -0.73, 95% CI = -0.09 to -1.36, but not for anxiety symptom severity (Hedges g = -0.55, 95% CI = 0.09 to -1.18, for RCTs with an inactive control (Hedges g = -1.03, 95% CI = -0.40 to -1.66, but not where there was an active control (Hedges g = 0.03, 95% CI = 0.54 to -0.48 and effects were found for MBCT (Hedges g = -0.39, 95% CI = -0.15 to -0.63 but not for MBSR (Hedges g = -0.75, 95% CI = 0.31 to -1.81. CONCLUSIONS: This is the first meta-analysis of RCTs of MBIs where all studies included only participants who were diagnosed with a current episode of a depressive or anxiety disorder. Effects of MBIs on primary symptom severity were found for people with a current depressive disorder and it is recommended that MBIs might be considered as an intervention for this population.

Virtual machine migration in an over-committed cloud

KAUST Repository

Zhang, Xiangliang; Shae, Zon Yin; Zheng, Shuai; Jamjoom, Hani T.

2012-01-01

investments. In principle, over-committing resources hedges that users - on average - only need a small portion of their leased resources. When such hedge fails (i.e., resource demand far exceeds available physical capacity), providers must mitigate

Couverture dynamique optimale du risque de change de long terme pour une entreprise

OpenAIRE

Wojakowski, Rafal

1997-01-01

Chapter 1 : Optimal dynamic level risk hedging for a corporation. An optimal hedging of the exchange rate risk for a firm is considered. The concept of the long term exchange rate risk is defined by opposition to the classic exchange rate risk. The optimal hedge of the intertemporal long term exchange rate risk is derived by the method of stochastic optimal control, in a model where the exchange rate follows a Gaussian process with return to the level of parity. It is demonstrated that such a...

Economic analysis of U.S. ethanol expansion issues

Science.gov (United States)

Chaudhuri, Malika

The dependency of the U.S. economy on crude oil imported from politically unstable countries, escalating energy demand world wide, growing nationwide environmental consciousness, and the Renewable Fuels Standards (RFS) government mandates are some of the primary factors that have provided a favorable environment for the growth and development of the U.S. ethanol industry. The first essay derives decision rules for a discrete-time dynamic hedging model in a multiple commodity framework under expected utility maximization and basis risk. It compares hedging performance of three types of hedging models, namely constant hedging, time-varying static hedging model and the new dynamic hedging rule derived in this study. Findings show that natural gas futures contracts were effective instruments for hedging ethanol spot price risk before March, 2005, when ethanol futures trading was initiated on the CBOT. However, post-March, 2005, corn and ethanol futures contracts proved to be efficient hedging instruments. Results also indicate that ethanol producers may effectively decrease variance of cumulative cash flows by hedging using ethanol, natural gas and corn futures prices using the traditional techniques. The study concludes that using the new dynamic hedge model in a three period and two commodity set up, producers can effectively reduce variance of cumulative cash flow by 13.2% as compared to the 'no hedge' scenario. In my second essay, I use choice based, conjoint analysis methods to estimate consumers' willingness to pay (WTP) for alternative transportation fuels in the U.S. In this study, I consider unleaded gasoline and ethanol, which may be derived from corn or three different sources of cellulosic biomass as alternative transportation fuels. Results suggest that age and household income are some of the socioeconomic variables that significantly influence consumer's choice behavior. Results indicate considerable consumer preference heterogeneity. Welfare effects are

Spatially heterogeneous stochasticity and the adaptive diversification of dormancy.

Science.gov (United States)

Rajon, E; Venner, S; Menu, F

2009-10-01

Diversified bet-hedging, a strategy that leads several individuals with the same genotype to express distinct phenotypes in a given generation, is now well established as a common evolutionary response to environmental stochasticity. Life-history traits defined as diversified bet-hedging (e.g. germination or diapause strategies) display marked differences between populations in spatial proximity. In order to find out whether such differences can be explained by local adaptations to spatially heterogeneous environmental stochasticity, we explored the evolution of bet-hedging dormancy strategies in a metapopulation using a two-patch model with patch differences in stochastic juvenile survival. We found that spatial differences in the level of environmental stochasticity, restricted dispersal, increased fragmentation and intermediate survival during dormancy all favour the adaptive diversification of bet-hedging dormancy strategies. Density dependency also plays a major role in the diversification of dormancy strategies because: (i) it may interact locally with environmental stochasticity and amplify its effects; however, (ii) it can also generate chaotic population dynamics that may impede diversification. Our work proposes new hypotheses to explain the spatial patterns of bet-hedging strategies that we hope will encourage new empirical studies of this topic.

Exchange Rate Exposure Management: The Benchmarking Process of Industrial Companies

DEFF Research Database (Denmark)

Aabo, Tom

. The conducted interviews show that empirical reasons behind actual hedging strategies vary considerably - some in accordance with mainstream finance theory, some resting on asymmetric information. The diversity of attitudes seems to be partly a result of different competitive environments, partly a result...... of practices and strategies that have been established in each company fairly independently over time. The paper argues that hedge benchmarks are useful in their creation process (by forcing a comprehensive analysis) as well as in their final status (by the establishment of a consistent hedging strategy......Based on a cross-case study of Danish industrial companies the paper analyzes the benchmarking of the optimal hedging strategy. A stock market approach is pursued but a serious question mark is put on the validity of the obtained information seen from a corporate value-adding point of view...

Cash Flows versus Accounting Earnings in Managing Exchange Rate Exposures: An Empirical Study of Non-Financial Companies

DEFF Research Database (Denmark)

Aabo, Tom

Financial theory argues that companies should manage cash flows and not accounting earnings when they hedge exchange rate exposures. Still, empirical evidence shows that a number of companies choose to manage accounting earnings. This empirical study of Danish, non-financial companies finds (1......) that when hedging the majority of companies expect to add value to their company by avoiding financial distress (reduce down side risk), (2) that when hedging managing cash flows versus managing accounting earnings as a first priority splits the companies in two, (3) a lack of difference (except...... for profitability) in company characteristics between the group of companies that manage cash flows versus the group of companies that manage accounting earnings as a first priority. The decision in real business on whether to manage cash flows or accounting earnings when hedging exchange rate exposures seems...

Cross-commodity hedges

International Nuclear Information System (INIS)

Simard, T.

1999-01-01

Energy risk management is the principal topic of this paper. Four major subjects are examined: cross-commodity trading objectives (reduce the risk of an underlying exposure in another commodity); portfolio risk reduction (an Alberta power distributor exposed to high pool prices could protect against high pool prices through a fixed price purchase of Alberta natural gas); tailoring pricing to customer needs (sell power to the gas producer indexed to the price of gas); and (4) reducing insurance costs (rather than purchasing downside protection (puts) individually against oil and gas prices, a producer could purchase a basket option). Since the key issue in cross-commodity transactions is the estimation of correlation, it is important to be prepared to alter correlation assumptions. 1 tab., 2 figs

The German Humpback

DEFF Research Database (Denmark)

Aabo, Tom; Ploeen, Rasmus

2014-01-01

Previous studies find a monotonic positive relationship between a firm’s internationalization and its foreign exchange hedging. We argue that high levels of internationalization can reduce the need for foreign exchange hedging through diversification (e.g. sales to several markets) and operationa...

Earnings quality measures and excess returns: A case study of Tehran Stock Exchange

Directory of Open Access Journals (Sweden)

Hassan Hemmati

2013-04-01

Full Text Available This paper presents an empirical investigation to study the relationship between earning quality measure and excess returns on selected firms trading on Tehran Stock Exchange. The purpose of this study is to find the relative advantage of income figures reported in formal financial statements. The study uses hedge return, six accounting ratios and three market ratios and performs the study over the period of 2001-2011 using 56 firms whose shares were traded on Tehran Stock Exchange. The proposed study uses regression analysis as well as structural equation modeling. The results of this study indicate that market based figures are more influencing than accounting based ratios on hedge return. In other words, hedge return for persistency index was more predictable than smoothness and abnormal accruals. However, on the contrary to what we expected, hedge return for accruals was not more than other accounting based figures.

Cryopreservation as a tool for the conservation of Eucalyptus ...

African Journals Online (AJOL)

Current methods for this purpose include conservation stands, clonal hedges and maintenance of cuttings in greenhouses and hydroponic systems. However, these methods, especially the maintenance of conservation stands and clonal hedges, require large tracts of land, which are now unavailable. The latter methods ...

Quantitative investment strategies and portfolio management

NARCIS (Netherlands)

Guo, J.

2012-01-01

This book contains three essays on alternative investments and portfolio management. Taking from a portfolio investor’s perspective, the first essay analyzes the portfolio implication of investing in hedge funds when there is a hedge fund lockup period. The second essay studies the investment

Recent development in U.S. reporting

International Nuclear Information System (INIS)

Crossley, R.D.

1998-01-01

The issue of reporting requirements imposed on U.S. public enterprises, including the oil and gas industry, was discussed. The presentation focused on recent developments in reporting requirements in U.S. GAAP (derivatives, fair-value hedge-accounting, cash flow hedges-accounting, foreign currency hedges-accounting), pension and OPEB disclosures, segment disclosures, SEC initiatives such as earnings management, Y2K update, and SFAS 69. With respect to SFAS 69, U. S. regulations require specific disclosures with respect to movement in proved reserves, capitalized cost, and results of operations for oil and gas. Canadian disclosure laws do not have these provisions

E-Commerce and Exchange Rate Exposure Management

DEFF Research Database (Denmark)

Aabo, Tom

2001-01-01

The aim of this paper is to address the impact of E-commerce on the balance between real hedging and financial hedging in the context of exchange rate exposure management in non-financial companies. A cross-case study of industrial companies highlights the inadequacy in taking a partial and static...... financial approach when managing exchange rate exposures. The paper argues that the emergence of E-commerce - by reducing the cost of obtaining, analyzing and allocating information - affects the dynamics of the markets and the dynamics of the company in such a way that a general tilt towards real hedging...

Designing and assessing weather-based financial hedging contracts to mitigate water conflicts at the river basin scale. A case study in the Italian Alps

Science.gov (United States)

Bellagamba, Laura; Denaro, Simona; Kern, Jordan; Giuliani, Matteo; Castelletti, Andrea; Characklis, Gregory

2016-04-01

Growing water demands and more frequent and severe droughts are increasingly challenging water management in many regions worldwide, exacerbating water disputes and reducing the space for negotiated agreements at the catchment scale. In the lack of a centralized controller, the design and deployment of coordination and/or regulatory mechanisms is a way to improve system-wide efficiency while preserving the distributed nature of the decision making setting, and facilitating cooperation among institutionally independent decision-makers. Recent years have witnessed an increased interest in index-based insurance contracts as mechanisms for sharing hydro-meteorological risk in complex and heterogeneous decision making context (e.g. multiple stakeholders and institutionally independent decision makers). In this study, we explore the potential for index-based insurance contracts to mitigate the conflict in a water system characterized by (political) power asymmetry between hydropower companies upstream and farmers downstream. The Lake Como basin in the Italian Alps is considered as a case study. We generated alternative regulatory mechanisms in the form of minimum release constraints to the hydropower facilities, and designed an insurance contract for hedging against hydropower relative revenue losses. The fundamental step in designing this type of insurance contracts is the identification of a suitable index, which triggers the payouts as well as the payout function, defined by strike level and slope (e.g., euros/index unit). A portfolio of index-based contracts was designed for the case study and evaluated in terms of revenue floor, basis risk and revenue fluctuation around the mean, both with and without insurance. Over the long term, the insurance proved to be capable to keep the minimum revenue above a specified level while providing a greater certainty on the revenue trend. This result shows the possibility to augment farmer's supply with little loss for hydropower

Hedzh-fondõ : istotshnik riska ili likvidnosti / Fuad Rasulov

Index Scriptorium Estoniae

Rasulov, Fuad

2007-01-01

Järg 14. märts lk. 37. G7 riikide rahandusministrid tegid FSF-ile (Financial Stability Forum) ülesandeks teha ettekanne ohtudest, mis tulenevad hedge-fondidest, et selle põhjal võtta vastu fondide tegevust reguleerivate seadusandlike dokumentide pakett. Vt. samas: Mis on hedge-fond?

78 FR 76363 - Self-Regulatory Organizations; International Securities Exchange, LLC; Notice of Filing and...

Science.gov (United States)

2013-12-17

... non-STOs that have similar options with longer expiration cycles (e.g., monthly Apple (AAPL) options... ability to execute hedging and trading strategies via STOs, particularly in the current fast and volatile... to execute trading and hedging strategies. There are, as discussed, substantial benefits to market...

75 FR 71773 - Self-Regulatory Organizations; NYSE Arca, Inc.; Notice of Filing and Immediate Effectiveness of...

Science.gov (United States)

2010-11-24

... financial holding company (``FHC'') or a company treated as an FHC under the Bank Holding Company Act of... Change Expanding the Delta Hedging Exemption Available for Equity Options Position Limits and Adopting a Delta Hedging Exemption From Certain Index Options Position Limits November 18, 2010. Pursuant to...

Martingale characterizations of coherent acceptability measures

NARCIS (Netherlands)

Roorda, Berend

2002-01-01

The coherent risk framework is linked to martingale valuation by adding hedgeinvariance as a fifth axiom, motivated by the concept of consistent hedging. The resulting subclass, called coherent pre-hedge (CoPr) measures, is characterized by a martingale condition on the test set that underlies a

Retailers' risk management and vertical arrangements in electricity markets

International Nuclear Information System (INIS)

Boroumand, Raphaël Homayoun; Zachmann, Georg

2012-01-01

The failure of the asset-light retailer's organizational model is indicative of the incapacity of this organizational structure to manage efficiently the combination of sourcing and market risks in the current market environment. Because of the structural dimensions of electricity's market risks, a retailer's level of risk exposure is unknown ex ante and will only be revealed ex post when consumption is known. In contrast to the “textbook model” of electricity reforms, the paper demonstrates through numerical simulations that in the current market context pure portfolios of contracts are incomplete risk management instruments compared to physical hedging. The latter is critical to overcome the asset-light retailer's curse. - Highlights: ► The paper analyses the risks faced by electricity retailers. ► We study the limits of contractual hedging. ► Through numerical simulations, we compare the risk profiles of different portfolios of hedging. ► We demonstrate the superior efficiency of physical hedging.

Return Dynamics and Volatility Spillovers Between FOREX and Stock Markets in MENA Countries: What to Remember for Portfolio Choice?

Directory of Open Access Journals (Sweden)

Arfaoui Mongi

2015-06-01

Full Text Available This article investigates the interdependence of stock-forex markets in MENA (Middle East and North Africa countries for the February 26, 1999 to June 30, 2014 period. The analysis has been performed through three competing models: the VAR-CCC-GARCH model of Bollerslev [1990]; the VAR-BEKK-GARCH model of Engle and Kroner [1995]; and the VAR-DCC-GARCH model of Engle [2002]. Our findings confirm that both markets are interdependent and corroborate the stock and flow oriented approaches. We also find that, comparing to optimal weights, hedge ratios are typically low, denoting that hedging efficiency is quite good. Our estimation of hedging efficiency suggests that incorporating foreign exchange in a full stock, unhedged portfolio increases the risk-adjusted return while reducing its variance. (We note here that the forex market is overweighted for both portfolio allocations and hedging strategies. Moreover, this conclusion holds for all countries in all three models.

75 FR 42797 - Self-Regulatory Organizations; NASDAQ OMX PHLX, Inc.; Notice of Filing and Immediate...

Science.gov (United States)

2010-07-22

...; (ii) a financial holding company (``FHC'') or a company treated as an FHC under the Bank Holding... proposes to (i) expand the delta hedging exemption available for equity options positions limits, (ii...) adopt a delta hedging exemption from certain index options position limits. The text of the proposed...

76 FR 8067 - Reporting by Investment Advisers to Private Funds and Certain Commodity Pool Operators and...

Science.gov (United States)

2011-02-11

....gov/rules/proposed.shtml ). Comments are also available for Web site viewing and printing in the SEC's... Fund Intelligence (Apr. 7, 2010) (``HFI''). \\21\\ Group of Thirty, Financial Reform: A Framework for...\\ According to Hedge Fund Intelligence, U.K.-based advisers manage approximately 16% of global hedge fund...

Testing Co-Volatility Spillovers for Natural Gas Spot, Futures and ETF Spot using Dynamic Conditional Covariances

NARCIS (Netherlands)

C-L. Chang (Chia-Lin); M.J. McAleer (Michael); Y. Wang (Yanghuiting)

2016-01-01

textabstractThere is substantial empirical evidence that energy and financial markets are closely connected. As one of the most widely-used energy resources worldwide, natural gas has a large daily trading volume. In order to hedge the risk of natural gas spot markets, a large number of hedging

Backwardation in energy futures markets: Metalgesellschaft revisited

International Nuclear Information System (INIS)

Charupat, N.; Deaves, R.

2003-01-01

Energy supply contracts negotiated by the US Subsidiary of Metalgesellschaft Refining and Marketing (MGRM), which were the subject of much subsequent debate, are re-examined. The contracts were hedged by the US Subsidiary barrel-for-barrel using short-dated energy derivatives. When the hedge program experienced difficulties, the derivatives positions were promptly liquidated by the parent company. Revisiting the MGRM contracts also provides the opportunity to explore the latest evidence on backwardation in energy markets. Accordingly, the paper discusses first the theoretical reasons for backwardation, followed by an empirical examination using the MGRM data available at the time of the hedge program in 1992 and a second set of data that became available in 2000. By using a more up-to-date data set covering a longer time period and by controlling the time series properties of the data, the authors expect to provide more reliable empirical evidence on the behaviour of energy futures prices. Results based on the 1992 data suggest that the strategy employed by MGRM could be expected to be profitable while the risks are relatively low. However, analysis based on the 2000 data shows lower, although still significant profits, but higher risks. The final conclusion was that the likelihood of problems similar to those faced by MGRM in 1992 are twice as high with the updated 2000 data, suggesting that the risk-return pattern of the stack-and-roll hedging strategy using short-dated energy future contracts to hedge long-tem contracts is less appealing now than when MGRM implemented its hedging program in 1992. 24 refs., 3 tabs., 6 figs

Hedging against antiviral resistance during the next influenza pandemic using small stockpiles of an alternative chemotherapy.

Directory of Open Access Journals (Sweden)

Joseph T Wu

2009-05-01

large cities to investigate the robustness of these resistance-limiting strategies at a global scale. We found that as long as populations that were the main source of resistant strains employed these strategies (SMC or ECC, then those same strategies were also effective for populations far from the source even when some intermediate populations failed to control resistance. In essence, through the existence of many wild-type epidemics, the interconnectedness of the global network dampened the international spread of resistant strains.Our results indicate that the augmentation of existing stockpiles of a single anti-influenza drug with smaller stockpiles of a second drug could be an effective and inexpensive epidemiological hedge against antiviral resistance if either SMC or ECC were used. Choosing between these strategies will require additional empirical studies. Specifically, the choice will depend on the safety of combination therapy and the synergistic effect of one antiviral in suppressing the emergence of resistance to the other antiviral when both are taken in combination.

Common Factors in International Bond Returns

NARCIS (Netherlands)

Driessen, J.J.A.G.; Melenberg, B.; Nijman, T.E.

2000-01-01

In this paper we estimate and interpret the factors that jointly determine bond returns of different maturities in the US, Germany and Japan.We analyze both currency-hedged and unhedged bond returns.For currency-hedged bond returns, we find that five factors explain 96.5% of the variation of bond

Anatomical and palynological characteristics of Salvia willeana ...

African Journals Online (AJOL)

In this study, anatomical and palynological features of the roots, stems, petiole and leaves of Salvia willeana (Holmboe) Hedge and Salvia veneris Hedge, Salvia species endemic to Cyprus, were investigated. In the anatomical characteristics of stem structures, it was found that the chlorenchyma composed of 6 or 7 rows of ...

17 CFR 19.00 - General provisions.

Science.gov (United States)

2010-04-01

... and derivation of such conversion factors. (Approved by the Office of Management and Budget under... to the following: (1) Excluding products or byproducts of the cash commodity hedged. If the regular... cash positions for bona fide hedging (as defined in § 1.3(z) of this chapter), the same shall be...

Cognitive motor intervention for gait and balance in Parkinson's disease: systematic review and meta-analysis.

Science.gov (United States)

Wang, Xue-Qiang; Pi, Yan-Ling; Chen, Bing-Lin; Wang, Ru; Li, Xin; Chen, Pei-Jie

2016-02-01

We performed a systematic review and meta-analysis to assess the effect of cognitive motor intervention (CMI) on gait and balance in Parkinson's disease. PubMed, Embase, Cochrane Library, CINAHL, Web of Science, PEDro, and China Biology Medicine disc. We included randomized controlled trials (RCTs) and non RCTs. Two reviewers independently evaluated articles for eligibility and quality and serially abstracted data. A standardized mean difference ± standard error and 95% confidence interval (CI) was calculated for each study using Hedge's g to quantify the treatment effect. Nine trials with 181 subjects, four randomized controlled trials, and five single group intervention studies were included. The pooling revealed that cognitive motor intervention can improve gait speed (Hedge's g = 0.643 ± 0.191; 95% CI: 0.269 to 1.017, P = 0.001), stride time (Hedge's g = -0.536 ± 0.167; 95% CI: -0.862 to -0.209, P = 0.001), Berg Balance Scale (Hedge's g = 0.783 ± 0.289; 95% CI: 0.218 to 1.349, P = 0.007), Unipedal Stance Test (Hedge's g = 0.440 ± 0.189; 95% CI: 0.07 to 0.81, P =0.02). The systematic review demonstrates that cognitive motor intervention is effective for gait and balance in Parkinson's disease. However, the paper is limited by the quality of the included trials. © The Author(s) 2015.

26 CFR 1.1275-6 - Integration of qualifying debt instruments.

Science.gov (United States)

2010-04-01

... § 1.483-4 or § 1.1275-4(c) (certain contingent payment debt instruments issued for nonpublicly traded... the qualifying debt instrument. A financial instrument that hedges currency risk is not a § 1.1275-6... denominated in pounds, the swap hedges only interest rate risk, not currency risk. Therefore, the transaction...

78 FR 38741 - Order Granting Limited Exemptions From Exchange Act Rule 10b-17 and Rules 101 and 102 of...

Science.gov (United States)

2013-06-27

... Limited Exemptions From Exchange Act Rule 10b-17 and Rules 101 and 102 of Regulation M to ALPS ETF Trust, the VelocityShares Tail Risk Hedged Large Cap ETF, and the VelocityShares Volatility Hedged Large Cap ETF June 21, 2013. By letter dated June 21, 2013 (the ``Letter''), as supplemented by conversations...

The effects of ontogenetic maturation in Pinus patula - part 1 ...

African Journals Online (AJOL)

This paper forms the first component of a three-part series and reports on those effects observed in the nursery. The effects of hedge maturation on field performance and cycling of P. patula hedges as a means of rejuvenation, are reported separately. An analysis of the nursery data indicates that rooting efficiency, root ...

Weather Risk Management in Agriculture

Directory of Open Access Journals (Sweden)

Martina Bobriková

2016-01-01

Full Text Available The paper focuses on valuation of a weather derivative with payoffs depending on temperature. We use historical data from the weather station in the Slovak town Košice to obtain unique prices of option contracts in an incomplete market. Numerical examples of prices of some contracts are presented, using the Burn analysis. We provide an example of how a weather contract can be designed to hedge the financial risk of a suboptimal temperature condition. The comparative comparison of the selected option hedging strategies has shown the best results for the producers in agricultural industries who hedges against an unfavourable weather conditions. The results of analysis proved that by buying put option or call option, the farmer establishes the highest payoff in the case of temperature decrease or increase. The Long Straddle Strategy is the most expensive but is available to the farmer who hedges against a high volatility in temperature movement. We conclude with the findings that weather derivatives could be useful tools to diminish the financial losses for agricultural industries highly dependent for temperature.

Fundamental and Financial Influences on the Co-movement of Oil and Gas Prices

International Nuclear Information System (INIS)

Bunn, Derek; Chevallier, Julien; Le Pen, Yannick; Sevi, Benoit

2013-01-01

As both speculative and hedging financial flows into commodity futures are expected to link commodity price formation more strongly to equity indices, we investigate whether these processes also create increased correlation amongst the commodities themselves. Considering U.S. oil and gas futures, using the large approximate factor models methodology we investigate whether common factors derived from a large international dataset of real and nominal macro variables are able to explain both returns and whether, beyond these fundamental common factors, the residuals remain correlated. We further investigate a possible explanation for this residual correlation by using some proxies for hedging and speculative activity, showing that speculation increases and hedging reduces the inter-commodity correlations. (authors)

The Economics of the Commodity Market Operations.

Science.gov (United States)

1986-06-01

32 D. HEDGING ........................................................................ 33 E. SPECULATING...Result of Chernobyl’s Nuclear Accident ........................................... 49 It. e -Mr i7s0 I LIST OF FIGURES *4. 1. Example of a Perfect Hedge ...briefly. The reason for this is the power of arbitrage . Arbitrage is the simultaneous purchase of a futures contract in one market against the sale

Belief Elicitation in Experiments

DEFF Research Database (Denmark)

Blanco, Mariana; Engelmann, Dirk; Koch, Alexander

Belief elicitation in economics experiments usually relies on paying subjects according to the accuracy of stated beliefs in addition to payments for other decisions. Such incentives, however, allow risk-averse subjects to hedge with their stated beliefs against adverse outcomes of other decisions......-belief elicitation treatment using a financial investment frame, where hedging arguably would be most natural....

Radical Negativity: Music Education for Social Justice

Science.gov (United States)

McLaren, Peter

2011-01-01

According to Hedges (2010), the real enemies of the liberal class are radical thinkers such as Noam Chomsky and Ralph Nader, iconoclastic intellectuals who possess the moral autonomy to defy the power elite. While this author agrees with Hedges, he would take this argument even further. In this article, the author argues that the real enemy of…

Tobacco point of sale advertising increases positive brand user imagery.

Science.gov (United States)

Donovan, R J; Jancey, J; Jones, S

2002-09-01

To determine the potential impact of point of sale advertising on adolescents so as to inform changes to the Tobacco Control Act. Participants were randomly assigned to one of two conditions. In the control condition, students were exposed to a photograph of a packet of cigarettes; in the intervention condition, students were exposed to an ad for cigarettes, typical of point of sale advertising posters. All students then rated the brand user on a set of 12 bipolar adjectives. Two brands were used in the study: Benson & Hedges, and Marlboro. One hundred year (grade) 6 and 7 students (age range 10-12 years), from four Western Australian metropolitan primary schools, participated in the study. In a majority of the brand user descriptions, the cigarette advertisements increased brand user imagery in a positive way, especially for Benson & Hedges. For example, participants viewing the Benson & Hedges advertisement, as distinct from those viewing the Benson & Hedges pack only, were more likely to describe the Benson & Hedges user as relaxed, interesting, cool, rich, adventurous, and classy. Relative to the Marlboro pack only, the Marlboro ad increased positive perceptions of the Marlboro user on adventurous, interesting, and relaxed. The results presented here support restrictions being placed on advertising at point of sale, since such ads have the potential to increase positive brand user imagery directly in the situation where a product purchase can take place, and hence the potential to increase the likelihood of impulse purchasing.

Exchange Rate Exposures and Strategies of Industrial Companies: An Empirical Study

DEFF Research Database (Denmark)

Aabo, Tom

2001-01-01

This article investigates empirically the potential and actual exchange rate exposure strategies of industrial companies in relation to identifying and quantifying the neutral financial positions in an optimal hedging strategy.......This article investigates empirically the potential and actual exchange rate exposure strategies of industrial companies in relation to identifying and quantifying the neutral financial positions in an optimal hedging strategy....

Characteristics of sedimentary organic matter in coastal and depositional areas in the Baltic Sea

Science.gov (United States)

Winogradow, A.; Pempkowiak, J.

2018-05-01

As organic matter (OM) is readily mineralized to carbon dioxide (Smith and Hollibangh, 1993; Emerson and Hedges, 2002; Szymczycha et al., 2017) it has a direct link to the carbon dioxide abundance in seawater and an indirect influence on the carbon dioxide concentration in the atmosphere (Emerson and Hedges, 2002; Schulz and Zabel, 2006). OM is a quantitatively minor yet important component of seawater. OM in seawater can originate from internal sources (marine, or planktonic, or autochthonous OM) or external sources (terrestrial, or allochtonous OM) (Maksymowska et al., 2000; Emerson and Hedges, 2002; Turnewitsch et al., 2007; Arndt et al., 2013). It is commonly divided into two fractions: dissolved (DOM) and particulate (POM). Organic carbon (OC) is, most often, used as a measure of OM.

An Intercultural Investigation of Meta-Discourse Features in Research Articles by American and Turkish Academic Writers

Directory of Open Access Journals (Sweden)

Hüseyin KAFES

2017-09-01

Full Text Available This corpus-based study compares the use of hedges and boosters in English academic research articles (RAs by Turkish and American academic writers. The data come from 40 RAs collected from well-known international journals of Applied Linguistics. Quantitative and textual analyses reveal that the American academic writers (AWs preferred to be visible in their texts by employing a lot more hedges and boosters, while Turkish academic writers (TWs opted to be invisible, preferring their studies to speak for themselves. Our results indicate, among other things, the influence of rhetorical practices, and epistemological beliefs, and the cultural, linguistic, and educational backgrounds of academic writers on their use of hedges and boosters. The findings of the study are discussed in relation to these aspects.

Estratégia de comercialização em mercados derivativos: cálculo de base e risco de base do boi gordo em diversas localidades do Brasil

Directory of Open Access Journals (Sweden)

Vagner Rosalem

2008-12-01

Full Text Available This paper had as it’s main objective to evaluate the feedback that cattlemen, exporters and other actors of the fed cattle market of São José do Rio Preto and Barrtos/SP; Northwester Paraná. Minas Gerais’ triangle, Goiânia/GO and Cuiabá/MT; could obtain from future hedge strategies from September 2000 to November 2003. Such research is worth once it´s new that derivative market has been increasingly adopted due to it’s possibilities of use with hedge prices. The primary data about prices of fed cattle weight were obtained from the Applied Economy Advanced Studies’ Center (CEPEA – ESALQ/USP and future prices of fed cattle weight were obtained from Brazilian Mercantile & Futures Exchange (BM&FBovespa S.A.. It can be said, from the various values of basis and basis risk, that each of the regions has it´s own commerce features. However, it was noticed that the more favorable months to hedge selling strategies were April, October and December, while May and July could be pointed as the best mouths to buying hedge strategies

Brassicaceae Mustards: Traditional and Agronomic Uses in Australia and New Zealand

OpenAIRE

Mahmudur Rahman; Amina Khatun; Lei Liu; Bronwyn J. Barkla

2018-01-01

Commonly cultivated Brassicaceae mustards, namely garlic mustard (Alliaria petiolata), white mustard (Brassica alba), Ethiopian mustard (B. carinata), Asian mustard (B. juncea), oilseed rape (B. napus), black mustard (B. nigra), rapeseed (B. rapa), white ball mustard (Calepina irregularis), ball mustard (Neslia paniculata), treacle mustard (Erysimum repandum), hedge mustard (Sisymbrium officinale), Asian hedge mustard (S. orientale), smooth mustard (S. erysimoides) and canola are the major ec...

Essays on energy derivatives pricing and financial risk management =

Science.gov (United States)

Madaleno, Mara Teresa da Silva

This thesis consists of an introductory chapter (essay I) and five more empirical essays on electricity markets and CO2 spot price behaviour, derivatives pricing analysis and hedging. Essay I presents the structure of the thesis and electricity markets functioning and characteristics, as well as the type of products traded, to be analyzed on the following essays. In the second essay we conduct an empirical study on co-movements in electricity markets resorting to wavelet analysis, discussing long-term dynamics and markets integration. Essay three is about hedging performance and multiscale relationships in the German electricity spot and futures markets, also using wavelet analysis. We concentrate the investigation on the relationship between coherence evolution and hedge ratio analysis, on a time-frequency-scale approach, between spot and futures which conditions the effectiveness of the hedging strategy. Essays four, five and six are interrelated between them and with the other two previous essays given the nature of the commodity analyzed, CO2 emission allowances, traded in electricity markets. Relationships between electricity prices, primary energy fuel prices and carbon dioxide permits are analyzed on essay four. The efficiency of the European market for allowances is examined taking into account markets heterogeneity. Essay five analyzes stylized statistical properties of the recent traded asset CO2 emission allowances, for spot and futures returns, examining also the relation linking convenience yield and risk premium, for the German European Energy Exchange (EEX) between October 2005 and October 2009. The study was conducted through empirical estimations of CO2 allowances risk premium, convenience yield, and their relation. Future prices from an ex-post perspective are examined to show evidence for significant negative risk premium, or else a positive forward premium. Finally, essay six analyzes emission allowances futures hedging effectiveness, providing

Production of sugar and alcohol: financial and operational strategies

Directory of Open Access Journals (Sweden)

Celma de Oliveira Ribeiro

2014-12-01

Full Text Available This article proposes the construction of an optimization model to define the product portfolio of a sugarcane mill, taking into account operational and financial aspects. It is considered that the revenue earned by a producer comes from the sale of sugar and alcohol in the physical market and the results obtained through hedging in the derivatives market of sugar. Employing CVaR (Conditional Value-at-Risk, as the risk measure, the model allows the construction of an efficient frontier and, according to the producer's risk tolerance, defines the optimal strategy of production (production mix and activity in the derivatives market (hedge ratio. Through the model the article also seeks to analyze the advantage of using the options market in the construction of financial hedging strategies in agricultural commodities markets.

Options analysis of managed care contracting and regulation: theory and evidence.

Science.gov (United States)

McLean, R A; Magiera, F T

2000-08-01

Managed care contracts can be represented as bundles of options. In particular, the managed care provider is short a call option. To hedge the risk involved in such contracts, managed care contractors can construct several types of virtual put options, among them the ownership of facilities. Agency theory and options theory suggest that for-profit managed care plans, in the presence of debt, will engage in less hedging activity than will other managed care plans. Here, the authors test that hypothesis, using data for Florida HMOs in 1995, and they reject the null hypothesis. That managed care organizations act as if they are short a call option raises interesting regulatory issues, including the possibility of using a hedge-based regulatory scheme in place of a net-worth-based scheme.

Prediction Markets: A Review with an Experimentally Based Recommendation for Navy Force-shaping Application

Science.gov (United States)

2009-12-01

participation problem in which rational traders have no further incentive or desire to trade once they already have hedged their bets (Hanson, 2003...traders who already have hedged their bets in other markets (Abramowicz, 2003, p. 24). A thin market generally leads to comparatively large price...prices. Contract prices should be set at a reasonable level to ensure there is not an overwhelming arbitrage opportunity when the market opens

Global Derivatives Market

Directory of Open Access Journals (Sweden)

Stankovska Aleksandra

2017-06-01

Full Text Available Globalization of financial markets led to the enormous growth of volume and diversification of financial transactions. Financial derivatives were the basic elements of this growth. Derivatives play a useful and important role in hedging and risk management, but they also pose several dangers to the stability of financial markets and thereby the overall economy. Derivatives are used to hedge and speculate the risk associated with commerce and finance.

Defaultable Game Options in a Hazard Process Model

Directory of Open Access Journals (Sweden)

Tomasz R. Bielecki

2009-01-01

Full Text Available The valuation and hedging of defaultable game options is studied in a hazard process model of credit risk. A convenient pricing formula with respect to a reference filteration is derived. A connection of arbitrage prices with a suitable notion of hedging is obtained. The main result shows that the arbitrage prices are the minimal superhedging prices with sigma martingale cost under a risk neutral measure.

Military Suicide Research Consortium

Science.gov (United States)

2015-10-01

were analyzed using Comprehensive Meta-Analysis (CMA) 2.0 statistical software (Borenstein, Hedges, Higgins , & Rothstein, 2005). Hedges g was... Higgins , J., & Rothstein, H. (2005). Comprehensive meta-analysis (Version 2). Englewood, NJ: Biostat. Bostwick, J. M., & Pankratz, V. S. (2000...Cerel a,n, Judy G. van de Venne a, Melinda M. Moore b, Myfanwy J. Maple c, Chris Flaherty a, Margaret M. Brown d a College of Social Work, University

Climate mitigation under an uncertain technology future: A TIAM-World analysis

International Nuclear Information System (INIS)

Labriet, Maryse; Kanudia, Amit; Loulou, Richard

2012-01-01

This paper explores the impacts of long-term technology and climate uncertainties on the optimal evolution of the World energy system. Stochastic programming with the TIAM-World model is used for a parametric analysis of hedging strategies, varying the probabilities associated to each of two contrasted technology outlooks. The parametric analysis constitutes an original supplement to the computation of hedging strategies by identifying technologies that are robust under a broad range of probabilities of the two technology outlooks. Natural gas appears to be one of the most appealing robust options in an uncertain technological context, especially in China, given its relatively low emissions and the low capital cost of associated technologies. Natural gas and some other options are in fact considered as “super-hedging” actions, penetrating more in the hedging solution than in any of the deterministic scenarios. Nuclear power and CCS use are less robust: they depend much more on either the level of the climate target or the probabilities of the technology outlooks. The analysis also shows that technological uncertainty has a greater impact under milder climate targets than under more severe ones. Future research might consider a larger set of possible technology outlooks, as well as specific analyses focused on key characteristics of low-carbon technologies. - Highlights: ► The hedging strategy is not an average of deterministic strategies. ► The hedging offers a mix of abatement actions that cannot easily be found otherwise. ► Natural gas is an appealing choice in an uncertain context, especially in China. ► China reduces its emissions only when options in other countries are exhausted.

Corporate interest rate risk management with derivatives in Australia: empirical results

Directory of Open Access Journals (Sweden)

Luiz Augusto Ferreira Carneiro

2008-04-01

Full Text Available Financial and insurance theories explain that large widely-held corporations manage corporate risks if doing so is costective to reduce frictional costs such as taxes, agency costs and financial distress costs. A large number of previous empirical studies, most in the U.S., have tested the hypotheses underlying corporate risk management with financial derivative instruments. In order to quantify corporate hedge demand, most previous studies have used the ratio of principal notional amount of derivatives to company size, although they recognize that company size is not an appropriate proxy for financial risk. This paper analyzes the interest-rate-risk hedge demand by Australian companies, measured through the ratio of principal notional amount of interest rate derivatives to interest-rate-riskbearing liabilities. Modern panel data methods are used, with two panel data sets from 1998 to 2003 (1102 and 465 observations, respectively. Detailed information about interest-rate-risk exposures was available after manual data collection from financial annual reports, which was only possible due to specific reporting requirements in Australian accounting standards. Regarding the analysis of the extent of hedge, our measurement of interest-rate-risk exposures generates some significant results di erent from those found in previous studies. For example, this study shows that total leverage (total debt ratio is not significantly important to interest-rate-risk hedge demand and that, instead, this demand is related to the specific risk exposure in the interest bearing part of the firms liabilities. This study finds significant relations of interest-rate-risk hedge to company size, floating-interest-rate debt ratio, annual log returns, and company industry type (utilities and non-banking financial institutions.

Explore the Application of Financial Engineering in the Management of Exchange Rate Risk

Directory of Open Access Journals (Sweden)

Yang Liu

2015-01-01

Full Text Available In the background where the domestic enterprises commonly have a weak protection consciousness against the exchange rate risk, this article makes a deep analysis based on the definition of exchange rate risk and its cause. By comparison of the traditional management method of exchange rate risk with another one based on financial engineering tools, it also deeply analyzes the method to use the financial engineering technology in the management of exchange rate risk, and concludes the primary purpose of exchange rate risk management is for hedging. This article proposes an optimal analysis method in two aspects, namely the minimum risk and maximum efficiency, for the forward-based optimal hedging, and proposes an optimal analysis method of dynamic hedging for the optimal hedging of option-based tools. Based on the description of the application of financial tools in foreign exchange futures, forward contract, currency exchange and foreign exchange option, it makes an empirical analysis on the management of foreign exchange risk by taking an assumed T company as the carrier and based on the trading tools of forward foreign exchange and currency option, which describes the operation procedure of financial tools in a more direct way and proves the efficiency of the optimal analysis method of this article.

Performance Evaluation and Market Timing: the Skill Index

Directory of Open Access Journals (Sweden)

Ney Roberto Otoni de Brito

2003-01-01

Full Text Available MERTON (1981 examines the creation of value by fund managers selecting between stocks and fixed income instruments through market timing. HENRIKSON and MERTON (1981 proceed to propose empirical tests of funds and manager performance in market timing. BRITO, BONA and TACIRO (2003 generalize the results of MERTON (1981 and HENRIKSON and MERTON (1981 for actively managed funds with a clearly defined benchmark portfolio. In the generalized context of active portfolio management, this paper proposes a new index – the Skill Index of Brito (SIB – to measure the performance and efficiency in market timing of actively managed funds. The paper proceeds to test the performance and skill of hedge funds in Brazil using the SIB. A representative sample of 32 hedge funds with a window of 90 trading days on October 31, 1999 was obtained. The empirical tests of performance and skill use the interbank borrowing and lending rate as the passive benchmark. The results indicate the significance at the 5% level of the SIB for ten hedge funds in the sample. Among them seven funds also have shown significance at the 1% level. In sum the results indicate a majority of hedge funds with no significant skill in the Brazilian market in the examined period.

Inflation Protected Investment Strategies

Directory of Open Access Journals (Sweden)

Mirco Mahlstedt

2016-03-01

Full Text Available In this paper, a dynamic inflation-protected investment strategy is presented, which is based on traditional asset classes and Markov-switching models. Different stock market, as well as inflation regimes are identified, and within those regimes, the inflation hedging potential of stocks, bonds, real estate, commodities and gold are investigated. Within each regime, we determine optimal investment portfolios driven by the investment idea of protection from losses due to changing inflation if inflation is rising or high, but decoupling the performance from inflation if inflation is low. The results clearly indicate that these asset classes behave differently in different stock market and inflation regimes. Whereas in the long-run, we agree with the general opinion in the literature that stocks and bonds are a suitable hedge against inflation, we observe for short time horizons that the hedging potential of each asset class, especially of real estate and commodities, depend strongly on the state of the current market environment. Thus, our approach provides a possible explanation for different statements in the literature regarding the inflation hedging properties of these asset classes. A dynamic inflation-protected investment strategy is developed, which combines inflation protection and upside potential. This strategy outperforms standard buy-and-hold strategies, as well as the well-known 1 N -portfolio.

THE MITIGATION OF SCIENTIFIC CLAIMS IN RESEARCH PAPERS: A COMPARATIVE STUDY

Directory of Open Access Journals (Sweden)

Pedro Martín Martín

2008-12-01

Full Text Available In the context of academic writing, authors tend to mitigate the force of their scientific claims by means of hedging devices in order to reduce the risk of opposition and minimise the face threatening acts that are involved in the making of claims. This study explores the phenomenon of hedging in the research article (RA from a cross-cultural perspective. To this end, a total of 40 RAs written in English and Spanish in the field of Clinical and Health Psychology were analysed in terms of the frequency of occurrence and distribution of the various strategies and the linguistic devices associated to each strategy which perform a hedging function in the different structural units of the articles. The results of the comparative quantitative analyses revealed that there are similarities between the two languages regarding the distribution of hedges across the structural units of the RAs, although a certain degree of rhetorical variation was also found mainly in terms of the frequency of use of the strategy of indetermination (i.e. modality devices and approximators which occurs to a much greater extent in the English texts. This suggests that the English RAs in the field of Clinical and Health Psychology, as a whole, involve more protection to the author’s face.

Capital Structure Arbitrage under a Risk-Neutral Calibration

Directory of Open Access Journals (Sweden)

Peter J. Zeitsch

2017-01-01

Full Text Available By reinterpreting the calibration of structural models, a reassessment of the importance of the input variables is undertaken. The analysis shows that volatility is the key parameter to any calibration exercise, by several orders of magnitude. To maximize the sensitivity to volatility, a simple formulation of Merton’s model is proposed that employs deep out-of-the-money option implied volatilities. The methodology also eliminates the use of historic data to specify the default barrier, thereby leading to a full risk-neutral calibration. Subsequently, a new technique for identifying and hedging capital structure arbitrage opportunities is illustrated. The approach seeks to hedge the volatility risk, or vega, as opposed to the exposure from the underlying equity itself, or delta. The results question the efficacy of the common arbitrage strategy of only executing the delta hedge.

DERIVATIVE USE BY ROMANIAN BANKS AFTER THE EU ADHESION: A FINANCIAL REPORTING PERSPECTIVE

Directory of Open Access Journals (Sweden)

Maria Carmen Huian

2014-06-01

Full Text Available Romanian banks use derivatives to hedge against or speculate on the movement of economic variables such as foreign exchange rate or interest rate. To report these contracts, they apply the IFRS in both consolidated accounts (from 2007 onwards and individual accounts (starting with 2012. This paper analyzes disclosures on derivatives for a 6-year period (2007- the year of the EU adhesion -2012 based on 132 financial statements available. The findings show that more than 72% of Romanian banks use derivatives, mostly for economic hedges and without much application of hedge accounting. Swaps are the most important contracts and foreign exchange risks the most protected against. On average, disclosures on derivatives follow the IFRS rules but provide little additional information beyond the minimum requirements which enables ambiguities and misinterpretations from users of the financial statements.

Commodity futures markets: are they an effective price risk management tool for the European wheat supply chain?

Directory of Open Access Journals (Sweden)

Cesar Revoredo-Giha

2013-12-01

Full Text Available The instability of commodity prices and the hypothesis that speculative behaviour was one of its causes has brought renewed interest in futures markets. The paper analyses the European wheat futures markets (feed and milling and the Chicago Board of Trade’s wheat contract as a comparison. Although the main purpose of the paper is to analyse whether futures markets are still useful for hedging (considering the demands from different market participants, implicitly this can be seen as testing whether the increasing presence of speculation has made futures markets divorced from physical markets. The results indicate that hedging with futures markets is still a viable alternative for dealing with price risk. This is particularly true in short period hedges (e.g. merchants and processors, where the basis seems to have been affected by the observed price instability.

The NYMEX electricity futures contract

International Nuclear Information System (INIS)

Palmer-Huggins, D.

1998-01-01

Members of the New York Mercantile Exchange (NYMEX) include bankers, industry (such as refiners, producers, and electricity marketers) brokerage houses, and individuals. NYMEX is the largest physical commodity futures exchange in the world. The primary economic role of the commodity exchange industry was discussed, with special emphasis on open interest, volume, and liquidity. Hedge dynamics were also reviewed. A hedge was described as a financial instrument used to lock in prices, costs, and profit margins. Futures contracts in general, and electricity futures contracts in particular were defined ('a firm commitment to deliver or to receive a specified quantity or grade of commodity at a specific location within a designated month'). Results expected from hedging, - cost control, predictable margins, securing a certain market share, price stabilization - , the nature of options trading, and its benefits were also reviewed. 1 tab., 4 figs

Response to DOE's call for comments on its discussion paper on wholesale and retail market design

International Nuclear Information System (INIS)

Pound, T.

2005-01-01

The options available to the Government of Alberta concerning retail electricity policy were reviewed by the Office of the Utilities Consumer Advocate. The Council claims that the deregulation of Alberta's electricity market has been a success because competition has added new generation and removed inefficient generation from service. However, the Council is concerned that the transition to competitive retail electricity market can impose additional costs and risks on small consumers. Therefore, it proposes that electricity be bought on a central basis for small consumers using a suitable mix of 3 to 5 year hedges; that competitive and regulated retailers be given full access to a centrally purchased hedge supply; that regulated retailers be offered a small customer service margin price incentive per kWh over the hedged energy rate; and that the regulated rate option be reviewed in 4 years. 1 fig

TINJAUAN ASPEK PAJAK PENGHASILAN ATAS TRANSAKSI INSTRUMEN KEUANGAN DERIVATIF SWAP

OpenAIRE

Yenni Mangoting

2003-01-01

The use of foreign currency is sensitive enough to the exchange rate fluctuation. To protect assets and liabilities that vulnerable to exchange rate fluctuation interest rate, taxpayers may use swap derivative financial instrument. Through this instrument, the risk which is caused by the changing of exchange rate can be avoded or minimized. Moreover with hedging, taxpayers will be able create gain from shifting the risk. Therefore hedging through the use of derivative instrument specially swa...

Risk Management: Coordinating Corporate Investment and Financing Policies

OpenAIRE

Kenneth A. Froot; David S. Scharfstein; Jeremy C. Stein

1992-01-01

This paper develops a general framework for analyzing corporate risk management policies. We begin by observing that if external sources of finance are more costly to corporations than internally generated funds, there will typically be a benefit to hedging: hedging adds value to the extent that it helps ensure that a corporation has sufficient internal funds available to take advantage of attractive investment opportunities. We then argue that this simple observation has wide ranging implica...

Environmental Assessment: Eagle Heights Housing Area Revitalization Dover Air Force Base, Delaware

Science.gov (United States)

2004-07-01

tidal species. Butterflies were the only insects surveyed, and nine were found on base. Approximately 51 species of birds were recorded on base...Jones River adjacent to the northern border of the housing area, the fro-fruit (Phyla lanceolata) and the hyssop-leaf hedge- nettle (Stachys...other sites in Delaware that this species is found. The hyssop-leaf hedge- nettle thrives in moist sandy soil along the coast and shoreline and occurs

On the strategic value of risk management

OpenAIRE

Léautier, Thomas-Olivier; Rochet, Jean-Charles

2012-01-01

This article examines how firms facing volatile input prices and holding some degree of market power in their product market link their risk management and their production or pricing strategies. This issue is relevant in many industries ranging from manufacturing to energy retailing, where risk averse firms decide on their hedging strategies before their product market strategies. We find that hedging modifies the pricing and production strategies of firms. This strategic effect is channelle...

Influence of roadside hedgerows on air quality in urban street canyons

Science.gov (United States)

Gromke, Christof; Jamarkattel, Nabaraj; Ruck, Bodo

2016-08-01

Understanding pollutant dispersion in the urban environment is an important aspect of providing solutions to reduce personal exposure to vehicle emissions. To this end, the dispersion of gaseous traffic pollutants in urban street canyons with roadside hedges was investigated. The study was performed in an atmospheric boundary layer wind tunnel using a reduced-scale (M = 1:150) canyon model with a street-width-to-building-height ratio of W/H = 2 and a street-length-to-building-height ratio of L/H = 10. Various hedge configurations of differing height, permeability and longitudinal segmentation (continuous over street length L or discontinuous with clearings) were investigated. Two arrangements were examined: (i) two eccentric hedgerows sidewise of the main traffic lanes and (ii) one central hedgerow between the main traffic lanes. In addition, selected configurations of low boundary walls, i.e. solid barriers, were examined. For a perpendicular approach wind and in the presence of continuous hedgerows, improvements in air quality in the center area of the street canyon were found in comparison to the hedge-free reference scenario. The pollutant reductions were greater for the central hedge arrangements than for the sidewise arrangements. Area-averaged reductions between 46 and 61% were observed at pedestrian head height level on the leeward side in front of the building for the centrally arranged hedges and between 18 and 39% for the two hedges arranged sidewise. Corresponding area-averaged reductions ranging from 39 to 55% and from 1 to 20% were found at the bottom of the building facades on the leeward side. Improvements were also found in the areas at the lateral canyon ends next to the crossings for the central hedge arrangements. For the sidewise arrangements, increases in traffic pollutants were generally observed. However, since the concentrations in the end areas were considerably lower compared to those in the center area, an overall improvement remained

Sources of organic matter and microbial community structure in the sediments of the Visakhapatnam Harbour, east coat of India

Digital Repository Service at National Institute of Oceanography (India)

Harji, R.R; Bhosle, N.B.; Garg, A.; Sawant, S.S.; Venkat, K.

Trench at 11,000 m. Deep Sea Research Part I: Oceanographic Research Papers 47, 1173- 1182. Fang, J., Kato, C., Sato, T., Chan, O., McKay, D., 2004. Biosynthesis and dietary uptake of polyunsaturated fatty acids by peizophilic bacteria. Comparative... lipids and community structure in estuaries. Aquatic Microbial Ecology 42, 105-117. Hedges, J.I., Keil, R.G., 1995. Sedimentary organic matter preservation: an assessment and speculative synthesis. Marine Chemistry 49, 81-115. Hedges, J.I., Keil, R...

Accounting for derivative contracts in an energy environment

International Nuclear Information System (INIS)

Lewthwaite, T.; Majid, H.; Swingler, N.

1999-01-01

This chapter reviews the latest developments in the accounting for derivative contracts in the energy environment, covering the US accounting and disclosure requirements and the Statement of Financial Accounting Standards (SFAS) 133 Accounting for Derivative Instruments and Hedging Activities, and the Emerging Issues Task Force Consensus (EITF) 98-10 accounting for energy trading and risk management activities. UK accounting and disclosure requirements and the international point of view are discussed. Three different types of hedges are described

Les opérations de Metallgesellschaft sur les marchés à terme de produits pétroliers:spéculation ou couverture ?

OpenAIRE

Delphine Lautier

1998-01-01

An analysis focusing on the financial aspects is proposed for the strategy initiated by Metallgesellschaft (MG) in 1993-94 on American petroleum markets. According to a specific definition of hedging, and on the basis of a detailed survey of the facts, this strategy is described as speculative. Technically, this deal is considered to be the first attempt to hedge a long term position on the physical markets with short-dated instruments. Arbitrage models derived from the option pricing paradig...

Accounting for derivative contracts in an energy environment

Energy Technology Data Exchange (ETDEWEB)

Lewthwaite, T.; Majid, H.; Swingler, N. [Arthur Andersen (United Kingdom)

1999-07-01

This chapter reviews the latest developments in the accounting for derivative contracts in the energy environment, covering the US accounting and disclosure requirements and the Statement of Financial Accounting Standards (SFAS) 133 Accounting for Derivative Instruments and Hedging Activities, and the Emerging Issues Task Force Consensus (EITF) 98-10 accounting for energy trading and risk management activities. UK accounting and disclosure requirements and the international point of view are discussed. Three different types of hedges are described.

AN EVALUATION OF RISK MANAGEMENT STRATEGIES FOR DAIRY FARMS

OpenAIRE

Bosch, Darrell J.; Johnson, Christian J.

1992-01-01

Variability in feed prices and crop yields are important sources of risk to dairy farmers. A simulation model of a representative dairy farm was used to evaluate crop insurance and hedging as risk management strategies. These strategies lowered expected net returns but also reduced risk. The preferred set of strategies at lower levels of risk aversion included hedging and crop insurance, although a base scenario in which no risk management strategies were employed was also efficient. The pref...

Revitalization of Nuclear Powered Flight

Science.gov (United States)

2016-05-01

science/ article /pii/S0376042110000497. Hedges, John, host. “Nuclear Airplane (Season 1, Episode 4).” In Planes That Never Flew. Discovery Channel...sensors and weapons the mission requires. Machines for the USAF come in the form of airplanes , which cannot get to the fight without tanker support or...Information Retrieval System. “Cost and Funding for KC-46 A from SAR Dec 2014.” 6 Hedges, John, host. “Nuclear Airplane (Season 1, Episode 4).” 7

Forecasting the price of gold: An error correction approach

Directory of Open Access Journals (Sweden)

Kausik Gangopadhyay

2016-03-01

Full Text Available Gold prices in the Indian market may be influenced by a multitude of factors such as the value of gold in investment decisions, as an inflation hedge, and in consumption motives. We develop a model to explain and forecast gold prices in India, using a vector error correction model. We identify investment decision and inflation hedge as prime movers of the data. We also present out-of-sample forecasts of our model and the related properties.

Use of Ibovespa Future Contracts for Pension Funds in Brazil: a sectorial approach

Directory of Open Access Journals (Sweden)

Thiago de Melo Teixeira da Costa

2014-04-01

Full Text Available The Pension Funds must be dealt with better management strategies. This work aimed to analyze the risk of  Pension Funds with and without Ibovespa futures contracts and to evaluate the gains obtained in the return/risk relation using the sectorial approach proposed. The levels of use of futures contracts that would allow optimum hedge were obtained using the co-integration models, and the risk, represented by the Value-at-risk (VaR was obtained via conditional volatility models. The mean daily return of the hedge strategies drops, compared to the strategy without hedge. However, this drop is relatively small, compared to the drop of the risk offered by the use of the Ibovespa futures contracts. The results found indicated that a dynamic management, based on a sectorial monitoring of the assets that compose a particular investment portfolio improves its performance, considerably reducing the level of risk attained.

Canadian oil and gas survey : 1997

International Nuclear Information System (INIS)

Roberge, R.B.

1997-01-01

An outlook of the Canadian Petroleum Industry, financial and operating statistics of the top 100 Canadian public oil and gas companies and 15 energy income trusts, were summarized for the fiscal year ending in 1996. In general, 1996 was a good year for the industry. Greater industry financing resulted in increased drilling activity and good stock market returns for investors. However, strong commodity prices also resulted in record levels of hedging activity, which meant lost revenues for the industry. The top 100 companies recorded losses of about $800 million in 1996, largely on crude oil hedges. The fact that volumes hedged forward to 1997 are down from 1996 indicate that many companies are rethinking their commitment to risk management. Details of crude oil and natural gas prices and production levels during 1996 were provided. A list of significant corporate mergers and acquisitions during the year under review rounded out the presentation

Market-based implementation of Kyoto commitments: how the financial/insurance sector can support industry

International Nuclear Information System (INIS)

Knoepfel, Ivo

1999-01-01

The implementation of the Kyoto Protocol in the context of the Framework Convention on Climate Change will probably lead to economic winners and losers in various sectors of the economy. Especially carbon intensive industries will need to develop hedging strategies to prevent potential negative effects and to optimise market opportunities. Such strategies can be based on technological innovation, market and product diversification, and on financial/legal offsets. The Kyoto Protocol has introduced new market-based instruments, which can, in a near future provide such hedging opportunities. These include joint implementation, the so-called clean development mechanism, and international emissions trading. The financial services and insurance sector are the natural partners of industry in designing tailored hedging strategies. It is recommended that industry, financial services and insurance companies take a more proactive role in further developing the market-based instruments established by the Kyoto Protocol. (Author)

The evolution of different maternal investment strategies in two closely related desert vertebrates

Science.gov (United States)

Ennen, Joshua R.; Lovich, Jeffrey E.; Averill-Murray, Roy C.; Yackulic, Charles B.; Agha, Mickey; Loughran, Caleb; Tennant, Laura A.; Sinervo, Barry

2017-01-01

We compared egg size phenotypes and tested several predictions from the optimal egg size (OES) and bet-hedging theories in two North American desert-dwelling sister tortoise taxa, Gopherus agassizii and G. morafkai, that inhabit different climate spaces: relatively unpredictable and more predictable climate spaces, respectively. Observed patterns in both species differed from the predictions of OES in several ways. Mean egg size increased with maternal body size in both species. Mean egg size was inversely related to clutch order in G. agassizii, a strategy more consistent with the within-generation hypothesis arising out of bet-hedging theory or a constraint in egg investment due to resource availability, and contrary to theories of density dependence, which posit that increasing hatchling competition from later season clutches should drive selection for larger eggs. We provide empirical evidence that one species, G. agassizii, employs a bet-hedging strategy that is a combination of two different bet-hedging hypotheses. Additionally, we found some evidence for G. morafkai employing a conservative bet-hedging strategy. (e.g., lack of intra- and interclutch variation in egg size relative to body size). Our novel adaptive hypothesis suggests the possibility that natural selection favors smaller offspring in late-season clutches because they experience a more benign environment or less energetically challenging environmental conditions (i.e., winter) than early clutch progeny, that emerge under harsher and more energetically challenging environmental conditions (i.e., summer). We also discuss alternative hypotheses of sexually antagonistic selection, which arise from the trade-offs of son versus daughter production that might have different optima depending on clutch order and variation in temperature-dependent sex determination (TSD) among clutches. Resolution of these hypotheses will require long-term data on fitness of sons versus daughters as a function of

Risk management and market efficiency on the Midwest Independent System Operator electricity exchange

Science.gov (United States)

Jones, Kevin

Midwest Independent Transmission System Operator, Inc. (MISO) is a non-profit regional transmission organization (RTO) that oversees electricity production and transmission across thirteen states and one Canadian province. MISO also operates an electronic exchange for buying and selling electricity for each of its five regional hubs. MISO oversees two types of markets. The forward market, which is referred to as the day-ahead (DA) market, allows market participants to place demand bids and supply offers on electricity to be delivered at a specified hour the following day. The equilibrium price, known as the locational marginal price (LMP), is determined by MISO after receiving sale offers and purchase bids from market participants. MISO also coordinates a spot market, which is known as the real-time (RT) market. Traders in the real-time market must submit bids and offers by thirty minutes prior to the hour for which the trade will be executed. After receiving purchase and sale offers for a given hour in the real time market, MISO then determines the LMP for that particular hour. The existence of the DA and RT markets allows producers and retailers to hedge against the large fluctuations that are common in electricity prices. Hedge ratios on the MISO exchange are estimated using various techniques. No hedge ratio technique examined consistently outperforms the unhedged portfolio in terms of variance reduction. Consequently, none of the hedge ratio methods in this study meet the general interpretation of FASB guidelines for a highly effective hedge. One of the major goals of deregulation is to bring about competition and increased efficiency in electricity markets. Previous research suggests that electricity exchanges may not be weak-form market efficient. A simple moving average trading rule is found to produce statistically and economically significant profits on the MISO exchange. This could call the long-term survivability of the MISO exchange into question.

Electricity prices and power derivatives: An affine jump diffusion approach with seasonal volatility and prices

International Nuclear Information System (INIS)

Nomikos, Nikos; Soldatos, Orestes; Tamvakis, Michael

2005-01-01

Deregulation and reforms in the electricity markets over the recent years have led to increasing volatility of electricity prices since prices in the market are now determined by the fundamental rules of supply and demand. The existence of price risk in the market leads to the increasing necessity of hedging using derivatives and the subsequent development of models to price and hedge electricity derivatives. However the non-storable nature of the market implies that ''traditional'' approaches for the pricing and hedging of commodity derivatives based on the theory of storage are not applicable to electricity markets. In this paper we propose a two-factor jump diffusion model with seasonal components in order to capture the systematic pattern in the forward curve and the volatility term structure. Our model is then calibrated for the spot and the financial contracts in the Nord Pool Exchange using Kalman filter techniques. The proposed model has several advantages. First it enables to select the risk neutral measure that best fits the term structure hence capturing the most significant distributional characteristics of both spot and forwards. Second, it explains the seasonal risk premium, and finally it provides a fit for the Volatility Term Structure. The resulting model is very promising, providing a very useful Financial Engineering tool to market participants for Risk Hedging and Derivatives Pricing in the highly volatile Power Markets. (Author)

The efficacy of attentional distraction and sensory monitoring in chronic pain patients: A meta-analysis.

Science.gov (United States)

Van Ryckeghem, Dimitri Ml; Van Damme, Stefaan; Eccleston, Christopher; Crombez, Geert

2018-02-01

Attentional strategies, such as distraction and sensory monitoring, are often offered to reduce pain and pain-related distress. However, evidence for their efficacy in chronic pain patients is equivocal. We report a meta-analysis on the efficacy of distraction and sensory monitoring in chronic pain patients, and explore possible methodological and theoretical moderators. The scientific literature was searched for relevant articles, which were coded for methodological quality and several theoretical and methodological moderator variables. Only 10 articles fulfilled the search criteria. Eight studies allowed us to compare distraction with a control condition, two studies to compare sensory monitoring with a control condition, and four studies to compare the effect of distraction with the effect of sensory monitoring. Overall, results indicate that distraction did not differ from control in altering pain experience (k=8; Hedges' g=0.10, ns) and distress (k=2; Hedges' g=0.549). Sensory monitoring did also not alter pain experience (k=2; Hedges' g=-0.21, ns) and distress (k=1; Hedges' g=-0.191, ns). We found no evidence to support the superiority of distraction or sensory monitoring in altering pain compared to control conditions. We offer guidance for future theory-driven research to investigate distraction and sensory monitoring in this largely unexplored field, albeit one replete with methodological difficulties. Copyright © 2017 Elsevier Ltd. All rights reserved.

A More Peaceful World Regional Conflict Trends and U. S. Defense Planning

Science.gov (United States)

2017-01-01

projections suggests that it is rela- tively more important for the United States to “hedge its bets ”— that is, to plan for the possibility that the...diverge, that suggests it is relatively more important for the United States to “hedge its bets ”—that is, to plan for the possibility that the baseline...is often better to think of the distinction between criminal and political violence as a sliding scale and to recognize that the distinction is a

Humps in the volatility structure of the crude oil futures market: New evidence

International Nuclear Information System (INIS)

Chiarella, Carl; Kang, Boda; Nikitopoulos, Christina Sklibosios; Tô, Thuy-Duong

2013-01-01

This paper analyses the volatility structure of commodity derivatives markets. The model encompasses hump-shaped, unspanned stochastic volatility, which entails a finite-dimensional affine model for the commodity futures curve and quasi-analytical prices for options on commodity futures. Using an extensive database of crude oil futures and futures options spanning 21 years, we find the presence of hump-shaped, partially spanned stochastic volatility in the crude oil market. The hump shaped feature is more pronounced when the market is more volatile, and delivers better pricing as well as hedging performance under various dynamic factor hedging schemes. - Highlights: • This paper analyses the volatility structure of commodity derivatives markets. • 21-years of data on crude oil futures and futures options is used. • The crude oil futures market has hump-shaped, unspanned stochastic volatility. • The hump shaped feature is more pronounced when the market is more volatile. • Hump shape delivers better pricing and hedging compared to exponential decay

Speculation, Hedging, and Interest Rates

DEFF Research Database (Denmark)

Buraschi, Andrea; Whelan, Paul

of Treasury bond markets that the singleagent paradigm finds difficult to reconcile. Empirically, we test predictions from themodel using a large dataset on beliefs about fundamentals and find that: (i) shocksto disagreement lower short term interest rates; (ii) raise the slope of the yield curve;and (iii...

The true invariant of an arbitrage free portfolio

Science.gov (United States)

Schmidt, Anatoly B.

2003-03-01

It is shown that the arbitrage free portfolio paradigm being applied to a portfolio with an arbitrary number of shares N allows for the extended solution in which the option price F depends on N. However the resulting stock hedging expense Q= MF (where M is the number of options in the portfolio) does not depend on whether N is treated as an independent variable or as a parameter. Therefore the stock hedging expense is the true invariant of the arbitrage free portfolio paradigm.

On the Pricing of American Options.

Science.gov (United States)

1986-05-01

in the construction of a " hedging portfolio" (section 4). In particular, (2.7) and (2.8) imply n-d, i.e., that there exist exactly as many stocks as...called hedging property of the portfolio; we impose it by postulating that the process An t () n t t i At I f.(s)dX + If7o(s)X ii(s)ds fgds +V (3.7) i...European claim: the gains from the portfolio and the gains from the claim should coincide, so that no arbitrage opportunities could exist. Equivalently

A Treasury perspective: where does bank debt fit in your capital structure?

International Nuclear Information System (INIS)

Smith, J. C.

1998-01-01

The nature and importance of the relationship between banks and operating companies as the foundation for securing funds for day-to-day operating expenses on reasonable terms and conditions, were explored. The nature of bank loans, what to watch for in a loan agreement, when to ask for changes, the level of desirable debt, the mysteries of debt to cash flow ratios, and the principles underlying their management, the effect of hedging on ratios, limitations of hedging programs, and the differences between corporate versus project loans were reviewed

Alternatives: the right medicine for your portfolio?

Science.gov (United States)

Doody, Dennis

2006-01-01

Because they often play an active role in developing their portfolio companies' strategies, private capital investment managers can add significant value to companies in their portfolio. The relative inefficiency of private capital markets can give savvy investors an edge that they can not so easily gain in the more efficient public markets. Originally created as a means to reduce volatility, hedge funds should not be seen as the high-risk bets that they are widely perceived to be. Most hedge funds actually are concerned with protecting downside risk.

On CAPM and Black-Scholes differing risk-return strategies

Science.gov (United States)

McCauley, Joseph L.; Gunaratne, Gemunu H.

2003-11-01

In their path-finding 1973 paper, Black and Scholes presented two separate derivations of their famous option pricing partial differential equation. The second derivation was from the standpoint that was Black's original motivation, namely, the capital asset pricing model (CAPM). We show here, in contrast, that the option valuation is not uniquely determined; in particular, strategies based on the delta-hedge and CAPM provide different valuations of an option although both hedges are instantaneouly riskfree. Second, we show explicitly that CAPM is not, as economists claim, an equilibrium theory.

Wood-from-energy system and employment: effects on environment

International Nuclear Information System (INIS)

Defaye, S.

1991-01-01

Biomass and forest product under-extraction are strongly linked to rural zone desertification and to environmental degradation. It is shown how agriculture and forests are complementary areas and resources. Two concepts for rural zone management are presented and discussed: an environmentalist concept (such as maintenance of hedges and tree lines, without real profits), and a developmentalist concept (hedges and tree lines may generate products and profits). An approach that is at the same time local (and regional) in a global manner and on mean and long term, is required

Risk-minimisation in electricity markets

DEFF Research Database (Denmark)

Tegner, Martin; Ernstsen, Rune Ramsdal; Skajaa, Anders

2017-01-01

This paper analyses risk management of fixed price, unspecified consumption contracts in energy markets. We model the joint dynamics of the spot-price and the consumption of electricity, study expected loss minimisation for different loss measures, and derive optimal static hedge strategies based...... on forward contracts. The strategies are implemented empirically and compared to a benchmark strategy widely used by the industry. On 2012–2014 Nordic market data, the suggested hedges significantly outperform the benchmark: The realised cumulative profit-and-losses are greater for almost every single one...

Volatility in energy prices

International Nuclear Information System (INIS)

Duffie, D.

1999-01-01

This chapter with 58 references reviews the modelling and empirical behaviour of volatility in energy prices. Constant volatility and stochastic volatility are discussed. Markovian models of stochastic volatility are described and the different classes of Markovian stochastic volatility model are examined including auto-regressive volatility, option implied and forecasted volatility, Garch volatility, Egarch volatility, multivariate Garch volatility, and stochastic volatility and dynamic hedging policies. Other volatility models and option hedging are considered. The performance of several stochastic volatility models as applied to heating oil, light oil, natural gas, electricity and light crude oil are compared

Trading with energy derivatives in the U.S. electricity market : a NYMEX update

International Nuclear Information System (INIS)

Burke, L.

1998-01-01

This presentation provided a primer on futures and options trading, trading in energy derivatives and the role that NYMEX, the New York Mercantile Exchange plays in this area. Among many other concepts put and call options, the benefits of options, hedging, the characteristics of a hedge are defined, with an explanation of the significance and the application of these concepts in risk management. The nature of futures contracts for oil, natural gas and electricity, and the current status of the eastern and western electricity markets in the United States are also outlined. tabs., figs

Deciduous shrubs for ozone bioindication: Hibiscus syriacus as an example

Energy Technology Data Exchange (ETDEWEB)

Paoletti, Elena [Institut Plant Protection (IPP), National Council Research (CNR), Via Madonna del Piano 10, 50019 Sesto Fiorentino, Florence (Italy)], E-mail: e.paoletti@ipp.cnr.it; Ferrara, Anna Maria [Istituto per le Piante da Legno e l' Ambiente (IPLA), Corso Casale 476, 10132 Turin (Italy); Calatayud, Vicent; Cervero, Julia [Fundacion C.E.A.M., Charles R. Darwin 14, Parc Tecnologic, 46980 Paterna, Valencia (Spain); Giannetti, Fabio [Istituto per le Piante da Legno e l' Ambiente (IPLA), Corso Casale 476, 10132 Turin (Italy); Sanz, Maria Jose [Fundacion C.E.A.M., Charles R. Darwin 14, Parc Tecnologic, 46980 Paterna, Valencia (Spain); Manning, William J. [Department of Plant, Soil and Insect Sciences, University of Massachusetts, Amherst, MA 01003-9320 (United States)

2009-03-15

Ozone-like visible injury was detected on Hibiscus syriacus plants used as ornamental hedges. Weekly spray of the antiozonant ethylenediurea (EDU, 300 ppm) confirmed that the injury was induced by ambient ozone. EDU induced a 75% reduction in visible injury. Injury was more severe on the western than on the eastern exposure of the hedge. This factor of variability should be considered in ozone biomonitoring programmes. Seeds were collected and seedlings were artificially exposed to ozone in filtered vs. not-filtered (+30 ppb) Open-Top Chambers. The level of exposure inducing visible injury in the OTC seedlings was lower than that in the ambient-grown hedge. The occurrence of visible injury in the OTC confirmed that the ozone sensitivity was heritable and suggested that symptomatic plants of this deciduous shrub population can be successfully used as ozone bioindicators. EDU is recommended as a simple tool for diagnosing ambient ozone visible injury on field vegetation. - An Italian population of the deciduous shrub Hibiscus syriacus, a common ornamental species in temperate zones, is recommended as ozone bioindicator.

Deciduous shrubs for ozone bioindication: Hibiscus syriacus as an example

International Nuclear Information System (INIS)

Paoletti, Elena; Ferrara, Anna Maria; Calatayud, Vicent; Cervero, Julia; Giannetti, Fabio; Sanz, Maria Jose; Manning, William J.

2009-01-01

Ozone-like visible injury was detected on Hibiscus syriacus plants used as ornamental hedges. Weekly spray of the antiozonant ethylenediurea (EDU, 300 ppm) confirmed that the injury was induced by ambient ozone. EDU induced a 75% reduction in visible injury. Injury was more severe on the western than on the eastern exposure of the hedge. This factor of variability should be considered in ozone biomonitoring programmes. Seeds were collected and seedlings were artificially exposed to ozone in filtered vs. not-filtered (+30 ppb) Open-Top Chambers. The level of exposure inducing visible injury in the OTC seedlings was lower than that in the ambient-grown hedge. The occurrence of visible injury in the OTC confirmed that the ozone sensitivity was heritable and suggested that symptomatic plants of this deciduous shrub population can be successfully used as ozone bioindicators. EDU is recommended as a simple tool for diagnosing ambient ozone visible injury on field vegetation. - An Italian population of the deciduous shrub Hibiscus syriacus, a common ornamental species in temperate zones, is recommended as ozone bioindicator

The 'side effects' of medicalization: a meta-analytic review of how biogenetic explanations affect stigma.

Science.gov (United States)

Kvaale, Erlend P; Haslam, Nick; Gottdiener, William H

2013-08-01

Reducing stigma is crucial for facilitating recovery from psychological problems. Viewing these problems biomedically may reduce the tendency to blame affected persons, but critics have cautioned that it could also increase other facets of stigma. We report on the first meta-analytic review of the effects of biogenetic explanations on stigma. A comprehensive search yielded 28 eligible experimental studies. Four separate meta-analyses (Ns=1207-3469) assessed the effects of biogenetic explanations on blame, perceived dangerousness, social distance, and prognostic pessimism. We found that biogenetic explanations reduce blame (Hedges g=-0.324) but induce pessimism (Hedges g=0.263). We also found that biogenetic explanations increase endorsement of the stereotype that people with psychological problems are dangerous (Hedges g=0.198), although this result could reflect publication bias. Finally, we found that biogenetic explanations do not typically affect social distance. Promoting biogenetic explanations to alleviate blame may induce pessimism and set the stage for self-fulfilling prophecies that could hamper recovery from psychological problems. Copyright © 2013 Elsevier Ltd. All rights reserved.

Derivation of optimal joint operating rules for multi-purpose multi-reservoir water-supply system

Science.gov (United States)

Tan, Qiao-feng; Wang, Xu; Wang, Hao; Wang, Chao; Lei, Xiao-hui; Xiong, Yi-song; Zhang, Wei

2017-08-01

The derivation of joint operating policy is a challenging task for a multi-purpose multi-reservoir system. This study proposed an aggregation-decomposition model to guide the joint operation of multi-purpose multi-reservoir system, including: (1) an aggregated model based on the improved hedging rule to ensure the long-term water-supply operating benefit; (2) a decomposed model to allocate the limited release to individual reservoirs for the purpose of maximizing the total profit of the facing period; and (3) a double-layer simulation-based optimization model to obtain the optimal time-varying hedging rules using the non-dominated sorting genetic algorithm II, whose objectives were to minimize maximum water deficit and maximize water supply reliability. The water-supply system of Li River in Guangxi Province, China, was selected for the case study. The results show that the operating policy proposed in this study is better than conventional operating rules and aggregated standard operating policy for both water supply and hydropower generation due to the use of hedging mechanism and effective coordination among multiple objectives.

Subjective well-being among Episcopal priests: predictors and comparisons to non-clinical norms.

Science.gov (United States)

Stewart-Sicking, Joseph A

2012-01-01

Few studies of the clergy have examined emotional well-being using normed measures. This study examined subjective well-being among 1,581 non-retired Episcopal priests. Subjective well-being was measured with the Positive and Negative Affect Schedule (Watson, Clark, & Tellegen, 1988) and the Satisfaction with Life Scale (Diener, Emmons, Larsen, & Griffin, 1985). Predictors of subjective well-being were measured with the Dispositional Hope Scale (Snyder et al., 1991) and scales of personal practices, social support, congregational dynamics, fit, and economic satisfaction. Participants reported more positive affect (Hedges's g = 1.19), more negative affect (Hedges's g = 0.61) and more satisfaction with life (Hedges's g = 0.73) than nonclinical norms. Hope agency was the strongest predictor for positive affect and satisfaction with life; stress was the strongest predictor for negative affect and partially mediated the effect of congregational dynamics and fit on this outcome. Results suggest that prevention programs must focus on all aspects of subjective well-being and consider the direct effects of different levels of the ecosystem to be effective.

Study of Allelopathic Interaction of Wheat (Triticum aestivum L. and Some Weed Species Using Equal - Compartment – Agar Method

Directory of Open Access Journals (Sweden)

M. R Labbafi

2012-02-01

Full Text Available There are many methods for weed management one of them is putting allelopathic and cover crop in weed management programs. In order to study the effect of sowing time (delayed sowing, synchronic sowing and wheat cultivars (Shiraz, Roshan, Tabasi, Niknejad on allelopathic interaction of wheat and weed species (Secale cereale L., Avena ludoviciana L.: monocotyledon, Convolvulus arvensis L. and Vicia villosa L.: dicotyledon, an experiment was conducted with factorial arrangement in a completely randomized design and 4 replications. According to the results, the inhibitory effect of wheat on monocot weeds (oat and rye was more than in synchronic sowing and the inhibitory effect of wheat on dicot weeds (bindweed and vetch was more than in delayed sowing. Effect of wheat cultivars on rye and oat (except hypocotyls length was inhibitory and that of vetch was stimulatory. Hypocotyls length showed the most sensitivity to released allelochemicals from wheat cultivars, because root has the most contact with allelochemicals in the soil.

The Effect of Post-Exercise Cryotherapy on Recovery Characteristics: A Systematic Review and Meta-Analysis.

Directory of Open Access Journals (Sweden)

Erich Hohenauer

Full Text Available The aim of this review and meta-analysis was to critically determine the possible effects of different cooling applications, compared to non-cooling, passive post-exercise strategies, on recovery characteristics after various, exhaustive exercise protocols up to 96 hours (hrs. A total of n = 36 articles were processed in this study. To establish the research question, the PICO-model, according to the PRISMA guidelines was used. The Cochrane's risk of bias tool, which was used for the quality assessment, demonstrated a high risk of performance bias and detection bias. Meta-analyses of subjective characteristics, such as delayed-onset muscle soreness (DOMS and ratings of perceived exertion (RPE and objective characteristics like blood plasma markers and blood plasma cytokines, were performed. Pooled data from 27 articles revealed, that cooling and especially cold water immersions affected the symptoms of DOMS significantly, compared to the control conditions after 24 hrs recovery, with a standardized mean difference (Hedges' g of -0.75 with a 95% confidence interval (CI of -1.20 to -0.30. This effect remained significant after 48 hrs (Hedges' g: -0.73, 95% CI: -1.20 to -0.26 and 96 hrs (Hedges' g: -0.71, 95% CI: -1.10 to -0.33. A significant difference in lowering the symptoms of RPE could only be observed after 24 hrs of recovery, favouring cooling compared to the control conditions (Hedges' g: -0.95, 95% CI: -1.89 to -0.00. There was no evidence, that cooling affects any objective recovery variable in a significant way during a 96 hrs recovery period.

European option pricing under the Student's t noise with jumps

Science.gov (United States)

Wang, Xiao-Tian; Li, Zhe; Zhuang, Le

2017-03-01

In this paper we present a new approach to price European options under the Student's t noise with jumps. Through the conditional delta hedging strategy and the minimal mean-square-error hedging, a closed-form solution of the European option value is obtained under the incomplete information case. In particular, we propose a Value-at-Risk-type procedure to estimate the volatility parameter σ such that the pricing error is in accord with the risk preferences of investors. In addition, the numerical results of us show that options are not priced in some cases in an incomplete information market.

Tychastic measure of viability risk

CERN Document Server

Aubin, Jean-Pierre; Dordan, Olivier

2014-01-01

This book presents a forecasting mechanism of the price intervals for deriving the SCR (solvency capital requirement) eradicating the risk during the exercise period on one hand, and measuring the risk by computing the hedging exit time function associating with smaller investments the date until which the value of the portfolio hedges the liabilities on the other. This information, summarized under the term “tychastic viability measure of risk” is an evolutionary alternative to statistical measures, when dealing with evolutions under uncertainty. The book is written by experts in the field and the target audience primarily comprises research experts and practitioners.

Editorial Volume 6 Issue 3

Directory of Open Access Journals (Sweden)

Ciorstan Smark

2012-09-01

Full Text Available This issue of AABFJ has several finance articles related to the Australian securities market. Segara, Das and Turner (2012 report results from the use of active extension strategies in the Australian equities market. Lee (2012 examines whether individual hedge funds and funds-of-hedge funds (FOHFs exhibit risk-return trade-off patterns. Finally, Aldamen, Duncan and Khan (2012 explore the impact of corporate governance on the demand for debt in the Australian market. Pickering (2012 explores the issue of whether public (ASX listed or partnership ownership of accounting firms is the more efficient form.

Differential Absorption as a Factor Influencing the Selective Toxicity of MCPA and MCPB

Energy Technology Data Exchange (ETDEWEB)

Kirkwood, R. C.; Robertson, M. M.; Smith, J. E. [University of Strathclyde, Glasgow (United Kingdom)

1966-05-15

Experiments were carried out with autoradiographic and counting techniques to determine if differential absorption was a factor influencing the selective toxicity of the foliar-applied herbicides, 4-chloro-2 methylphenoxyacetic acid (MCPA) and 4-(4-chloro-2-methylphenoxy) butyric acid (MCPB). Treatment of fat hen (Chenopodium album) which is susceptible to both herbicides and black bindweed (Polygonum convolvulus) which is resistant to both, showed that MCPA and MCPB were extensively translocated in the susceptible species; both, however, remained localized in the treated leaves of the resistant black bindweed. Further experiments using broad bean (Vicia faba) which was susceptible to MCPA and resistant to equivalent doses of MCPB showed that considerably more MCPA was translocated throughout the treated plants. Leaf flotation experiments suggested that differential penetration of bean leaf cuticle, may in part at least, explain this difference in toxicity. Greater uptake of MCPA after 6- and 8-h treatment periods was recorded and penetration of both herbicides was generally more rapid through the abaxial surface, reflecting the presence of stomata and the thinner cuticle of the under-surface. Further evidence of the action of cuticle as a selective barrier to herbicide penetration was obtained using cuticle isolated from tomato fruits and onion scale leaves. These results are to be confirmed using bean leaf cuticles. Whilst in the higher plants MCPA is more toxic than MCPB, previous work has shown that MCPB is a more effective inhibitor of lower organisms such as bacteria, fungi and algae. Treatment of mycelial discs of Aspergillus niger showed that absorption of MCPB was more rapid than MCPA, though the differential tended to diminish during the 20-h treatment period. Respiratory inhibition closely followed the uptake pattern. Repeated experiments using mitochondria isolated from A.niger mycelium have demonstrated that greater uptake of MCPB coincided with an

Rhythmic Auditory Cueing in Motor Rehabilitation for Stroke Patients: Systematic Review and Meta-Analysis.

Science.gov (United States)

Yoo, Ga Eul; Kim, Soo Ji

2016-01-01

Given the increasing evidence demonstrating the effects of rhythmic auditory cueing for motor rehabilitation of stroke patients, this synthesized analysis is needed in order to improve rehabilitative practice and maximize clinical effectiveness. This study aimed to systematically analyze the literature on rhythmic auditory cueing for motor rehabilitation of stroke patients by highlighting the outcome variables, type of cueing, and stage of stroke. A systematic review with meta-analysis of randomized controlled or clinically controlled trials was conducted. Electronic databases and music therapy journals were searched for studies including stroke, the use of rhythmic auditory cueing, and motor outcomes, such as gait and upper-extremity function. A total of 10 studies (RCT or CCT) with 356 individuals were included for meta-analysis. There were large effect sizes (Hedges's g = 0.984 for walking velocity; Hedges's g = 0.840 for cadence; Hedges's g = 0.760 for stride length; and Hedges's g = 0.456 for Fugl-Meyer test scores) in the use of rhythmic auditory cueing. Additional subgroup analysis demonstrated that although the type of rhythmic cueing and stage of stroke did not lead to statistically substantial group differences, the effect sizes and heterogeneity values in each subgroup implied possible differences in treatment effect. This study corroborates the beneficial effects of rhythmic auditory cueing, supporting its expanded application to broadened areas of rehabilitation for stroke patients. Also, it suggests the future investigation of the differential outcomes depending on how rhythmic auditory cueing is provided in terms of type and intensity implemented. © the American Music Therapy Association 2016. All rights reserved. For permissions, please e-mail: journals.permissions@oup.com.

Friendship in school-age boys with autism spectrum disorders: A meta-analytic summary and developmental, process-based model.

Science.gov (United States)

Mendelson, Jenna L; Gates, Jacquelyn A; Lerner, Matthew D

2016-06-01

Friendship-making is considered a well-established domain of deficit for children with autism spectrum disorders (ASD; American Psychiatric Association, 2013), with this population sometimes described as incapable of making friends. However, the majority of children with ASD indicate a desire for friends, and many report having friends. To what degree, then, do youth with ASD succeed in achieving friendships with peers? If and when they do succeed, by what means do these friendships emerge relative to models of typically developing (TD) youths' friendships? To address these questions, we first meta-analyzed the descriptive friendship literature (peer-reported sociometrics, self-report, parent-report) among school-age boys with ASD. Using random effects models, we found that youth with ASD do make friends according to peers and parents (Hedges's g > 2.84). However, self-reported friendship quality (Hedges's g = -1.09) and parent- and peer-reported quantity (Hedges's g friendship in TD youth (Hartup & Stevens, 1997). We then present a model that synthesizes these domains through the construct of social information processing speed, and thereby present the first developmental, process-based model of friendship development among youth with ASD. (PsycINFO Database Record (c) 2016 APA, all rights reserved).

Returns Effect, Shocks and Volatility Transmission between Foreign Exchange-Stock Markets in Nigeria

Directory of Open Access Journals (Sweden)

Agya Atabani Adi

2017-03-01

Full Text Available The paper examined effect of passed return on current return, shocks spillover and volatility transmission between FX-Stock markets. Using result obtained from VAR-GARCH models, we also calculate the optimal weight and risk minimizing hedging ratio for FX-Stock markets and employed the newly developed bivariate GARCH framework Findings reveal evidence of short term predictability in both markets through time. One period lagged returns significantly impact current return in both markets, and impact was greater in FX market both VAR-GARCH and VAR-AGARCH models. There were evidence of bi-directional volatility transmission in both markets and uni-directional shocks spillover from stock to FX market in both models. VAR-AGARCH model showed evidence of leverage effect; bad news has more impact on volatility than positive news of the same magnitude. We showed that optimal polio of FX-Stock market should holds more foreign exchange to stocks in their asset polio. Our result showed evidence of effective hedging in FX-Stock markets in Nigerian. Hence, the inclusion of stocks in diversified polio of foreign exchange could improve it risks adjusted performance of hedging ratio.

Döviz Kuru Riski Yönetimi: Türkiye Tütün Endüstrisi Örneği (Exchange Rate Risk Management: The Case Of Turkish Tobacco Industry

Directory of Open Access Journals (Sweden)

Murat DOĞANAY

2016-03-01

Full Text Available The exchange rate movements, along with globalization, have become more important not only for financial institutions but also for real sector companies. Also exchange rate risk is important for non-financial companies regards to both assets and liabilities. Management of this exchange rate risk exposure has an impact on competitiveness of these companies. This paper reviews the impact level of exchange rate movements, determination of the structure of exchange rate risk position on the basis of currency and also determination of the approaches to exchange rate risk management in the tobacco industry which has very high concentration level. It’s found that the firms want to hedge against the exchange rate risk particularly in the export transactions. A significant number of firms don’t use exchange rate risk management systematically. The firms prefer operational hedging much more than financial hedging. The primarily reasons of not using financial tools in the exchange rate risk management are the presence of import transactions and the expectation of exchange rate increase. Finally, it’s concluded that the firms use foreign currency loans as a tool for exchange rate risk management in order to balance their exchange rate risk position.

Long-term energy planning with uncertain environmental performance metrics

International Nuclear Information System (INIS)

Parkinson, Simon C.; Djilali, Ned

2015-01-01

Highlights: • Environmental performance uncertainty considered in a long-term energy planning model. • Application to electricity generation planning in British Columbia. • Interactions with climate change mitigation and adaptation strategy are assessed. • Performance risk-hedging impacts the technology investment strategy. • Sensitivity of results to model formulation is discussed. - Abstract: Environmental performance (EP) uncertainties span a number of energy technology options, and pose planning risk when the energy system is subject to environmental constraints. This paper presents two approaches to integrating EP uncertainty into the long-term energy planning framework. The methodologies consider stochastic EP metrics across multiple energy technology options, and produce a development strategy that hedges against the risk of exceeding environmental targets. Both methods are compared within a case study of emission-constrained electricity generation planning in British Columbia, Canada. The analysis provides important insight into model formulation and the interactions with concurrent environmental policy uncertainties. EP risk is found to be particularly important in situations where environmental constraints become increasingly stringent. Model results indicate allocation of a modest risk premium in these situations can provide valuable hedging against EP risk

Hedging tools and cross market applications

International Nuclear Information System (INIS)

Schlenker, C.

1997-01-01

The nature of the basic tools of the market - put, call, and swap - their various combinations and how they are used in various market transactions were explained. The role and effect of the use of these tools on prices, price fluctuations and risks were outlined. Predictions for the future for producers (reduced use of price optimization and its replacement by price diversification strategies, realignment of risk management tools to be in accord with the changed marketing techniques), and for end users (focus on managing short term fluctuations in input costs, short-term price fixing, more frequent utilization of traditional option strategies and spread options), were summarized. For the electricity market in particular, the prominence of gas-fired generation units as options on the spread between gas and electricity, providing opportunities for outperformance options was predicted

Estimating the commodity market price of risk for energy prices

International Nuclear Information System (INIS)

Kolos, Sergey P.; Ronn, Ehud I.

2008-01-01

The purpose of this paper is to estimate the ''market price of risk'' (MPR) for energy commodities, the ratio of expected return to standard deviation. The MPR sign determines whether energy forward prices are upward- or downward-biased predictors of expected spot prices. We estimate MPRs using spot and futures prices, while accounting for the Samuelson effect. We find long-term MPRs generally positive and short-term negative, consistent with positive energy betas and hedging, respectively. In spot electricity markets, MPRs in Day-Ahead Prices agree with short-dated futures. Our results relate risk premia to informed hedging decisions, and futures prices to forecast/expected prices. (author)

Non-integrated electricity suppliers: the failure of an organisational model

International Nuclear Information System (INIS)

Boroumand, R.H.

2009-01-01

In the reference model of market liberalization, the reference business model is the pure electricity retailer. But bankruptcy, merger or vertical integration are indicative of the failure of this organizational model and its incapacity to manage efficiently the combination of sourcing and market risks in a setting of fierce price competition. Because of the structural dimension of electricity's volume risk, a supplier's level of risk exposure is unknown ex ante and will only be revealed ex post when consumption is known. Sourcing and selling portfolios of hedging contracts are incomplete risk management tools. Consequently, physical hedging is an essential complement to portfolios of contracts to overcome the pure supplier's curse. (author)

Defense Science Board Summer Study on Strategic Surprise

Science.gov (United States)

2015-07-01

actions and hedges against changing priorities. The study focused on potential regrets in eight areas and provides recommendations to avoid ... avoid   potential  regrets  in 2024.  A Changing Context for Operations  The study explored current and future operational contexts. The study defined...hedge against these and similar surprises—and to  avoid   regretting  actions or lack  of action taken today—the study evaluated several key mission and

Exploratory analysis of the effectiveness of guarantee derivative instruments from IFRS

Directory of Open Access Journals (Sweden)

Fernando Bravo Herrera

2011-06-01

Full Text Available This paper provides an exploration of major traded derivative instruments in Chile, the interest rate swaps, and most commonly used valuation methods, addressing financial risk management in the context of the International Financial Reporting Standards (IFRS. We analyze the requirements for adopting hedge accounting, particularly with regard to evidence of effectiveness, and discuss particular aspects of the Chilean case that companies must face the time to prove the validity of contracts and contract coverage. The study’s findings suggest that the local market still has problems of efficiency and availability of information to (i properly manage financial risks and (ii demonstrate the effectiveness of hedges under IFRS.

Pricing the (European) option to switch between two energy sources: An application to crude oil and natural gas

International Nuclear Information System (INIS)

Gatfaoui, Hayette

2015-01-01

We consider a firm, which can choose between crude oil and natural gas to run its business. The firm selects the energy source, which minimizes its energy or production costs at a given time horizon. Assuming the energy strategy to be established over a fixed time window, the energy choice decision will be made at a given future date T. In this light, the firm's energy cost can be considered as a long position in a risk-free bond by an amount of the terminal oil price, and a short position in a European put option to switch from oil to gas by an amount of the terminal oil price too. As a result, the option to switch from crude oil to natural gas allows for establishing a hedging strategy with respect to energy costs. Modeling stochastically the underlying asset of the European put, we propose a valuation formula of the option to switch and calibrate the pricing formula to empirical data on a daily basis. Hence, our innovative framework handles widely the hedge against the price increase of any given energy source versus the price of another competing energy source (i.e. minimizing energy costs). Moreover, we provide a price for the cost-reducing effect of the capability to switch from one energy source to another one (i.e. hedging energy price risk). - Highlights: • We consider a firm, which chooses either crude oil or natural gas as an energy source. • The capability to switch offers the firm a hedge against energy commodity price risk. • A European put option prices the ability to switch from crude oil to natural gas. • The capability to switch between two energy sources reduces the firm's energy costs. • The discount illustrates the efficiency of the energy management policy (e.g. timing).

Cigarette advertising and onset of smoking in children: questionnaire survey.

Science.gov (United States)

While, D; Kelly, S; Huang, W; Charlton, A

1996-08-17

To investigate uptake of smoking in a cohort of 11 to 12 year olds related to awareness of advertised cigarette brands named. Self completed questionnaires administered to whole classes of schoolchildren in June 1993 and June 1994. Primary, middle, and secondary schools in the north and south of England. 1450 pupils aged 11 and 12 years at the time of the first survey. Onset of smoking and brands smoked by the second survey related to cigarette brands named in the first one. Less advertised brands were used as the base for calculating odds ratios. Girls who named the most advertised brands-namely, Benson and Hedges alone (odds ratio = 2.50, 95% confidence interval = 1.18 to 5.30) or Benson and Hedges and Silk Cut (2.15, 1.04 to 4.42) in the first survey were at greatest risk of taking up smoking by the second one. The difference was similar but not significant for boys. Boys and girls who named the least advertised brands in the first survey were at no greater risk of taking up smoking by the second survey than those who named no brands (boys odds ratio = 0.49 (0.24 to 1.01); girls 0.79 (0.38 to 1.62)). New smokers were more likely to smoke any available brand (29.5%) or a less advertised brand such as Embassy (24.6%) than the most advertised ones, Benson and Hedges (19.7%) and Silk Cut (14.8%). Established smokers were more selective, only 15% smoking any available brand and 38.3% smoking Benson and Hedges. Cigarette advertising appears to increase children's awareness of smoking at a generic level and encourages them to take up the behaviour, beginning with any cigarettes which are available and affordable.

The efficacy of music therapy for people with dementia: A meta-analysis of randomised controlled trials.

Science.gov (United States)

Chang, Yu-Shiun; Chu, Hsin; Yang, Chyn-Yng; Tsai, Jui-Chen; Chung, Min-Huey; Liao, Yuan-Mei; Chi, Mei-ju; Liu, Megan F; Chou, Kuei-Ru

2015-12-01

To (1) perform a meta-analysis of randomised controlled trials pertaining to the efficacy of music therapy on disruptive behaviours, anxiety levels, depressive moods and cognitive functioning in people with dementia; and (2) clarify which interventions, therapists and participant characteristics exerted higher and more prominent effects. Present study was the first to perform a meta-analysis that included all the randomised controlled trials found in literature relating to music therapy for people with dementia over the past 15 years. A meta-analysis study design. Quantitative studies were retrieved from PubMed, Medline, Cochrane Library Database, CINAHL, SCOPUS and PsycINFO. A meta-analysis was used to calculate the overall effect sizes of music therapy on outcome indicators. Music therapy significantly improved disruptive behaviours [Hedges' g = -0·66; 95% confidence interval (CI) = -0·44 to -0·88] and anxiety levels (Hedges' g = -0·51; 95% CI = -0·02 to -1·00) in people with dementia. Music therapy might affect depressive moods (Hedges' g = -0·39; 95% CI = 0·01 to -0·78), and cognitive functioning (Hedges' g = 0·19; 95% CI = 0·45 to -0·08). Music therapy exerted a moderately large effect on disruptive behaviours of people with dementia, a moderate effect on anxiety levels and depressive moods, and a small effect on cognitive functioning. Individual music therapy provided once a week to patients with cognitive functioning and manual guided in music intervention construction is suggested. Group music therapy is provided several times a week to reduce their disruptive behaviours, anxiety levels and depressive moods. Music therapy is a cost-effective, enjoyable, noninvasive therapy and could be useful for clinical nurses in creating an environment that is conducive to the well-being of patients with dementia. © 2015 John Wiley & Sons Ltd.

CREDIT DEFAULT SWAPS IN THE MECHANISM OF REDISTRIBUTION OF CREDIT RISK

Directory of Open Access Journals (Sweden)

O. Solodka

2015-03-01

Full Text Available In the article the economic nature and the functioning of CDS in terms of efficient redistribution of credit risk. The features of the dynamics of the nominal volume of the world market CDS, the gross market value and net market value of the CDS. Proved that more objective indicators of total credit risk shenerovanoho financial institutions are gross market value of the CDS and the net market value of CDS. We consider the variety and scope of CDS. Studied objectivity CDS valuation depending on the basis for valuation of CDS. In the mechanism of functioning CDS credit event as defined default “subject matter”, the features of conventional and technical default. Noted that a credit event for the use of CDS may also restructuring the company, bankruptcy or downgrade economic entity. In the article the types of CDS, including Basket Default Swap and First-of- Basket-to-Default Swap. We consider the application of CDS, namely hedge the credit risk of the underlying asset, which issued CDS; hedging credit risk of other assets by CDS; speculative trading in CDS. Depending on the particular basis for valuation of CDS, investigated objective valuation based on the value of CDS hedging; valuation CDS, based on the intensity of default; CDS valuation based on credit rating; valuation CDS, based on the value of the company. Proved that hedging through CDS will be effective only for the low correlation between the default of the underlying asset and counterparty default on swaps. It is proved that the accuracy and redutsyrovanyh structural models strongly depends on the “a long history of trading” underlying assets, asset must have a long history of trading, be the subject of in-depth analysis of a wide range of analysts and traders.

Internet interventions for chronic pain including headache: A systematic review

Directory of Open Access Journals (Sweden)

Monica Buhrman

2016-05-01

Full Text Available Chronic pain is a major health problem and behavioral based treatments have been shown to be effective. However, the availability of these kinds of treatments is scarce and internet-based treatments have been shown to be promising in this area. The objective of the present systematic review is to evaluate internet-based interventions for persons with chronic pain. The specific aims are to do an updated review with a broad inclusion of different chronic pain diagnoses and to assess disability and pain and also measures of catastrophizing, depression and anxiety. A systematic search identified 891 studies and 22 trials were selected as eligible for review. Two of the selected trials included children/youth and five included individuals with chronic headache and/or migraine. The most frequently measured domain reflected in the primary outcomes was interference/disability, followed by catastrophizing. Result across the studies showed a number of beneficial effects. Twelve trials reported significant effects on disability/interference outcomes and pain intensity. Positive effects were also found on psychological variable such as catastrophizing, depression and anxiety. Several studies (n = 12 were assessed to have an unclear level of risk bias. The attrition levels ranged from 4% to 54% where the headache trials had the highest drop-out levels. However, findings suggest that internet-based treatments based on cognitive behavioural therapy (CBT are efficacious measured with different outcome variables. Results are in line with trials in clinical settings. Meta-analytic statistics were calculated for interference/disability, pain intensity, catastrophizing and mood ratings. Results showed that the effect size for interference/disability was Hedge's g = −0.39, for pain intensity Hedge's g = −0.33, for catastrophizing Hedge's g = −0.49 and for mood variables (depression Hedge's g = −0.26.

Gold and oil futures markets: Are markets efficient?

Energy Technology Data Exchange (ETDEWEB)

Narayan, Paresh Kumar; Zheng, Xinwei [School of Accounting, Economics and Finance, Faculty of Business and Law, Deakin University, 221 Burwood Highway, Burwood, Victoria 3125 (Australia); Narayan, Seema [School of Economics Finance and Marketing, RMIT University, Melbourne (Australia)

2010-10-15

In this paper we examine the long-run relationship between gold and oil spot and futures markets. We draw on the conceptual framework that when oil price rises, it creates inflationary pressures, which instigate investments in gold as a hedge against inflation. We test for the long-run relationship between gold and oil futures prices at different maturity and unravel evidence of cointegration. This implies that: (a) investors use the gold market as a hedge against inflation and (b) the oil market can be used to predict the gold market prices and vice versa, thus these two markets are jointly inefficient, at least for the sample period considered in this study. (author)

Energy options

International Nuclear Information System (INIS)

Hampton, Michael

1999-01-01

This chapter focuses on energy options as a means of managing exposure to energy prices. An intuitive approach to energy options is presented, and traditional definitions of call and put options are given. The relationship between options and swaps, option value and option exercises, commodity options, and option pricing are described. An end-user's guide to energy option strategy is outlined, and straight options, collars, participating swaps and collars, bull and bear spreads, and swaption are examined. Panels explaining the defining of basis risk, and discussing option pricing and the Greeks, delta hedging, managing oil options using the Black-Scholes model, caps, floors and collars, and guidelines on hedging versus speculation with options are included in the paper

Option's value - Greek measures fluctuations and their consequences

Directory of Open Access Journals (Sweden)

Izabela Pruchnicka-Grabias

2004-01-01

Full Text Available Options are financial instruments that can be applied in many situations. Options buyers sell risk which is bought by their sellers who are obliged to reduce it as much as possible. It can be done by using hedging strategies based on Greek letters and options values analysis. The author proves that Greek letters are not constant during the time of option’s life. The paper shows to what extent they are influenced by such factors as risk free interest rate, volatility, underlying asset price and time to maturity. The conclusion is that options sellers must play an active role, i.e. follow fluctuations of all these parameters and modify their hedging portfolios regularly.

Gold and oil futures markets: Are markets efficient?

International Nuclear Information System (INIS)

Narayan, Paresh Kumar; Zheng, Xinwei; Narayan, Seema

2010-01-01

In this paper we examine the long-run relationship between gold and oil spot and futures markets. We draw on the conceptual framework that when oil price rises, it creates inflationary pressures, which instigate investments in gold as a hedge against inflation. We test for the long-run relationship between gold and oil futures prices at different maturity and unravel evidence of cointegration. This implies that: (a) investors use the gold market as a hedge against inflation and (b) the oil market can be used to predict the gold market prices and vice versa, thus these two markets are jointly inefficient, at least for the sample period considered in this study. (author)

The oil market

International Nuclear Information System (INIS)

Amic, E.; Lautard, P.

1999-01-01

This chapter examines the structure of the oil industry and the impacts of the oil markets on the hedging strategies of the energy consumers, the oil company, and the energy derivatives' provider. An introduction to market perspectives is presented, and the hedging operations in the jet fuel market in the airline sector are discussed. Trading and risk management within an oil company, the derivatives provider, trading derivatives in a multi-dimensional world, locational risks, and the modelling of term structure and the role of storage are considered. Industrial spreads and the role of refining, future market developments and market strategies for crude oil and oil products, and marketing packages and market risk are addressed

Rational destabilizing speculation, positive feedback trading, and the oil bubble of 2008

International Nuclear Information System (INIS)

Tokic, Damir

2011-01-01

This article examines how the interaction of different participants in the crude oil futures markets affects the crude oil price efficiency. Normally, the commercial market participants, such as oil producers and oil consumers, act as arbitrageurs and ensure that the price of crude oil remains within the fundamental value range. However, institutional investors that invest in crude oil to diversify their portfolios and/or hedge inflation can destabilize the interaction among commercial participants and liquidity-providing speculators. We argue that institutional investors can impose limits to arbitrage, particularly during the financial crisis when the investment demand for commodities is particularly strong. In support, we show that commercials hedgers had significantly reduced their short positions leading to the 2008 oil bubble-they were potentially aggressively offsetting their short hedges. As a result, by essentially engaging in a positive feedback trading, commercial hedgers at least contributed to 'the 2008 oil bubble'. These findings have been mainly overlooked by the existing research. - Research Highlights: → This article finds that commercial hedgers at least contributed to the 2008 oil bubble. → Commercial hedgers were aggressively offsetting their short hedges leading to the oil bubble peak. → Commercial hedgers, thus, unwillingly engaged in positive feedback trading. → Institutional investors potentially destabilized the oil markets in 2008.

Eighty Degrees of Separation: Languages of Landscape

Directory of Open Access Journals (Sweden)

Stephanie Rolley

2004-06-01

Full Text Available We sat looking off across the country, watching the sun go down. The curly grass about us was on fire now. The bark of the oaks turned red as copper. There was a shimmer of gold on the brown river. Out in the stream the sandbars glittered like glass, and the light trembled in the willow thickets as if little flames were leaping among them. Willa Cather, My Àntonia Above the carpet bedding, on one hand, there is a green hedge, and above the hedge a long row of cabbage trees. I stare up at them, and suddenly the green hedge is a stave, and the cabbage trees, now high, now low, have become an arrangement of notes-a curious, pattering, native melody. Katherine Mansfield, In the Botanical Gardens Two writers in the early 1900s, Katherine Mansfield in New Zealand and Willa Cather in the United States tallgrass prairie, chronicled both the cultural and-physical nuances of their respective frontiers. Their stories are set in rich textural backdrops, made vivid with their descriptions of natural environments. These descriptions provide the text for this exploration. Their dense and evocative imagery provide a point of departure for a comparison of the two landscapes understood not as 'scenery' but as lived places.

Rational destabilizing speculation, positive feedback trading, and the oil bubble of 2008

Energy Technology Data Exchange (ETDEWEB)

Tokic, Damir, E-mail: Damir.tokic@esc-rennes.f [ESC Rennes - International School of Business, 2 Rue Robert d' Arbissel, 35065 Rennes cedex (France)

2011-04-15

This article examines how the interaction of different participants in the crude oil futures markets affects the crude oil price efficiency. Normally, the commercial market participants, such as oil producers and oil consumers, act as arbitrageurs and ensure that the price of crude oil remains within the fundamental value range. However, institutional investors that invest in crude oil to diversify their portfolios and/or hedge inflation can destabilize the interaction among commercial participants and liquidity-providing speculators. We argue that institutional investors can impose limits to arbitrage, particularly during the financial crisis when the investment demand for commodities is particularly strong. In support, we show that commercials hedgers had significantly reduced their short positions leading to the 2008 oil bubble-they were potentially aggressively offsetting their short hedges. As a result, by essentially engaging in a positive feedback trading, commercial hedgers at least contributed to 'the 2008 oil bubble'. These findings have been mainly overlooked by the existing research. - Research Highlights: {yields} This article finds that commercial hedgers at least contributed to the 2008 oil bubble. {yields} Commercial hedgers were aggressively offsetting their short hedges leading to the oil bubble peak. {yields} Commercial hedgers, thus, unwillingly engaged in positive feedback trading. {yields} Institutional investors potentially destabilized the oil markets in 2008.

Studying Geographical Distribution Map of Weeds of Irrigated Wheat Fields of Ardabil Province

Directory of Open Access Journals (Sweden)

B Soheili

2013-12-01

Full Text Available In order to identify the density and abundance of weeds in irrigated wheat fields of Ardabil Province, 76 samples of irrigated wheat fields based on cultivation area from all counties of Ardabil province for six years (2001-2006 were selected. The genus and species of weeds from each sampling fields and their population indices density, frequency and uniformity of each species were calculated by using Thomas method. Geographic coordinates of field (Latitude, Altitude and Elevation were the main coverage and were determined by using GPS. These data were used for producing weed maps using GIS in irrigated wheat fields of Ardabil province. Results showed that bedstraw (Galium tricurnatum, Fumitory(Fumaria vaillantiand wildradish (Raphanus raphanistrum were dominant broad leaf weed species and wild oats (Avena fatua, rye (Secale cereal and mouse foxtail(Alopecurus myosuroides dominant grassy weeds species in irrigated wheat fields of Ardabil province. Bindweed (Convolvulus arvensis, Canada thistle(Cirsium arvenseand Acroptilon repens were the most important disturbing plants prior to harvesting in irrigated wheat fields of Ardabil province.

Sympatric diversification vs. immigration: deciphering host-plant specialization in a polyphagous insect, the stolbur phytoplasma vector Hyalesthes obsoletus (Cixiidae).

Science.gov (United States)

Imo, Miriam; Maixner, Michael; Johannesen, Jes

2013-04-01

The epidemiology of vector transmitted plant diseases is highly influenced by dispersal and the host-plant range of the vector. Widening the vector's host range may increase transmission potential, whereas specialization may induce specific disease cycles. The process leading to a vector's host shift and its epidemiological outcome is therefore embedded in the frameworks of sympatric evolution vs. immigration of preadapted populations. In this study, we analyse whether a host shift of the stolbur phytoplasma vector, Hyalesthes obsoletus from field bindweed to stinging nettle in its northern distribution range evolved sympatrically or by immigration. The exploitation of stinging nettle has led to outbreaks of the grapevine disease bois noir caused by a stinging nettle-specific phytoplasma strain. Microsatellite data from populations from northern and ancestral ranges provide strong evidence for sympatric host-race evolution in the northern range: Host-plant associated populations were significantly differentiated among syntopic sites (0.054 nettle-specific phytoplasma strain by plant-unspecific vectors. The evolution of host races in the northern range has led to specific vector-based bois noir disease cycles. © 2013 Blackwell Publishing Ltd.

Risk handling in the power market

International Nuclear Information System (INIS)

Lindbaek-Nilsen, Brian; Strand, Krister

2004-01-01

In 1991 a new energy law was implemented in Norway. The Norwegian power market became deregulated and the law created a basis for a market based trade of electrical energy in Norway. In 1998 Nord Pool was founded and this has gradually become a common Nordic power exchange. The power market is characterized by large price fluctuations periodically. The reason is a variable resource supply and demand. In important factor in this context is that electricity cannot be stored after production. The large variations in supply and demand lead to large market risks for the involved parties. The derivate markets make hedging possible and thereby make it possible for the parties to guard against risks connected to future prices. This study presents risk elements in the power market, supplier and consumer sectors in view of the deregulation. In addition the present and future risk management is studied in with focus upon power suppliers that offer one-year fixed price contracts to the consumers. A study focuses on how a supplier may secure a certain volume of power in a year against price fluctuations in the market. As a basis the term market at Nord Pool is used and based on historical facts an estimated price for a supplier to eliminate the price risk for the volume is stipulated. This price is called the hedging cost and is compared with the offer a selection of power suppliers have for their one-year fixed price contracts. The possible difference between the two prices may be regarded as the power supplier risk price (premium) by offering these one-year fixed price contracts to the end consumers. The most surprising in the results in this study is how close the hedging costs are to the prices on the fixed price contracts. This means that compared to the hedging costs in the study the power suppliers operated with a small margin. Another tendency is that the fixed price contracts do not seem to have a high correlation to the hedging costs even if some companies follow the

Karst Feature Inventory Points

Data.gov (United States)

Minnesota Department of Natural Resources — Southeastern Minnesota is part of the Upper Mississippi Valley Karst (Hedges and Alexander, 1985) that includes southwestern Wisconsin and northeastern Iowa. Karst...