Financial hedging [[electronic resource] /] / Patrick N. Catlere, editor

• Pubblicazione: New York, : Nova Science Publishers, c2009
• Descrizione fisica: 1 online resource (283 p.)
• Disciplina: 332.64/524
• Soggetto topico: Financial futures; Hedging (Finance); Risk management
• Altri autori: CatlerePatrick N
• Note generali: Description based upon print version of record.
• Nota di bibliografia: Includes bibliographical references and index.
• Nota di contenuto: ""Financial Hedging""; ""Contents""; ""Preface""; ""Research and Review Studies""; ""Homogeneous and Non-homogeneous Semi-markov Backward Credit Risk Migration Models""; ""Abstract""; ""1. Introduction""; ""2. Discrete Time Semi-markov Processes""; ""3. Discrete Time Backward Semi-markov Processes""; ""4. Reliability Models""; ""5. Credit Risk Problem""; ""6. Results from Homogeous Credit Risk Model""; ""7. Results from Non Homogeous Credit Risk Model""; ""References""; ""Towards an Integrated Theory of Corporate Hedging and Capital Structure Decisions""; ""Abstract""; ""I. Introduction"" ; ""II. Financial Distress Costs and Corporate Taxes Constitute an Optimal Degree of Leverage""""III. Corporate Hedging Benefits Shareholders by Reducing Financial Distress Costs and Taxes""; ""IV. Corporate Hedging Benefits Shareholders by Raising Optimal Leverage""; ""V. Trading-off the Costs and Benefits of Corporate Hedging: Who Hedges More?""; ""VI. Case Study: Hewlett-Packard vs. Safeway""; ""VII. Conclusions""; ""References""; ""Probability Weighting in Futures Hedging""; ""Abstract""; ""Introduction""; ""Prospect Theory""; ""The Weighting Function"" ; ""Parameters of the Weighting Function""""Empirical Evidence""; ""Research Method""; ""Numerical Simulation""; ""Results""; ""Conclusion""; ""References""; ""Hedging Effectiveness with S&P500 Index Futures under Different Volatility Regimes""; ""Abstract""; ""1. Introduction""; ""2. Hedging Strategy - Minimum Variance Hedge Ratio""; ""3. Implementation of MVHR""; ""4. Data and Empirical Results""; ""5. Conclusion""; ""References""; ""American and European Portfolio Selection Strategies: The Markovian Approach""; ""Abstract""; ""1. Introduction""; ""2. Modeling Markov Processes"" ; ""3. The Portfolio Selection Problem""""4. A First Ex-Post Empirical Comparison among Dynamic Portfolio Strategies""; ""5. Conclusion""; ""6. Appendix: Some Possible Improvements""; ""Acknowledgement""; ""References""; ""Hedging, Liquidity, and the Multinational Firm under Exchange Rate Uncertainty""; ""Abstract""; ""1. Introduction""; ""2. The Model""; ""3. Optimal Hedging and Sales Decisions""; ""4. Hedging Role of Futures Spreads""; ""5. Hedging Role of Options""; ""6. Conclusions""; ""References""; ""Cross-Hedging for the Multinational Firm under Exchange Rate Uncertainty""; ""Abstract"" ; ""1. Introduction""""2. The Model""; ""3. The Benchmark Case of Perfect Hedging""; ""4. Optimal Decisions under Cross-Hedging""; ""5. Hedging Role of Options""; ""6. Conclusion""; ""References""; ""Option Pricing and Hedging in the Presence of Transaction Costs and Nonlinear Partial Differential Equations""; ""Abstract""; ""1. Introduction""; ""2. Modelling the Transaction Costs""; ""3. The Leland's Approach to Option Pricing and Hedging""; ""4. Utility-Based Option Pricing and Hedging""; ""5. Conclusion""; ""Acknowledgements""; ""References""; ""Short Communications"" ; ""Time Horizon-Specific Hedging in Commodity Markets""
• Titolo autorizzato: Financial hedging
• ISBN: 1-60876-670-5
• Formato: Materiale a stampa
• Livello bibliografico: Monografia
• Lingua di pubblicazione: Inglese
• Record Nr.: 9910779520403321
• Lo trovi qui: Univ. Federico II