Technical paper/Dynamic hedging
Pricing in the gap risk of mini-futures
Mini-futures need to be priced and hedged taking sudden jumps into account
Dynamic delta option strategies in Nordic electricity markets
This paper examines how electricity options traded in the Nasdaq OMX Commodities Europe financial market are priced compared with their corresponding futures contracts.
Hedging error measurement for imperfect strategies
Jack Baczynski, Jonathan da Silva and Rosalino Junior present an index for measuring hedging errors
Cutting edge: Correlation functions in the crude oil and natural gas futures markets
Given the importance of the crude oil and natural gas futures markets, the intra-market correlations in these markets play an important role in pricing, hedging and managing the risks of energy portfolios. This paper by Ehud Ronn contributes to the…
Cutting edge: Hedging price and volumetric risks of fixed-price load-serving contracts in natural gas markets
Cutting edge: Hedging price and volumetric risks of fixed-price load-serving contracts in natural gas markets
An easy-to-hedge covariance swap
An easy-to-hedge covariance swap
Valuation of commodity structures in co-integrated futures markets
Valuation of commodity structures in co-integrated futures markets
Constant maturity asset swap convexity correction
Constant maturity asset swap convexity correction
Cutting edge: valuing and dynamically hedging natural gas storage
Hedging the extrinsic value of a natural gas storage
A dynamic model for leveraged funds
Guido Giese derives a model for the performance and Sharpe ratio of leveraged and inverse index funds that follow a dynamic leveraged trading strategy, that is, they are rebalanced on a daily basis to ensure a constant degree of leverage with respect to…
Energy structured deals: dynamic vs quasi-static hedging
Traditional pricing and hedging approaches often fail to work properly for complex energy structures due to market incompleteness, liquidity problems or unusual price dynamics. In this article, Stefano Fiorenzani suggests some specific adjustments that…
Insurance optional
Asset/liability management
Static barriers
Exotic options