Special Issue "Financial Derivatives and Hedging"
A special issue of Journal of Risk and Financial Management (ISSN 1911-8074).
Deadline for manuscript submissions: closed (31 July 2017)
In recent years, hedging with financial derivatives has ventured in several new directions. Hedging objectives are shifting from minimum variance, as a special case of, or an approximation to, expected utility maximization, to minimum Value at Risk or minimum expected shortfall. Dynamic hedging strategies are now incorporating realized volatility derived from high-frequency data, the so-called HEAVY models. Moreover, improved non-parametric estimation, shrinkage estimators, as well as quantile estimators all find their applications in hedge ratio decisions. Cross market interactions within the panel data models are also taken into account for better hedging performance. While these new methods mostly focus on forward and futures contracts, parallel considerations can be extended to options and other derivatives.Topics to be considered for the special issue are, among others:
- Modeling dynamic hedge ratios
- HEAVY models
- Dynamic copula models
- Pricing of financial derivatives
- Hedging with futures, options and swaps
- Interest rate instruments
- Advanced hedging measures
Prof. Dr. Donald Lien
Manuscript Submission Information
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