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Mathematical models for optimal hedg...

Wang, Fei.

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Mathematical models for optimal hedging strategies.

Record Type:	Electronic resources : Monograph/item
Title/Author:	Mathematical models for optimal hedging strategies./
Author:	Wang, Fei.
Description:	73 p.
Notes:	Source: Dissertation Abstracts International, Volume: 67-01, Section: B, page: 0309.
Contained By:	Dissertation Abstracts International67-01B.
Subject:	Mathematics. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3201292
ISBN:	9780542491207

Mathematical models for optimal hedging strategies.
Wang, Fei.

Mathematical models for optimal hedging strategies. - 73 p.

Source: Dissertation Abstracts International, Volume: 67-01, Section: B, page: 0309.

Thesis (Ph.D.)--The University of Alabama, 2005.

Hedging long term commitments with short-dated futures contracts has been a hot topic in the finance industry. It is such a complicated task that Wall Street has to turn to mathematicians for answers.

ISBN: 9780542491207Subjects--Topical Terms:

515831
Mathematics.

Mathematical models for optimal hedging strategies.
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035 $a (UnM)AAI3201292
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100 1 $a Wang, Fei. $3 1065413
245 1 0 $a Mathematical models for optimal hedging strategies.
300 $a 73 p.
500 $a Source: Dissertation Abstracts International, Volume: 67-01, Section: B, page: 0309.
500 $a Adviser: Zhijian Wu.
502 $a Thesis (Ph.D.)--The University of Alabama, 2005.
520 $a Hedging long term commitments with short-dated futures contracts has been a hot topic in the finance industry. It is such a complicated task that Wall Street has to turn to mathematicians for answers.
520 $a Different measurements of risk and different models have emerged. A new measurement called mu-total risk was introduced and the corresponding new models were brought up to the table. Two main theorems analyzed the relationship between the optimal hedging strategies and projected funding situation.
520 $a The firm can pick the appropriate weight measure according to its expected funding situation in the future. The period with less funding problems can be weighted less, while during tight budget times, the weight could be larger. The weight reflects how much the volatility the firm can afford during the corresponding period of time. That way, given the different look of the firm's future financial situation, the theorem can give the best mu hedging strategy accordingly. On the other hand, this theorem gives the theoretical resource of new hedging models, based on the projected funding situation in the future.
520 $a With a given hedging strategy which can not be changed for certain reason, to get the best out of the current strategy, the firm can find the mu measure that will make the current hedging strategy the optimal strategy. In other words, given the strategy the firm can manage the funding accordingly to fit the fixed hedging strategy. Or theoretically it can provide the make up solution when unexpected flaw happens in the existing hedging strategy.
590 $a School code: 0004.
650 4 $a Mathematics. $3 515831
650 4 $a Economics, Finance. $3 626650
690 $a 0405
690 $a 0508
710 2 0 $a The University of Alabama. $3 1019361
773 0 $t Dissertation Abstracts International $g 67-01B.
790 1 0 $a Wu, Zhijian, $e advisor
790 $a 0004
791 $a Ph.D.
792 $a 2005
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3201292