Managing risk with short-term futures contracts

DOI10.1137/100782437zbMATH Open1236.91151OpenAlexW2047695552MaRDI QIDQ5388682FDOQ5388682

Authors: Z. Wu, Chunhui Yu, Xiaohua Zheng 

Publication date: 19 April 2012

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: http://purl.lib.ua.edu/2138

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zbMATH Keywords

optimal hedgingfutures contractsspot risk

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimality conditions for solutions belonging to restricted classes (Lipschitz controls, bang-bang controls, etc.) (49K30) Stochastic integrals (60H05) Financial applications of other theories (91G80)

Cited In (5)

• On a class of optimization problems emerging when hedging with short term futures contracts
• An optimal Strategy for Hedging with Short‐Term Futures Contracts
• Shortfall risk in long-term hedging with short-term futures contracts
• Critical path for an optimal hedging strategy
• Hedging long-term exposures of a well-diversified portfolio with short-term stock index futures contracts

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