Managing risk with short-term futures contracts

DOI10.1137/100782437MaRDI QIDQ5388682zbMATH OpenOpenAlexFDO

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

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)

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• 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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