Effective management of water resources,especially groundwater,is crucial and requires a precise understanding of aquifer characteristics,imposed stresses,and the groundwater balance.Simulation-optimization models pla...Effective management of water resources,especially groundwater,is crucial and requires a precise understanding of aquifer characteristics,imposed stresses,and the groundwater balance.Simulation-optimization models plays a vital role in guiding planners toword sustainable long-term aquifer exploita-tion.This study simulated monthly water table variations in the Kashan Plain over a ten-year period from 2008 to 2019 across 125 stress periods using the GMS model.The model was calibrated for both steady-state and transient conditions for the 2008–2016 period and validated for the 2016–2019 period.Results indicated a 4.4 m decline in groundwater levels over the 10-year study period.Given the plain's location in a arid climatic zone with limited effective precipitation for aquifer recharge,the study focused on ground-water extraction management.A modified two-point hedging policy was employed as a solution to mitigate critical groundwater depletion,reducing the annual drawdown rate from 0.44 m to 0.31 m and conserving 255 million cubic meters(mcm)of water annually.Although this approach slightly decreased reliability(i.e.the number of months meeting full water demands),it effectively minimized the risk of severe droughts and irreparable damages.This policy offers managers a dynamical and intelligent tool for regulating groundwater extraction,balancing aquifer sustainability with agricultural and urban water requirements.展开更多
Hedging, referring to the use of various lexical and syntactic features modifying and mitigating propositions and claims, is extensively employed in effective academic writing. However, the use of hedges seems to be q...Hedging, referring to the use of various lexical and syntactic features modifying and mitigating propositions and claims, is extensively employed in effective academic writing. However, the use of hedges seems to be quite problematic for lots of Chinese ESL learners. In view of the situation, this study explores the use of hedges in academic abstracts by a group of undergraduate English majors in a university in Hainan Province. After analyzing data from a corpus and interviews, several problems have been found in the use of hedging devices of these students, and relevant implications have been drawn to the teaching of hedging in the context, which can help the students produce more effective academic writing and to achieve greater university success.展开更多
This study examines the hedging effectiveness of financial innovations against crude oil investment risks,both before and during the COVID-19 pandemic.We focus on the non-energy exchange traded funds(ETFs)as proxies f...This study examines the hedging effectiveness of financial innovations against crude oil investment risks,both before and during the COVID-19 pandemic.We focus on the non-energy exchange traded funds(ETFs)as proxies for financial innovations given the potential positive correlation between energy variants and crude oil proxies.We employ a multivariate volatility modeling framework that accounts for important statistical features of the non-energy ETFs and oil price series in the computation of optimal weights and optimal hedging ratios.Results show evidence of hedging effectiveness for the financial innovations against oil market risks,with higher hedging performance observed during the pandemic.Overall,we show that sectoral financial innovations provide resilient investment options.Therefore,we propose that including the ETFs in an investment portfolio containing oil could improve risk-adjusted returns,especially in similar financial crisis as witnessed during the pandemic.In essence,our results are useful for investors in the global oil market seeking to maximize risk-adjusted returns when making investment decisions.Moreover,by exploring the role of structural breaks in the multivariate volatility framework,our attempts at establishing robustness for the results reveal that ignoring the same may lead to wrong conclusions about the hedging effectiveness.展开更多
In this article an attempt to enhance the awareness of hedging use in discourse analysis and academic writing is madeby analyzing hedges employed in two comparable texts.The discourse analysis is conducted from"c...In this article an attempt to enhance the awareness of hedging use in discourse analysis and academic writing is madeby analyzing hedges employed in two comparable texts.The discourse analysis is conducted from"content-oriented"hedges and"reader-oriented"hedges.The article suggests that hedging can dampen utterances and statements,weaken the force of what onesays and show politeness to the listeners or readers,which varies from different discourse styles of various genres.discourse marker;hedging;research article;news展开更多
For a class of manufacturing systems with homogeneous Markov machine failure rates,the stationary probability distribution of the part surplus can be calculated for given tentative values of hedging points. Some prope...For a class of manufacturing systems with homogeneous Markov machine failure rates,the stationary probability distribution of the part surplus can be calculated for given tentative values of hedging points. Some properties on the ordering of optimal hedging points are obtained.展开更多
This paper considered the problem of hedging a European call (put) option for a diffusion model where the asset price is influenced by n uncertain factors. The market is thus incomplete implying that perfect hedging i...This paper considered the problem of hedging a European call (put) option for a diffusion model where the asset price is influenced by n uncertain factors. The market is thus incomplete implying that perfect hedging is not possible. To derive a hedging strategy, it follows the approach based on the idea of hedging under a mean-variance criterion suggested by Schweizer. A very simple solution of this hedging problem by using the numeraire method was presented and some examples with explicit solutions were given.展开更多
In this paper we investigate asymptotic behavior of error of a discrete time hedging strategy in a fractional Black-Scholes model in the sense of Wick-ItS-Skorohod integration. The rate of convergence of the hedging e...In this paper we investigate asymptotic behavior of error of a discrete time hedging strategy in a fractional Black-Scholes model in the sense of Wick-ItS-Skorohod integration. The rate of convergence of the hedging error due to discrete-time trading when the true strategy is known for the trader, is investigated. The result provides new statistical tools to study and detect the effect of the long-memory and the Hurst parameter for the error of discrete time hedging.展开更多
The hedging problem for insiders is very important in the financial market.The locally risk minimizing hedging was adopted to solve this problem.Since the market was incomplete,the minimal martingale measure was chose...The hedging problem for insiders is very important in the financial market.The locally risk minimizing hedging was adopted to solve this problem.Since the market was incomplete,the minimal martingale measure was chosen as the equivalent martingale measure.By the F-S decomposition,the expression of the locally risk minimizing strategy was presented.Finally,the local risk minimization was applied to index tracking and its relationship with tracking error variance (TEV)-minimizing strategy was obtained.展开更多
In this paper, we consider a Markov switching Lévy process model in which the underlying risky assets are driven by the stochastic exponential of Markov switching Lévy process and then apply the model to opt...In this paper, we consider a Markov switching Lévy process model in which the underlying risky assets are driven by the stochastic exponential of Markov switching Lévy process and then apply the model to option pricing and hedging. In this model, the market interest rate, the volatility of the underlying risky assets and the N-state compensator,depend on unobservable states of the economy which are modeled by a continuous-time Hidden Markov process. We use the MEMM(minimal entropy martingale measure) as the equivalent martingale measure. The option price using this model is obtained by the Fourier transform method. We obtain a closed-form solution for the hedge ratio by applying the local risk minimizing hedging.展开更多
Under the background of energy conservation, the grid companies should give priority to consumptive hydropower, wind power and other clean electricity to fulfill their social responsibility and promote the carbon emis...Under the background of energy conservation, the grid companies should give priority to consumptive hydropower, wind power and other clean electricity to fulfill their social responsibility and promote the carbon emission reduction in power industry. But under the current power purchase mode, grid companies must first perform the contract. This is extremely uneconomical and not environmentally friendly. Based on hedging theory, this paper proposes a power purchase optimization model using the strategy of “compression and compensation”. If outer price is lower than the contract price, the grid can compress contract power appropriately, leaving more space for purchasing electricity;if outer price is not attractive enough, the grid should timely improve contract proportion, compensating the deviations of contract caused by "compression". Based on the strategy of "compression and compensation", it can effectively reduce the abandoned wind and water, enhance the economic and social benefits of provincial power grid.展开更多
Based on two different risk measurement criteria, this article studied the optimal hedging strategies of stock index futures in the case of asymmetric information, and discussed the influence of insider information on...Based on two different risk measurement criteria, this article studied the optimal hedging strategies of stock index futures in the case of asymmetric information, and discussed the influence of insider information on the hedging effect. Through simulation analysis, it can be shown that hedging people with insider information can save hedging costs to a certain extent, which also explains the reason why investors try to obtain corporate information in actual investment activities.展开更多
Based on a corpus of 10 texts in material science discipline, this paper explores the use of scientific English hedging both by Chinese and English writers. The result shows that there are similarities as well as diff...Based on a corpus of 10 texts in material science discipline, this paper explores the use of scientific English hedging both by Chinese and English writers. The result shows that there are similarities as well as differences in hedging frequency and distribution between the research articles by Chinese writers and native English writers. Research articles written by Chinese writers tend to be more direct and authoritative in tone as a result of higher frequency of approximators and lower frequency of plausibility shields.展开更多
The editorials of the opinion column in a newspaper express the view of its editors. The application of hedging devices isemployed, in order to support the writers' writing. In this study, the data were gathered f...The editorials of the opinion column in a newspaper express the view of its editors. The application of hedging devices isemployed, in order to support the writers' writing. In this study, the data were gathered from 15 editorials in the opinion column ofChina Daily: 5 editorials are about world issues, the other 5 editorials about Chinese social life, and the last 5 editorials are the edu-cational issues popularly discussed in China. The categorization of hedging devices draws from salvager-Meyer's paper Hedges and Textual Communicative Function in Medical English Written Discourse(1994, p. 154) and Mojica(2005, p. 3). Results revealed thatmost writers of the editorials opted to use approximators and modals. Furthermore, the hedging devices used in the selected editori-als on China Daily mainly had three functions: Show respects of the people or organization or in order for protection; in order to pub-lish timely; and make the prediction more reliable. In general, the Chinese writers seem to be conscious to use hedges appropriatelyin order to make their writing more reliable and avoid some arguments or disparagement.展开更多
Hedges in academic writing are drawn attention by scholars. Hedging devices enable writers to express their uncertainty con-cerning the factuality of their statements or to indicate deference to their readers. In this...Hedges in academic writing are drawn attention by scholars. Hedging devices enable writers to express their uncertainty con-cerning the factuality of their statements or to indicate deference to their readers. In this paper,ten English linguistic academic articles written by Chinese scholars were chosen for the study. Hedges were categorized to four types. The analysis showed the total number of hedges per category in all articles. The results indicated that modals/probabilities and semi-auxiliaries or epistemic verbs were preferred by Chinese linguists. It is suggested that for non-native English speakers mastery of hedging devices is requisite in their graduate programs.展开更多
This is a corpus-based contrastive study projected to find out the differences in using hedges in English business corre spondences between Chinese English learners and native speakers.
This study examines the dynamic connectedness and hedging opportunities between CSI300(China Security Index 300)and copper,gold,PTA(purified terephthalic acid),and soybean in China from January 09,2008,to June 30,2023...This study examines the dynamic connectedness and hedging opportunities between CSI300(China Security Index 300)and copper,gold,PTA(purified terephthalic acid),and soybean in China from January 09,2008,to June 30,2023.A TVP-VAR and cDCC-FIAPARCH modeling framework was used for the empirical investigation.The results show that the total connectedness index can effectively capture cross-asset information transmission in China’s financial markets.Copper returns are the dominant volatility transmitters,while CSI300,gold,and soybean returns are net recipients.The Russian-Ukraine war reinforced the safe-haven role of gold.Finally,investors with CSI300 long positions may benefit from prioritizing gold for hedging,while those with CSI300 short positions profit more from allocating gold to PTA.Portfolio managers and investors can use the findings to track the dynamics of systemic risk and adjust their long/short positions when investing in China's stock and commodity markets.展开更多
In this paper,we present a new precipitation model based on a multi-factor Ornstein-Uhlenbeck approach of pure-jump type.In this setup,we derive a representation for the related precipitation swap price process and in...In this paper,we present a new precipitation model based on a multi-factor Ornstein-Uhlenbeck approach of pure-jump type.In this setup,we derive a representation for the related precipitation swap price process and infer its risk-neutral time dynamics.We further deduce a pricing formula for European options written on the prccipitation swap and obtain the minimal variance hedging portfolio in the underlying weather market.In the second part of the paper,we provide a precipitation swap price representation under future information modeled by an initially enlarged filtration.We finally derive a formula for the associated information premium and investigate minimal variance hedging of prccipitation dcrivatives undcr futurc information.展开更多
We focus on the asymptotic convergence behavior of the hedging errors of European stock option due to discrete hedging under stochastic interest rates. There are two kinds of BS-type discrete hedging differ in hedging...We focus on the asymptotic convergence behavior of the hedging errors of European stock option due to discrete hedging under stochastic interest rates. There are two kinds of BS-type discrete hedging differ in hedging instruments: one is the portfolio of underlying stock, zero coupon bond, and the money market account (Strategy BSI); the other is the underlying stock, zero coupon bond (Strategy BSII). Similar to the results of the deterministic interest rate case, we show that convergence speed of the discounted hedging errors is 1/2-order of trading frequency for both strategies. Then, we prove each of the BS-type strategy is not only locally optimal, but also globally optimal under the corresponding measure. Finally, we give some numerical examples to illustrate the results. All the discussion is based on non-arbitrage condition and zero transaction cost.展开更多
We study robust notions of good-deal hedging and valuation under combined uncertainty about the drifts and volatilities of asset prices.Good-deal bounds are determined by a subset of risk-neutral pricing measures such...We study robust notions of good-deal hedging and valuation under combined uncertainty about the drifts and volatilities of asset prices.Good-deal bounds are determined by a subset of risk-neutral pricing measures such that not only opportunities for arbitrage are excluded but also deals that are too good,by restricting instantaneous Sharpe ratios.A non-dominated multiple priors approach to model uncertainty(ambiguity)leads to worst-case good-deal bounds.Corresponding hedging strategies arise as minimizers of a suitable coherent risk measure.Good-deal bounds and hedges for measurable claims are characterized by solutions to secondorder backward stochastic differential equations whose generators are non-convex in the volatility.These hedging strategies are robust with respect to uncertainty in the sense that their tracking errors satisfy a supermartingale property under all a-priori valuation measures,uniformly over all priors.展开更多
In this paper, we are concerned with the optimal hedge ratio under quantity risk as well as discrepancies between the futures market price and its theoretical valuation according to the cost- of-carry model. Assuming ...In this paper, we are concerned with the optimal hedge ratio under quantity risk as well as discrepancies between the futures market price and its theoretical valuation according to the cost- of-carry model. Assuming a geometric Brownian motion for forecasting process, we model mispricing as a specific noise corn poncnt in the dynamics of filturcs market prices, based on which the optimal hedging strategy is calculated. Finally, we illustrate optimal strategy and its properties by numerical examples.展开更多
文摘Effective management of water resources,especially groundwater,is crucial and requires a precise understanding of aquifer characteristics,imposed stresses,and the groundwater balance.Simulation-optimization models plays a vital role in guiding planners toword sustainable long-term aquifer exploita-tion.This study simulated monthly water table variations in the Kashan Plain over a ten-year period from 2008 to 2019 across 125 stress periods using the GMS model.The model was calibrated for both steady-state and transient conditions for the 2008–2016 period and validated for the 2016–2019 period.Results indicated a 4.4 m decline in groundwater levels over the 10-year study period.Given the plain's location in a arid climatic zone with limited effective precipitation for aquifer recharge,the study focused on ground-water extraction management.A modified two-point hedging policy was employed as a solution to mitigate critical groundwater depletion,reducing the annual drawdown rate from 0.44 m to 0.31 m and conserving 255 million cubic meters(mcm)of water annually.Although this approach slightly decreased reliability(i.e.the number of months meeting full water demands),it effectively minimized the risk of severe droughts and irreparable damages.This policy offers managers a dynamical and intelligent tool for regulating groundwater extraction,balancing aquifer sustainability with agricultural and urban water requirements.
文摘Hedging, referring to the use of various lexical and syntactic features modifying and mitigating propositions and claims, is extensively employed in effective academic writing. However, the use of hedges seems to be quite problematic for lots of Chinese ESL learners. In view of the situation, this study explores the use of hedges in academic abstracts by a group of undergraduate English majors in a university in Hainan Province. After analyzing data from a corpus and interviews, several problems have been found in the use of hedging devices of these students, and relevant implications have been drawn to the teaching of hedging in the context, which can help the students produce more effective academic writing and to achieve greater university success.
文摘This study examines the hedging effectiveness of financial innovations against crude oil investment risks,both before and during the COVID-19 pandemic.We focus on the non-energy exchange traded funds(ETFs)as proxies for financial innovations given the potential positive correlation between energy variants and crude oil proxies.We employ a multivariate volatility modeling framework that accounts for important statistical features of the non-energy ETFs and oil price series in the computation of optimal weights and optimal hedging ratios.Results show evidence of hedging effectiveness for the financial innovations against oil market risks,with higher hedging performance observed during the pandemic.Overall,we show that sectoral financial innovations provide resilient investment options.Therefore,we propose that including the ETFs in an investment portfolio containing oil could improve risk-adjusted returns,especially in similar financial crisis as witnessed during the pandemic.In essence,our results are useful for investors in the global oil market seeking to maximize risk-adjusted returns when making investment decisions.Moreover,by exploring the role of structural breaks in the multivariate volatility framework,our attempts at establishing robustness for the results reveal that ignoring the same may lead to wrong conclusions about the hedging effectiveness.
文摘In this article an attempt to enhance the awareness of hedging use in discourse analysis and academic writing is madeby analyzing hedges employed in two comparable texts.The discourse analysis is conducted from"content-oriented"hedges and"reader-oriented"hedges.The article suggests that hedging can dampen utterances and statements,weaken the force of what onesays and show politeness to the listeners or readers,which varies from different discourse styles of various genres.discourse marker;hedging;research article;news
文摘For a class of manufacturing systems with homogeneous Markov machine failure rates,the stationary probability distribution of the part surplus can be calculated for given tentative values of hedging points. Some properties on the ordering of optimal hedging points are obtained.
基金National Natural Science Foundation ofChina( 10 1710 66) and Shanghai Key Project( 0 2 DJ14 0 63 )
文摘This paper considered the problem of hedging a European call (put) option for a diffusion model where the asset price is influenced by n uncertain factors. The market is thus incomplete implying that perfect hedging is not possible. To derive a hedging strategy, it follows the approach based on the idea of hedging under a mean-variance criterion suggested by Schweizer. A very simple solution of this hedging problem by using the numeraire method was presented and some examples with explicit solutions were given.
基金Supported by the National Natural Science Foundation of China(11671115)the Natural Science Foundation of Zhejiang Province(LY14A010025)
文摘In this paper we investigate asymptotic behavior of error of a discrete time hedging strategy in a fractional Black-Scholes model in the sense of Wick-ItS-Skorohod integration. The rate of convergence of the hedging error due to discrete-time trading when the true strategy is known for the trader, is investigated. The result provides new statistical tools to study and detect the effect of the long-memory and the Hurst parameter for the error of discrete time hedging.
基金National Natural Science Foundations of China (No. 11071076,No. 11126124)
文摘The hedging problem for insiders is very important in the financial market.The locally risk minimizing hedging was adopted to solve this problem.Since the market was incomplete,the minimal martingale measure was chosen as the equivalent martingale measure.By the F-S decomposition,the expression of the locally risk minimizing strategy was presented.Finally,the local risk minimization was applied to index tracking and its relationship with tracking error variance (TEV)-minimizing strategy was obtained.
基金Supported by the National Natural Science Foundation of China(11201221)Supported by the Natural Science Foundation of Jiangsu Province(BK2012468)
文摘In this paper, we consider a Markov switching Lévy process model in which the underlying risky assets are driven by the stochastic exponential of Markov switching Lévy process and then apply the model to option pricing and hedging. In this model, the market interest rate, the volatility of the underlying risky assets and the N-state compensator,depend on unobservable states of the economy which are modeled by a continuous-time Hidden Markov process. We use the MEMM(minimal entropy martingale measure) as the equivalent martingale measure. The option price using this model is obtained by the Fourier transform method. We obtain a closed-form solution for the hedge ratio by applying the local risk minimizing hedging.
文摘Under the background of energy conservation, the grid companies should give priority to consumptive hydropower, wind power and other clean electricity to fulfill their social responsibility and promote the carbon emission reduction in power industry. But under the current power purchase mode, grid companies must first perform the contract. This is extremely uneconomical and not environmentally friendly. Based on hedging theory, this paper proposes a power purchase optimization model using the strategy of “compression and compensation”. If outer price is lower than the contract price, the grid can compress contract power appropriately, leaving more space for purchasing electricity;if outer price is not attractive enough, the grid should timely improve contract proportion, compensating the deviations of contract caused by "compression". Based on the strategy of "compression and compensation", it can effectively reduce the abandoned wind and water, enhance the economic and social benefits of provincial power grid.
文摘Based on two different risk measurement criteria, this article studied the optimal hedging strategies of stock index futures in the case of asymmetric information, and discussed the influence of insider information on the hedging effect. Through simulation analysis, it can be shown that hedging people with insider information can save hedging costs to a certain extent, which also explains the reason why investors try to obtain corporate information in actual investment activities.
文摘Based on a corpus of 10 texts in material science discipline, this paper explores the use of scientific English hedging both by Chinese and English writers. The result shows that there are similarities as well as differences in hedging frequency and distribution between the research articles by Chinese writers and native English writers. Research articles written by Chinese writers tend to be more direct and authoritative in tone as a result of higher frequency of approximators and lower frequency of plausibility shields.
文摘The editorials of the opinion column in a newspaper express the view of its editors. The application of hedging devices isemployed, in order to support the writers' writing. In this study, the data were gathered from 15 editorials in the opinion column ofChina Daily: 5 editorials are about world issues, the other 5 editorials about Chinese social life, and the last 5 editorials are the edu-cational issues popularly discussed in China. The categorization of hedging devices draws from salvager-Meyer's paper Hedges and Textual Communicative Function in Medical English Written Discourse(1994, p. 154) and Mojica(2005, p. 3). Results revealed thatmost writers of the editorials opted to use approximators and modals. Furthermore, the hedging devices used in the selected editori-als on China Daily mainly had three functions: Show respects of the people or organization or in order for protection; in order to pub-lish timely; and make the prediction more reliable. In general, the Chinese writers seem to be conscious to use hedges appropriatelyin order to make their writing more reliable and avoid some arguments or disparagement.
文摘Hedges in academic writing are drawn attention by scholars. Hedging devices enable writers to express their uncertainty con-cerning the factuality of their statements or to indicate deference to their readers. In this paper,ten English linguistic academic articles written by Chinese scholars were chosen for the study. Hedges were categorized to four types. The analysis showed the total number of hedges per category in all articles. The results indicated that modals/probabilities and semi-auxiliaries or epistemic verbs were preferred by Chinese linguists. It is suggested that for non-native English speakers mastery of hedging devices is requisite in their graduate programs.
文摘This is a corpus-based contrastive study projected to find out the differences in using hedges in English business corre spondences between Chinese English learners and native speakers.
基金support by the Humanities and Social Science Fund of Ministry of Education of China[Grant Number:23YJC850005]the Federal Ministry of Education,Science and Research(BMBWF)through Austria's Agency for Education and Internationalization(OeAD)[Grant Number:TW 01/2021].
文摘This study examines the dynamic connectedness and hedging opportunities between CSI300(China Security Index 300)and copper,gold,PTA(purified terephthalic acid),and soybean in China from January 09,2008,to June 30,2023.A TVP-VAR and cDCC-FIAPARCH modeling framework was used for the empirical investigation.The results show that the total connectedness index can effectively capture cross-asset information transmission in China’s financial markets.Copper returns are the dominant volatility transmitters,while CSI300,gold,and soybean returns are net recipients.The Russian-Ukraine war reinforced the safe-haven role of gold.Finally,investors with CSI300 long positions may benefit from prioritizing gold for hedging,while those with CSI300 short positions profit more from allocating gold to PTA.Portfolio managers and investors can use the findings to track the dynamics of systemic risk and adjust their long/short positions when investing in China's stock and commodity markets.
文摘In this paper,we present a new precipitation model based on a multi-factor Ornstein-Uhlenbeck approach of pure-jump type.In this setup,we derive a representation for the related precipitation swap price process and infer its risk-neutral time dynamics.We further deduce a pricing formula for European options written on the prccipitation swap and obtain the minimal variance hedging portfolio in the underlying weather market.In the second part of the paper,we provide a precipitation swap price representation under future information modeled by an initially enlarged filtration.We finally derive a formula for the associated information premium and investigate minimal variance hedging of prccipitation dcrivatives undcr futurc information.
基金supported by National Basic Research Program of China (Grant No.2007CB814905)
文摘We focus on the asymptotic convergence behavior of the hedging errors of European stock option due to discrete hedging under stochastic interest rates. There are two kinds of BS-type discrete hedging differ in hedging instruments: one is the portfolio of underlying stock, zero coupon bond, and the money market account (Strategy BSI); the other is the underlying stock, zero coupon bond (Strategy BSII). Similar to the results of the deterministic interest rate case, we show that convergence speed of the discounted hedging errors is 1/2-order of trading frequency for both strategies. Then, we prove each of the BS-type strategy is not only locally optimal, but also globally optimal under the corresponding measure. Finally, we give some numerical examples to illustrate the results. All the discussion is based on non-arbitrage condition and zero transaction cost.
基金the German Science Foundation,Berlin Mathematical School and RTG 1845 for support,and Xiaolu Tan for helpful discussions.
文摘We study robust notions of good-deal hedging and valuation under combined uncertainty about the drifts and volatilities of asset prices.Good-deal bounds are determined by a subset of risk-neutral pricing measures such that not only opportunities for arbitrage are excluded but also deals that are too good,by restricting instantaneous Sharpe ratios.A non-dominated multiple priors approach to model uncertainty(ambiguity)leads to worst-case good-deal bounds.Corresponding hedging strategies arise as minimizers of a suitable coherent risk measure.Good-deal bounds and hedges for measurable claims are characterized by solutions to secondorder backward stochastic differential equations whose generators are non-convex in the volatility.These hedging strategies are robust with respect to uncertainty in the sense that their tracking errors satisfy a supermartingale property under all a-priori valuation measures,uniformly over all priors.
基金Supported by the National Natural Science Foundation of China(No.70221001)
文摘In this paper, we are concerned with the optimal hedge ratio under quantity risk as well as discrepancies between the futures market price and its theoretical valuation according to the cost- of-carry model. Assuming a geometric Brownian motion for forecasting process, we model mispricing as a specific noise corn poncnt in the dynamics of filturcs market prices, based on which the optimal hedging strategy is calculated. Finally, we illustrate optimal strategy and its properties by numerical examples.
