Financial hedging / Patrick N. Catlere, editor.

Includes bibliographical references and index.

Financial Hedging; Contents; Preface; Research and Review Studies; Homogeneous and Non-homogeneous Semi-markov Backward Credit Risk Migration Models; Abstract; 1. Introduction; 2. Discrete Time Semi-markov Processes; 3. Discrete Time Backward Semi-markov Processes; 4. Reliability Models; 5. Credit Risk Problem; 6. Results from Homogeous Credit Risk Model; 7. Results from Non Homogeous Credit Risk Model; References; Towards an Integrated Theory of Corporate Hedging and Capital Structure Decisions; Abstract; I. Introduction.

II. Financial Distress Costs and Corporate Taxes Constitute an Optimal Degree of LeverageIII. Corporate Hedging Benefits Shareholders by Reducing Financial Distress Costs and Taxes; IV. Corporate Hedging Benefits Shareholders by Raising Optimal Leverage; V. Trading-off the Costs and Benefits of Corporate Hedging: Who Hedges More?; VI. Case Study: Hewlett-Packard vs. Safeway; VII. Conclusions; References; Probability Weighting in Futures Hedging; Abstract; Introduction; Prospect Theory; The Weighting Function; Parameters of the Weighting Function; Empirical Evidence; Research Method.

Numerical SimulationResults; Conclusion; References; Hedging Effectiveness with S & P500 Index Futures under Different Volatility Regimes; Abstract; 1. Introduction; 2. Hedging Strategy -- Minimum Variance Hedge Ratio; 3. Implementation of MVHR; 4. Data and Empirical Results; 5. Conclusion; References; American and European Portfolio Selection Strategies: The Markovian Approach; Abstract; 1. Introduction; 2. Modeling Markov Processes; 3. The Portfolio Selection Problem; 4. A First Ex-Post Empirical Comparison among Dynamic Portfolio Strategies; 5. Conclusion.

6. Appendix: Some Possible ImprovementsAcknowledgement; References; Hedging, Liquidity, and the Multinational Firm under Exchange Rate Uncertainty; Abstract; 1. Introduction; 2. The Model; 3. Optimal Hedging and Sales Decisions; 4. Hedging Role of Futures Spreads; 5. Hedging Role of Options; 6. Conclusions; References; Cross-Hedging for the Multinational Firm under Exchange Rate Uncertainty; Abstract; 1. Introduction; 2. The Model; 3. The Benchmark Case of Perfect Hedging; 4. Optimal Decisions under Cross-Hedging; 5. Hedging Role of Options; 6. Conclusion; References.

Option Pricing and Hedging in the Presence of Transaction Costs and Nonlinear Partial Differential EquationsAbstract; 1. Introduction; 2. Modelling the Transaction Costs; 3. The Leland's Approach to Option Pricing and Hedging; 4. Utility-Based Option Pricing and Hedging; 5. Conclusion; Acknowledgements; References; Short Communications; Time Horizon-Specific Hedging in Commodity Markets; Abstract; 1. Introduction; 2. The Minimum-Variance Approach to Hedging; 3. Wavelet Transform Analysis; 4. Description of the Data and Variable Construction; 5. Time Horizon-Specific Optimal Hedge Ratios.

The problem of credit risk is an important problem in finance. It consists of computing the probability of a firm defaulting on a debt. The time evolution of rating for credit risk models can be studied by means of Markov transition models. This book looks at the homogeneous and non-homogeneous semi-Markov backward credit risk migration models.

eBooks on EBSCOhost EBSCO eBook Subscription Academic Collection - Worldwide