On a class of optimization problems emerging when hedging with short term futures contracts
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DOI: 10.1007/s00186-007-0179-4
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References listed on IDEAS
- Franklin R. Edwards & Michael S. Canter, 1995. "The Collapse Of Metallgesellschaft: Unhedgeable Risks, Poor Hedging Strategy, Or Just Bad Luck?," Journal of Applied Corporate Finance, Morgan Stanley, vol. 8(1), pages 86-105, March.
- Neuberger, Anthony, 1999. "Hedging Long-Term Exposures with Multiple Short-Term Futures Contracts," The Review of Financial Studies, Society for Financial Studies, vol. 12(3), pages 429-459.
- Christopher L. Culp & Merton H. Miller, 1995. "Metallgesellschaft And The Economics Of Synthetic Storage," Journal of Applied Corporate Finance, Morgan Stanley, vol. 7(4), pages 62-76, January.
- Culp Christopher L. & Miller Merton H., 1995. "Metallgesellschaft and the Economics of Synthetic Storage," Zeitschrift für Bankrecht und Bankwirtschaft (ZBB) / Journal of Banking Law and Banking (JBB), RWS Verlag, vol. 7(1), pages 2-14, March.
- G. Larcher & G. Leobacher, 2003. "An optimal Strategy for Hedging with Short‐Term Futures Contracts," Mathematical Finance, Wiley Blackwell, vol. 13(2), pages 331-344, April.
- Jouini,E. & Cvitanic,J. & Musiela,Marek (ed.), 2001. "Handbooks in Mathematical Finance," Cambridge Books, Cambridge University Press, number 9780521792370, October.
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Cited by:
- Frestad, Dennis, 2012. "Liquidity and dirty hedging in the Nordic electricity market," Energy Economics, Elsevier, vol. 34(5), pages 1341-1355.
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Keywords
Functional optimization; Hedging with futures;Statistics
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