Hedging
The Optimal Hedging Strategy template is a simple tool, which automatically calculates the optimal percentage of exposure to hedge and the resulting net economic savings.
The template utilizes a risk aversion factor to determine the percentage of exposure to not to hedge, potentially saving...
Platforms: Windows
License: Freeware | Download (49): Optimal Hedging Strategy Download |
A Zip file containing the examples that were used in the MathWorks webinar: "Pricing Derivatives Securities using MATLAB".Highlights:* Pricing a portfolio of vanilla options using Black-Scholes, a Binomial Tree and Monte Carlo simulation.* Pricing exotic options using the implied trinomial tree...
Platforms: Matlab
License: Freeware | Size: 327.68 KB | Download (43): Pricing Derivatives Securities using MATLAB Download |
Risk Quantify is an Open Source financial library, with a focus on managing the risk of financial instruments. The aim of this project is to provide people working in the financial industry with a good base to use in building their own applications. Risk Quantify provides functions for pricing,...
Platforms: Mac
License: Freeware | Size: 768 KB | Download (41): Risk Quantify Download |
Simple example showing how a value neutral hedge is determined for the UK power (electricity) markets.HedgeControl Function for power hedging of Balance of Month, Monthly and Seasonal products based on value forward preservation hedging, i.e. uses the forward curve to determine the value neutral...
Platforms: Matlab
License: Freeware | Size: 112.64 KB | Download (51): UK Power Value Neutral hedge Download |
Classical optimal hedge ratio concentrates on risk reduction and neglects strategic value maximization. In this study, the authors use stochastic-optimization theories to formulate an optimal, short-term hedging scheme to mitigate risks while maximizing portfolio value. Stochastic spot and...
Platforms: Matlab
License: Freeware | Size: 430.08 KB | Download (44): Short Term Hedge Position Optimizer Download |
Three case studies: random matrix theory for estimation vs. cross-sectional model for attribution; hedging based on full-repricing instead of Black-Scholes deltas; heuristcs for best K attribution/hedging factors out NTo walk through the code and for a thorough description, seeMeucci A., "Factors...
Platforms: Matlab
License: Freeware | Size: 4.08 MB | Download (45): Factors on Demand Download |