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dc.contributor.authorLautier, Delphine
dc.contributor.authorGalli, Alain
dc.date.accessioned2012-04-12T08:37:05Z
dc.date.available2012-04-12T08:37:05Z
dc.date.issued2010
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/8839
dc.language.isoenen
dc.subjectDynamic Hedgingen
dc.subjectCommoditiesen
dc.subjectFuturesen
dc.subjectLong-Term Commitmenten
dc.subjectCalibrationen
dc.subject.ddc332en
dc.subject.classificationjelG13en
dc.subject.classificationjelC13en
dc.subject.classificationjelC52en
dc.subject.classificationjelQ49en
dc.titleDynamic hedging strategies: An application to the crude oil marketen
dc.typeCommunication / Conférence
dc.description.abstractenThis article analyses long-term dynamic hedging strategies relying on term structure models of commodity prices and proposes a new way to calibrate the models which takes into account the errors associated to the hedge ratios. Different strategies, with maturities up to seven years, are tested on the American crude oil futures market. The study considers three recent and efficient models respectively with one, two, and three factors. The continuity between the models makes it possible to compare their performances which are judged on the basis of the errors associated with a delta hedge. The strategies are also tested for their sensitivity to the maturities of the positions and to the frequency of portfolio rollover. We found that our method gives the best of two seemingly incompatible worlds: the higher liquidity of short-term futures contracts for the hedge portfolios, together with markedly improved performances. Moreover, even if it is more complex, the three-factor model is by far, the best.en
dc.identifier.citationpages45en
dc.identifier.urlsitehttp://ssrn.com/abstract=1579635en
dc.description.sponsorshipprivateouien
dc.subject.ddclabelEconomie financièreen
dc.relation.conftitleSéminaire du CERNA (Centre d'Economie Industrielle) Mines Paris-Techen
dc.relation.confdate2010-06
dc.relation.confcityParisen
dc.relation.confcountryFranceen


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