Hedging strategies for energy derivatives

Leoni, Peter; Vandaele, Nele; Vanmaele, Michèle

doi:10.1080/14697688.2013.836294

Cited by 12 publications

(6 citation statements)

References 22 publications

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“…The paper (Odilon José and Fabio Gallo 2014) examines the effectiveness of cross hedging operations for the Uruguayan steer in the futures market of the Brazilian live cattle in relation to risk and return. Leoni et al (2013) investigate hedging strategies for the energy derivatives. Sanda et al (2013) analyse the risk management trends in the electricity commodity markets.…”

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confidence: 99%

Commodity price risk management using option strategies

Rusnáková¹

2015

Agric. Econ. - Czech

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Abstract:In the world of increasing price volatility, it is more important than ever to understand how to manage the price risk. Th e paper deals with the price risk management issues associated with commodities. Using options is performed by an analysis of hedging strategies in the commodity market. Th e authors focus on the application of the vanilla option strategies to risk manage ment in order to point out the advantages and disadvantages of each hedging strategy. Based on the general expressions of selling price intervals, there are modelled various hedged scenarios of wheat. Th e authors look at the wheat option contracts traded on the Chicago Board of Trade. Th e comparative comparison of the option hedging strategies has shown the best results for the commodity seller who hedges against a price decline.

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confidence: 99%

Commodity price risk management using option strategies

Rusnáková¹

2015

Agric. Econ. - Czech

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“…The paper [19] studied the benefit of enclosing operations for the Uruguayan guided in the futures market of the Brazilian livestock in regard to risk and income. [20] Investigated about the bounding strategies for the energy alternatives.…”

Section: Risk Managementmentioning

confidence: 99%

Farmers’s Choice to Risk Management Strategies of Corn Farming in Sigi District Central Sulawesi

Rahayu¹,

Dewi²,

Febrianti³

2021

E3S Web Conf.

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Corn has a very significant contribution in the national economy as one of main food crop commodities. As a strategic commodity, corn has big potency even in covid-19 pandemic time, corn relatively resilient compare to other commodities in Central Sulawesi. However the level of corn productivity will relate to the adoption of technology and the farmers’s choices to cope with risk, both production and marketing. Therefore, the study aims to know farmers’s choices to corn farming risk management strategies. A survey had been conducted to 75 respondents across the three districts in Sigi Central Sulawesi, and a quantitative analysis approach was applied in the study. Data were analyzed using descriptive and multinomial logit analysis. The result showed that mostly of the corn farmers have no spesific risk management strategy due to the limit of information and awareness. While a second number already aware but not use spesific strategies. The rest of respondents have adopted certain strategies for managing risk but not compensatory for marketing’s risk yet. Some farmers gave credence to engage with the not formal contract or middleman as buyers and supplier for the production input and thus, becoming vulnerable position for the farmers. Variables that significantly gave effect on the choice of risk management strategies are: education, farm size, activity in farmer group, alternative commodity, and propensity to take a risk.

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“…Local risk minimization has been applied in a variety of contexts including, for example, in insurance models in Vandaele and Vanmaele (2008) and Henriksen and Møller (2015)), and models of defaultable claims in Biagini and Cretarola (2012), energy derivatives in Leoni, Vandaele, and Vanmaele (2014), Lévy processes in Arai and Suzuki (2015), and stochastic volatility regime switching processes in Goutte (2013). Mean-variance hedging has been used, for example, with stochastic volatility models in Biagini, Gausoni, and Pratelli (2000) and Černý and Kallsen (2008)), insurance models in Wong, Chiu, and Wong (2014), models with partial information in Mania, Tevzadze, and Toronjadze (2008) and Kohlmann, Xiong, and Ye (2007), and insider trading models in Biagini and Øksendal (2006).…”

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Variance minimizing strategies for stochastic processes with applications to tracking stock indices

2019

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This paper extends the notion of variance optimal hedging of contingent claims under the incomplete market setting to the hedging of entire processes and applies the results to the problem of tracking stock indices. Sufficient conditions under which this is possible are given, along with the corresponding variance minimizing strategy. The performances of tracking error variance (TEV) minimizing, locally risk minimizing, and variance minimizing strategies in tracking stock indices are investigated using both simulated and historical market data. In particular, it is shown using S&P500 data over the period 2000 and 2015 that the TEV of the variance minimizing strategy is statistically lower than other strategies at the 95% confidence level for 6-month holding periods.

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Hedging strategies for energy derivatives

Cited by 12 publications

References 22 publications

Commodity price risk management using option strategies

Commodity price risk management using option strategies

Farmers’s Choice to Risk Management Strategies of Corn Farming in Sigi District Central Sulawesi

Variance minimizing strategies for stochastic processes with applications to tracking stock indices

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