Tag hedging [29 articles]

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10.1098/rspb.2009.1541 ...

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10.1098/rspb.2009.2023 ...

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Bet hedging—stochastic switching between phenotypic states1, 2, 3—is a canonical example of an evolutionary adaptation that facilitates persistence in the face of fluctuating environmental conditions. Although bet hedging is found in organisms ranging from bacteria to humans4, 5, 6, 7, 8, 9, 10, direct evidence for an adaptive origin of this behaviour is lacking11. Here we report the de novo evolution of bet hedging in experimental bacterial populations. Bacteria were subjected to an environment that continually favoured new phenotypic states. Initially, ...

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Callable Libor exotics is a class of single-currency interest-rate contracts that are Bermuda-style exercisable into underlying contracts consisting of fixed-rate, floating-rate and option legs. Bermuda swaptions, callable inverse floaters and callable range accruals are all examples of callable Libor exotics. It is commonly agreed that these instruments are best modeled using forward Libor models. There are many problems, both technical and conceptual, that arise when applying forward Libor models to callable Libor exotics. These problems span calibration, valuation and computation of ...

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Both research and practice have shown that while some comments on L2 writing lead to substantive revision, others go unattended, failing to achieve their anticipated instructional effect. It is therefore crucial to determine how learners perceive different commentary types, so that teachers can enhance the efficacy of their feedback. The present study shares practical suggestions on making written comments more effective, based on the results of an examination of the effects of four different commentary types on ESL students' essays: statements ...

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Under what conditions will a multinational corporation alter its operations to manage its risk exposure? We show that multinational firms will engage in operational hedging only when both exchange rate uncertainty and demand uncertainty are present. Operational hedging is less important for managing short-term exposures, since demand uncertainty is lower in the short term. Operational hedging is also less important for commodity-based firms, which face price but not quantity uncertainty. When the fixed costs of establishing a plant are low or ...

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We investigate automatic identification of speculative language, or 'hedging', in scientific literature from the biomedical domain. Our contributions include a precise description of the task including annotation guidelines, theoretical analysis and discussion. We show that good agreement can be achieved using our guidelines and present a publicly available benchmark dataset for the task. We argue for separation of the acquisition and classification phases in semi-supervised machine learning, and present a probabilistic acquisition model which is evaluated both theoretically and experimentally. We ...

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BACKGROUND:Due to the nature of scientific methodology, research articles are rich in speculative and tentative statements, also known as hedges. We explore a linguistically motivated approach to the problem of recognizing such language in biomedical research articles. Our approach draws on prior linguistic work as well as existing lexical resources to create a dictionary of hedging cues and extends it by introducing syntactic patterns.Furthermore, recognizing that hedging cues differ in speculative strength, we assign them weights in two ways: automatically using ...

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Clonal populations of microbial cells often show a high degree of phenotypic variability under homogeneous conditions. Stochastic fluctuations in the cellular components that determine cellular states can cause two distinct subpopulations, a property called bistability. Phenotypic heterogeneity can be readily obtained by interlinking multiple gene regulatory pathways, effectively resulting in a genetic logic-AND gate. Although switching between states can occur within the cells' lifetime, cells can also pass their cellular state over to the next generation by a mechanism known as ...

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The notion that a real security is redundant when it can be synthesized by a dynamic trading strategy ignores the informational role of real securities markets. Portfolio insurance uses a dynamic strategy to synthesize a European put. The absence of trading in an appropriate real put option prevents the transmittal of information to market participants about the future price volatility associated with current dynamic hedging strategies. Less information is transmitted to potential liquidity providers. It will, therefore, be more difficult for ...

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This paper derives an approximate solution to a continuous-time intertemporal portfolio and consumption choice problem. The problem is the continuous-time equivalent of the discrete-time problem studied by Campbell and Viceira (Q. J. Econ. 114 (1999) 433) in which the expected excess return on a risky asset follows an AR(1) process, while the riskless interest rate is constant. The paper also shows how to obtain continuous-time parameters that are consistent with discrete-time econometric estimates. The continuous-time solution is the limit of that ...

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A quantum field theory generalization, Baaquie, of the Heath, Jarrow, and Morton (HJM) term structure model parsimoniously describes the evolution of imperfectly correlated forward rates. Field theory also offers powerful computational tools to compute path integrals which naturally arise from all forward rate models. Specifically, incorporating field theory into the term structure facilitates hedge parameters that reduce to their finite factor HJM counterparts under special correlation structures. Although investors are unable to perfectly hedge against an infinite number of term structure perturbations in a field theory model, empirical evidence ...

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We analyse derivative securities whose value is NOT a deterministic function of an underlying which means presence of a basis risk at any time. The key object of our analysis is conditional probability distribution at a given underlying value and moment of time. We consider time evolution of this probability distribution for an arbitrary hedging strategy (dynamically changing position in the underlying asset). We assume log-brownian walk of the underlying and use convolution formula to relate conditional probability distribution at any two successive time moments. It leads to the ...

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It is common to have interval predictions for volatilities and other quantities governing securities prices. The purpose of this paper is to provide an exact method for converting such intervals into arbitrage based prices of nancial derivatives or industrial or contractual options. We call this procedure conservative delta hedging. The proposed approach will permit an institution's management a greater oversight of its exposure to risk. 1 This research was supported in part by National ... ...

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This paper is an outgrowth of my PhD-thesis in Financial Economics at the University of Bonn. I would like to thank Jaksa Cvitanic, Hans Follmer, Dieter Sondermann, Daniel Sommer, Alexander Stremme and an anonymous referee for helpful remarks and comments. Financial support from the DFG, SFB 303 at the University of Bonn and from the Union Bank of Switzerland is gratefully acknowledged. ...

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In this paper we analyze the manner in which the demand generated by dynamic hedging strategies affects the equilibrium price of the underlying asset. We derive an explicit expression for the transformation of market volatility under the impact of such strategies. It turns out that volatility increases and becomes time and price dependent. The strength of these effects however depends not only on the share of total demand that is due to hedging, but also significantly on the heterogeneity of... ...

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We introduce and discuss a general criterion for the derivative pricing in the general situation of incomplete markets, we refer to it as the No Almost Sure Arbitrage Principle. This approach is based on the theory of optimal strategy in repeated multiplicative games originally introduced by Kelly. As particular cases we obtain the Cox-Ross-Rubinstein and Black-Scholes in the complete markets case and the Schweizer and Bouchaud-Sornette as a quadratic approximation of our prescription. Technical and numerical aspects for the practical option pricing, as large deviation theory approximation and Monte ...

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: We introduce a new class of strategies for hedging derivative securities in the presence of transaction costs assuming lognormal continuous-time prices for the underlying asset. We do not assume necessarily that the payoff is convex as in Leland [11] or that transaction costs are small compared to the price changes between portfolio adjustments, as in Hoggard, Whalley and Wilmott [8]. The type of hedging strategy to be used depends on the value of the Leland number A = q 2 ß k oe p ffit ... ...

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We investigate the optimal strategy over a finite time horizon for a portfolio of stock and bond and a derivative in an multiplicative Markovian market model with transaction costs (friction). The optimization problem is solved by a Hamilton-Bellman-Jacobi equation, which by the verification theorem has well-behaved solutions if certain conditions on a potential are satisfied. In the case at hand, these conditions simply imply arbitrage-free ("Black-Scholes") pricing of the derivative. While pricing is hence not changed by friction allow a portfolio to fluctuate around a delta hedge. In the ...

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In the theory of riskfree hedges in continuous time finance, one can start with the delta-hedge and derive the option pricing equation, or one can start with the replicating, self-financing hedging strategy and derive both the delta-hedge and the option pricing partial differential equation. Approximately reversible trading is implicitly assumed in both cases. The option pricing equation is not restricted to the standard Black-Scholes equation when nontrivial volatility is assumed, but produces option pricing in agreement with the empirical distribution for the right choice of volatility in a stochastic ...

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. We present a new approach for positioning, pricing, and hedging in incomplete markets, which bridges standard arbitrage pricing and expected utility maximization. Our approach for determining whether to undertake a particular position involves specifying a set of probability measures and associated floors which expected payoffs must exceed in order that the hedged and financed investment be acceptable. By assuming that the liquid assets are priced so that each portfolio of them has negative... ...

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Research on the use of hedging strategies in research articles has received increasing attention during the last few decades, but few have compared the use of hedges across languages and disciplines. This article explores the use of epistemic modality markers - an important and frequently used type of hedges - in research articles written in three different languages (English, French and Norwegian) and belonging to two different disciplines (linguistics and medicine). Gender differences are also examined. The material is compiled within ...