Managing risk with short term futures contracts
dc.contributor | Wu, Zhijian | |
dc.contributor | Dixon, Martyn R. | |
dc.contributor | Helms, Billy P. | |
dc.contributor | Trent, Tavan T. | |
dc.contributor | Wang, Pu | |
dc.contributor.advisor | Wu, Zhijian | |
dc.contributor.author | Yu, Chunhui | |
dc.contributor.other | University of Alabama Tuscaloosa | |
dc.date.accessioned | 2017-02-28T22:21:54Z | |
dc.date.available | 2017-02-28T22:21:54Z | |
dc.date.issued | 2009 | |
dc.description | Electronic Thesis or Dissertation | en_US |
dc.description.abstract | [NOTE: Text or symbols not renderable in plain text are indicated by [...]. See PDF document for full abstract.] In this dissertation, we search for an optimal strategy to reduce the running risk in hedging a long-term supply commitment with short-term futures contracts under a certain constraint on the terminal risk, which leads to a class of intrinsic optimization problems. Motivated by a simple model initially discussed in [1] Culp and Miller, [8] Mello and Parsons, [4] Glasserman and a best strategy model by [5] Larcher and Leobacher, we studied an optimization problem as following: Under the condition that [...] Which measurable function [...] minimizes the value of [...]? We will show that a unique solution to this general problem always exists. By solving it numerically, we obtain a general dynamic solution. Furthermore, we will discuss properties of the solution and give analytic solutions in some special cases. | en_US |
dc.format.extent | 68 p. | |
dc.format.medium | electronic | |
dc.format.mimetype | application/pdf | |
dc.identifier.other | u0015_0000001_0000136 | |
dc.identifier.other | Yu_alatus_0004D_10212 | |
dc.identifier.uri | https://ir.ua.edu/handle/123456789/643 | |
dc.language | English | |
dc.language.iso | en_US | |
dc.publisher | University of Alabama Libraries | |
dc.relation.hasversion | born digital | |
dc.relation.ispartof | The University of Alabama Electronic Theses and Dissertations | |
dc.rights | All rights reserved by the author unless otherwise indicated. | en_US |
dc.subject | Mathematics | |
dc.title | Managing risk with short term futures contracts | en_US |
dc.type | thesis | |
dc.type | text | |
etdms.degree.department | University of Alabama. Department of Mathematics | |
etdms.degree.discipline | Mathematics | |
etdms.degree.grantor | The University of Alabama | |
etdms.degree.level | doctoral | |
etdms.degree.name | Ph.D. |
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