Managing risk with short term futures contracts

dc.contributorWu, Zhijian
dc.contributorDixon, Martyn R.
dc.contributorHelms, Billy P.
dc.contributorTrent, Tavan T.
dc.contributorWang, Pu
dc.contributor.advisorWu, Zhijian
dc.contributor.authorYu, Chunhui
dc.contributor.otherUniversity of Alabama Tuscaloosa
dc.date.accessioned2017-02-28T22:21:54Z
dc.date.available2017-02-28T22:21:54Z
dc.date.issued2009
dc.descriptionElectronic Thesis or Dissertationen_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.extent68 p.
dc.format.mediumelectronic
dc.format.mimetypeapplication/pdf
dc.identifier.otheru0015_0000001_0000136
dc.identifier.otherYu_alatus_0004D_10212
dc.identifier.urihttps://ir.ua.edu/handle/123456789/643
dc.languageEnglish
dc.language.isoen_US
dc.publisherUniversity of Alabama Libraries
dc.relation.hasversionborn digital
dc.relation.ispartofThe University of Alabama Electronic Theses and Dissertations
dc.rightsAll rights reserved by the author unless otherwise indicated.en_US
dc.subjectMathematics
dc.titleManaging risk with short term futures contractsen_US
dc.typethesis
dc.typetext
etdms.degree.departmentUniversity of Alabama. Department of Mathematics
etdms.degree.disciplineMathematics
etdms.degree.grantorThe University of Alabama
etdms.degree.leveldoctoral
etdms.degree.namePh.D.
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