A note on price futures versus revenue futures contracts

Article Abstract:

The hedging roles of a price futures contract versus a revenue futures contract is considered. It is found that when production risk is largely idiosyncratic, a producer with an anticipated long actual position might combine a long revenue futures position with a short price futures position.

Forecasts, trends, outlooks, Forecasts and trends, Futures market, Futures markets, Market trend/market analysis

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A note on asymmetric stochastic volatility and futures hedging

Article Abstract:

The asymmetric responses to good and bad news within a stochastic volatility framework is examined. It is concluded that asymmetry leads to a greater average optimal hedge ratio.

Stochastic processes

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The effect of liquidity constraints on futures hedging

Article Abstract:

The liquidity constraints are responsible for the termination of a hedge program, in the event of a certain threshold, exceeding the cumulative loss from a future position.

Liquidity (Finance)

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