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SSRNDerivatives & Volatility

Exposure Hedging Strategy

The paper presents a model for optimizing a dealer's hedging strategy in foreign exchange fixings, suggesting smaller exposures are fully hedged in the short term, while larger ones are hedged over a longer period.

Featured in No. 45 on 17 Apr 2024 · 1 day after release

Released
16 Apr 2024
First featured
No. 45 · 17 Apr 2024
Published in
Not yet, as far as Semantic Scholar knows
Shares when featured
73
Identifier
SSRN 4796356

Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).

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