Microsoft PowerPoint - PoF.ppt

(lu) #1
Hedgingƒ 155

... some problems due to standardization

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maturity mismatch ... “delta hedge”
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underlying mismatch ... “cross hedge”
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maturity mismatch and underlying mismatch ... “delta-cross hedge”
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contract size mismatch
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some risk will remain ...

“basis risk”

Derivative securities: Futures - Hedging

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