Browsing FGV EPGE - Seminários de Pesquisa Econômica by Subject "Hedging (Finanças)"

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Dynamic hedging with stocastic differential utility

Bueno, Rodrigo de Losso da Silveira
2003-05-22

In this paper we study the dynamic hedging problem using three different utility specifications: stochastic differential utility, terminal wealth utility, and we propose a particular utility transformation connecting both ...
Hedging options in a garch environment: testing the term structure of stochastic volatility models

Engle, R. F.; Rosenberg, Joshua
1994-12-12

This paper develops a methodology for testing the term structure of volatility forecasts derived from stochastic volatility models, and implements it to analyze models of S&P500 index volatility. U sing measurements of the ...