Dynamic hedging with non-martingale futures prices and time-varying volatilities

Conventional hedging theory fails to take into account a number of stylized facts about exchange rate dynamics, most importantly the time-varying nature of volatility and the cointegration between spot and futures prices. In an effort to address this, recent studies have re-examined the hedging pr...

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Bibliographic Details
Main Author: Marlowe, D. J.
Language:English
Published: 2009
Online Access:http://hdl.handle.net/2429/4656

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