Dynamic Hedging Strategies and Their Accuracy

Student: Ufimczev Egor

Educational Programme: Bachelor

Year of Graduation: 2014

This paper considers the problem of dynamic hedging of «linear» long-term commitments (i.e. forward contracts) with the use of more liquid short-term futures contracts. A comparative analysis of two approaches to the solution of this problem, represented, respectively, in [Schwartz, 1997] and [Neuberger, 1999]. The strategy proposed in the second paper was modeled. Assessment of its accuracy was performed with the use of historical data on the results of futures trading on the underlying assets of six groups represented on the Moscow Stock Exchange: commodities, stocks, indices, bonds, FX and money market instruments.

Student Theses at HSE must be completed in accordance with the University Rules and regulations specified by each educational programme.

Summaries of all theses must be published and made freely available on the HSE website.

The full text of a thesis can be published in open access on the HSE website only if the authoring student (copyright holder) agrees, or, if the thesis was written by a team of students, if all the co-authors (copyright holders) agree. After a thesis is published on the HSE website, it obtains the status of an online publication.

Student theses are objects of copyright and their use is subject to limitations in accordance with the Russian Federation’s law on intellectual property.

In the event that a thesis is quoted or otherwise used, reference to the author’s name and the source of quotation is required.

Search all student theses