Global hedging in incomplete markets

不完全市场中的全球对冲

基本信息

批准号：
RGPIN-2017-06837
负责人：
Godin, Frédéric
金额：
$ 1.38万
依托单位：
Concordia University
依托单位国家：
加拿大
项目类别：
Discovery Grants Program - Individual
财政年份：
2019
资助国家：
加拿大
起止时间：
2019-01-01 至 2020-12-31
项目状态：
已结题

来源：
https://www.nserc-crsng.gc.ca/ase-oro/Details-Detailles_eng.asp?id=677008
关键词：
Global hedging incomplete markets

项目摘要

The recent financial crisis highlighted the importance of sound risk management practices for financial institutions to avoid financial hardship and bankruptcy. The hedging of financial derivatives is a prime concern for financial institutions; these products entail complex risks which can lead to extreme losses in a short amount of time. My research program focuses on hedging procedures which apply in realistic incomplete market frameworks where risk cannot be completely eliminated. More precisely, my program aims at contributing to the development of a specific category of hedging schemes referred to as global hedging. Global hedging schemes minimize risk up to the maturity of the hedge. This represents a conceptual advantage over traditional myopic methods such as delta-hedging and local risk-minimization which only consider risk up to the next time period. This explains why global hedging methods were shown to exhibit a higher performance than their local counterparts, see François et al. (2012), Godin (2015) and Augustiniak et al. (2016).****Although global hedging schemes are more efficient, their use is currently hindered by their higher complexity. Indeed, global hedging models involve optimal stochastic control to optimize hedging policies. The numerical implementation of such procedures is non-trivial because of the associated heavy numerical burden. The main long term objective of my research program is to contribute to the development of global hedging models to allow their application in a wider number of practical setups and to facilitate their implementation. This objective will be realized through three main research avenues: (i) Developing more efficient numerical algorithms which can accelerate the running time of global hedging. Examples of schemes that will be investigated include spectral interpolation, simulation and regression and post-decision state variables dynamic programming. (ii) Quantifying the outperformance of global hedging over traditional local methods and assessing the magnitude of residual risk in various market contexts. (iii) Developing hedging schemes in broader contexts considering additional risks that are not currently taken into account by existing methods. Such risks include liquidity risk and volatility surface risk.*The development of efficient hedging procedures should benefit sophisticated investors and financial institutions by allowing them to significantly reduce their risk profile, thus decreasing the probability they become insolvent.**

最近的金融危机凸显了金融机构健全的风险管理实践对于避免财务困难和破产的重要性。金融衍生品的对冲是金融机构最关心的问题，这些产品带来复杂的风险，可能会导致短期内的巨大损失。我的研究计划侧重于适用于无法完全消除风险的现实不完整市场框架的对冲程序，更准确地说，我的计划旨在促进称为全球对冲的特定类别对冲计划的发展。计划将风险降至最低这代表了相对于传统的短视方法（例如德尔塔对冲和局部风险最小化）的概念优势，这些方法仅考虑下一时间段的风险，这解释了为什么全球对冲方法表现出比传统的短视方法更高的性能。他们的本地援助，参见 François 等人 (2012)、Godin (2015) 和 Augustiniak 等人 (2016)。****尽管全球对冲方案更为有效，但目前其使用较少。事实上，全球对冲模型最好涉及随机控制来优化对冲政策，因为相关的沉重的数字负担是我的研究计划的主要长期目标。开发全球对冲模型，以使其在更广泛的实际设置中得到应用并促进其实施，这一目标将通过三个主要研究途径来实现：（i）开发更有效的数值算法，以加快运行时间。全球的对冲方案的例子包括谱插值、模拟和回归以及决策后状态变量动态规划 (ii) 量化全球对冲相对于传统本地方法的优异表现，并评估不同市场环境下的剩余风险程度。 (iii) 在更广泛的背景下制定对冲计划，考虑目前现有方法未考虑到的额外风险。此类风险包括流动性风险和波动性表面风险。*开发有效的对冲程序应使成熟的投资者和金融机构受益。使他们能够显着降低风险状况，从而降低资不抵债的可能性。**