Dynamic delta hedging of autocallables under a discrete rebalancing context

Detalhes bibliográficos
Autor(a) principal: Lopes, Tiago Vieira
Data de Publicação: 2015
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10362/15387
Resumo: This work tests different delta hedging strategies for two products issued by Banco de Investimento Global in 2012. The work studies the behaviour of the delta and gamma of autocallables and their impact on the results when delta hedging with different rebalancing periods. Given its discontinuous payoff and path dependency, it is suggested the hedging portfolio is rebalanced on a daily basis to better follow market changes. Moreover, a mixed strategy is analysed where time to maturity is used as a criterion to change the rebalancing frequency.
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spelling Dynamic delta hedging of autocallables under a discrete rebalancing contextAutocallableDelta hedgingDiscrete rebalancingThis work tests different delta hedging strategies for two products issued by Banco de Investimento Global in 2012. The work studies the behaviour of the delta and gamma of autocallables and their impact on the results when delta hedging with different rebalancing periods. Given its discontinuous payoff and path dependency, it is suggested the hedging portfolio is rebalanced on a daily basis to better follow market changes. Moreover, a mixed strategy is analysed where time to maturity is used as a criterion to change the rebalancing frequency.UNL - NSBEEça, Afonso FuzetaRUNLopes, Tiago Vieira2016-01-31T01:30:13Z2015-012015-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/15387TID:201474824enginfo:eu-repo/semantics/embargoedAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T03:51:20Zoai:run.unl.pt:10362/15387Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:22:29.568804Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Dynamic delta hedging of autocallables under a discrete rebalancing context
title Dynamic delta hedging of autocallables under a discrete rebalancing context
spellingShingle Dynamic delta hedging of autocallables under a discrete rebalancing context
Lopes, Tiago Vieira
Autocallable
Delta hedging
Discrete rebalancing
title_short Dynamic delta hedging of autocallables under a discrete rebalancing context
title_full Dynamic delta hedging of autocallables under a discrete rebalancing context
title_fullStr Dynamic delta hedging of autocallables under a discrete rebalancing context
title_full_unstemmed Dynamic delta hedging of autocallables under a discrete rebalancing context
title_sort Dynamic delta hedging of autocallables under a discrete rebalancing context
author Lopes, Tiago Vieira
author_facet Lopes, Tiago Vieira
author_role author
dc.contributor.none.fl_str_mv Eça, Afonso Fuzeta
RUN
dc.contributor.author.fl_str_mv Lopes, Tiago Vieira
dc.subject.por.fl_str_mv Autocallable
Delta hedging
Discrete rebalancing
topic Autocallable
Delta hedging
Discrete rebalancing
description This work tests different delta hedging strategies for two products issued by Banco de Investimento Global in 2012. The work studies the behaviour of the delta and gamma of autocallables and their impact on the results when delta hedging with different rebalancing periods. Given its discontinuous payoff and path dependency, it is suggested the hedging portfolio is rebalanced on a daily basis to better follow market changes. Moreover, a mixed strategy is analysed where time to maturity is used as a criterion to change the rebalancing frequency.
publishDate 2015
dc.date.none.fl_str_mv 2015-01
2015-01-01T00:00:00Z
2016-01-31T01:30:13Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10362/15387
TID:201474824
url http://hdl.handle.net/10362/15387
identifier_str_mv TID:201474824
dc.language.iso.fl_str_mv eng
language eng
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dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
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instacron:RCAAP
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