Tal vez es una serie de post más para finanzas 301, pero los ultimos 3 post de Quantivity hacen un buen capitulo de Hedging.
“The root challenge of two current equity risk and alpha projects boil down to hedging using non-underlying instruments, known as proxy hedging or cross hedging.”
Empirical Quantiles and Proxy Selection
“(…)how to choose an appropriate hedge instrument, especially amongst several alternatives.”
Empirical Copulas and Hedge Basis Risk
“Of particular interest is understanding the dynamics of basis risk under extreme scenarios (both up and down), which are driven by time-varying stochastic joint covariation.”