Financial Hedging -- Contents -- Preface -- Research and Review Studies -- Homogeneous and Non-homogeneous Semi-markov Backward Credit Risk Migration Models -- Abstract -- 1. Introduction -- 2. Discrete Time Semi-markov Processes -- 3. Discrete Time Backward Semi-markov Processes -- 4. Reliability Models -- 5. Credit Risk Problem -- 6. Results from Homogeous Credit Risk Model -- 7. Results from Non Homogeous Credit Risk Model -- References -- Towards an Integrated Theory of Corporate Hedging and Capital Structure Decisions -- Abstract -- I. Introduction -- II. Financial Distress Costs and Corporate Taxes Constitute an Optimal Degree of Leverage -- III. Corporate Hedging Benefits Shareholders by Reducing Financial Distress Costs and Taxes -- IV. Corporate Hedging Benefits Shareholders by Raising Optimal Leverage -- V. Trading-off the Costs and Benefits of Corporate Hedging: Who Hedges More? -- VI. Case Study: Hewlett-Packard vs. Safeway -- VII. Conclusions -- References -- Probability Weighting in Futures Hedging -- Abstract -- Introduction -- Prospect Theory -- The Weighting Function -- Parameters of the Weighting Function -- Empirical Evidence -- Research Method -- Numerical Simulation -- Results -- Conclusion -- References -- Hedging Effectiveness with S&P500 Index Futures under Different Volatility Regimes -- Abstract -- 1. Introduction -- 2. Hedging Strategy - Minimum Variance Hedge Ratio -- 3. Implementation of MVHR -- 4. Data and Empirical Results -- 5. Conclusion -- References -- American and European Portfolio Selection Strategies: The Markovian Approach -- Abstract -- 1. Introduction -- 2. Modeling Markov Processes -- 3. The Portfolio Selection Problem -- 4. A First Ex-Post Empirical Comparison among Dynamic Portfolio Strategies -- 5. Conclusion -- 6. Appendix: Some Possible Improvements -- Acknowledgement -- References.

Hedging, Liquidity, and the Multinational Firm under Exchange Rate Uncertainty -- Abstract -- 1. Introduction -- 2. The Model -- 3. Optimal Hedging and Sales Decisions -- 4. Hedging Role of Futures Spreads -- 5. Hedging Role of Options -- 6. Conclusions -- References -- Cross-Hedging for the Multinational Firm under Exchange Rate Uncertainty -- Abstract -- 1. Introduction -- 2. The Model -- 3. The Benchmark Case of Perfect Hedging -- 4. Optimal Decisions under Cross-Hedging -- 5. Hedging Role of Options -- 6. Conclusion -- References -- Option Pricing and Hedging in the Presence of Transaction Costs and Nonlinear Partial Differential Equations -- Abstract -- 1. Introduction -- 2. Modelling the Transaction Costs -- 3. The Leland's Approach to Option Pricing and Hedging -- 4. Utility-Based Option Pricing and Hedging -- 5. Conclusion -- Acknowledgements -- References -- Short Communications -- Time Horizon-Specific Hedging in Commodity Markets -- Abstract -- 1. Introduction -- 2. The Minimum-Variance Approach to Hedging -- 3. Wavelet Transform Analysis -- 4. Description of the Data and Variable Construction -- 5. Time Horizon-Specific Optimal Hedge Ratios -- 6. Conclusions -- References -- Simultaneous Versus Separate Hedging Strategies -- Abstract -- Introduction -- The Basic Model -- Complementation of Futures Contracts -- Substitution of Futures Contracts -- Portfolio View -- Conclusion -- References -- Index.