Book chapters
Year
2001
Abstract
This chapter addresses the issue of the optimal hedging strategy of a firm having invested abroad in non-tradable assets. The stochastic processes driving the yield curves, the exchange rate and the international asset value are rather general. We compare the optimal hedging strategy using forwards with that using futures. The latter strategy turns out to be simpler than the former, due to the marking-to-market mechanism.
PONCET, P. (2001). Théorie de la couverture : application aux risques de taux de change et d’intérêt d’un entreprise multinationale. Dans: Finance d’entreprise, recherches du CREFIB. 1st ed. Economica, pp. 321-342.