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Articles (2019), Foundations and Trends in Technology, Information and Operations Management, 12 (2-3), pp. 254-279

Optimal Positioning in the Derivative Market: Review, Foundations, and Trends

GUIOTTO P., RONCORONI Andrea

We review the theoretical development of optimal positioning in financial derivatives for managing corporate exposure. Our primary focus is on one-period integrated financial- operational policies featuring a bespoke financial contingent claim (or portfolio of claims) and an operational control variable. We develop a unifying theoretical framework which (a) encompasses all of existing solutions in a static set-up across the areas of portfolio insurance, agricultural economics, and integrated financial-operational management, (b) provides researchers with a solid ground to either fill in gaps in the current literature and move forward towards a general theory of contingent claim origination. We also put forward pathways for future development, one based on current research problem, the other focusing on new methodological issue.

GUIOTTO, P. and RONCORONI, A. (2019). Optimal Positioning in the Derivative Market: Review, Foundations, and Trends. Foundations and Trends in Technology, Information and Operations Management, 12(2-3), pp. 254-279.