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Derivatives and Risk Management, 1st Edition
book

Derivatives and Risk Management, 1st Edition

by Sundaram Janakiramanan
May 2024
Intermediate to advanced content levelIntermediate to advanced
542 pages
27h 26m
English
Pearson India
Content preview from Derivatives and Risk Management, 1st Edition
118 Derivatives and Risk Management
In a stack rolling hedge, the whole exposure will be hedged using the near-month contract. For exam-
ple, WIPRO will hedge the total amount of USD 1,200,000 that will be received over the next six months
with a forward or a futures contract with expiry in one month. When this contract expires, WIPRO will
roll over the remaining hedge amount of USD 1,000,000 with a forward or a futures contract with expiry
in one month. Since the amount hedged is dierent from the amount of exposure in any given month,
WIPRO is subject to basis risk if it follows a stack rolling hedge. A stack rolling hedge is usually emplo ...
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Publisher Resources

ISBN: 9781299447547Publisher Website