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

Paolo Guiotto and Andrea Roncoroni

Foundations and Trends(R) in Technology, Information and Operations Management, 2019, vol. 12, issue 2-3, 254-279

Abstract: 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 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.

Keywords: Risk management; Hedging; Operational risk; Supply chain finance (search for similar items in EconPapers)
JEL-codes: G32 M11 (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:now:fnttom:0200000085

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