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| Author: | Hilliard, J. |
| Title: | Analytics underlying the Metallgesellschaft hedge: short term futures in a multi-period environment |
| Journal: | Review of Quantitative Finance and Accounting
1999 : MAY, VOL. 12:3, p. 195-220 |
| Index terms: | FINANCE ACCOUNTING FUTURE |
| Language: | eng |
| Abstract: | In a highly publicized example, a marketing and refining subsidiary of Metallgesellschaft controlled short term derivative positions reportedly equivalent to 160 million barrels of oil, 80 times the daily output of Kuwait. Presumably, the short term positions were taken to hedge oil contracts to customers over an extended period. This paper develops the unelytics underlying the hedging of long term flow commitments with short term futures contracts. |
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