Title: A note on currency hedging with basis risk: methodology and application

Authors: Moawia Alghalith

Addresses: University of the West Indies, St. Augustine, Trinidad and Tobago; 1831 Riviera, Jax, FL 32205, USA

Abstract: We implement the theoretical models of input hedging. In doing so, we provide decisive results regarding the marginal impact of the basis risk on the optimal hedge, hedge ratio and hedge position.

Keywords: currency hedging; input hedging; basis risk; optimal hedge; hedge ratio; hedge position.

DOI: 10.1504/IJBAAF.2008.020244

International Journal of Banking, Accounting and Finance, 2008 Vol.1 No.1, pp.105 - 109

Published online: 09 Sep 2008 *

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