Hedge analysis

From the preceding discussion, it is clear that at least two factors beyond BPV determine the effectiveness of a bond hedge the bonds yield volatilities and the extent to which changes in their yields are correlated. 

FIGURE 18.8 Yield Volatilities and Correlations, Selected Bonds, 

Hedges can be made more accurate by adjusting their weightings according to the standard relationship for correlations and the eflFect of correlation. Consider two bonds with nominal values Mi and M2. If the bonds yields change by Ari and Ar2, the net change in the position s value is given by equation (18.4) 

The change in net value of a two-bond position is a function of the two securities nominal values, their volatilities, and the correlation between their yield changes. The standard deviation of such a position may therefore be expressed by equation (18.5). 

Equation (18.5) can be rearranged as shown in (18.6) to solve for the optimum hedge value for any bond. 

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This test is better left to the vendor for interpretation unless the user representative is quite experienced in the design ot centrifugal impellers, The vendor can be asked to identify the critical areas prior to the test if there is time to check his analysis. Actually, the liability to the vendor is much too high for him to risk an overstress failure just to pass a test. Unfortunately, failures come in the unexpected situations, where the hedge is hind sight. ... 

Hedges, R.E.M. and Van Klinken, GJ. 2000 Consider a Spherical Cow.. . . —On Modelling and Diet. In Ambrose, S. and Katzenberg, M.A., eds., Biogeochemical Approaches To Pakodietary Analysis. Kluwer Academic/Plenum Publishers, New York. 

An inscribed thick plate of brass attributed to the landing, in 1579, of Francis Drake on the coast of California, is retained in safekeeping at the University of California, Berkeley. Since its discovery, in the San Francisco Bay area in 1936, however, there have been doubts about the authenticity of the plate, although an early chemical study had apparently confirmed its authenticity. Regardless of this initial study, doubts about the origin of the plate persisted, and a new study, based on the composition of the brass as determined by neutron activation, X-rays fluorescence, and atomic absorption analysis was initiated to reevaluate the earlier authentication of the plate. The results of this study were then compared with the composition typical of brass from Drake s time as well as from modem brass, and it was then concluded that the plate was probably made during the latter part of the nineteenth century or the early years of the twentieth century (Hedges 1979). 

Hedges, R. E. M. (1979), Analysis of the Drake plate Comparison with the composition of Elizabethan brass, Archaeometry 21, 21-26. 

Stott, A. W., R. Berstan, R. P. Evershed, C. Bronk-Ramsey, M. Humm, and R. E. M. Hedges (2003), Direct dating of archaeological pottery by compound specific C-14 analysis of preserved lipids, Anal. Chem. 75(19), 5037-5045. 

Hedges, R.E.M. and McClennan, M. (1976). On the cation exchange capacity of fired clays and its effect on the chemical and radiometric analysis of pottery. Archaeometry 18 203-207. 

Hedges, R.E.M. and Salter, C.J. (1979). Source determination of iron currency bars through analysis of the slag inclusions. Archaeometry 21 161-175. 

McCullagh, J.S.O., Juchelka, D. and Hedges, R.E.M. (2006). Analysis of amino acid C-13 abundance from human and faunal bone collagen using liquid chromatography/isotope ratio mass spectrometry. Rapid Communications in Mass Spectrometry 20 2761-2768. 

Prior to the Seattle Workshop, several batches of seawater from Hawaii were distributed to attendees for analysis. It became immediately clear to workshop participants that the key to making valid comparisons was both a common reference material and a uniform blank solution (Hedges et al., 1993 Sharp, 1993). The primary source of discrepancy among analysts was poor blank control, not oxidative capacity. 

Cowie, G.L., and J.I. Hedges. 1992. Improved amino acid quantification in environmental samples charge-matched recovery standards and reduced analysis time. Marine Chemistry 37 223-238. 

Gelinas, Y., J.A. Baldock, and J.I. Hedges. 2001b. Demineralization of marine and freshwater sediments for CP/MAS 13C NMR analysis. Organic Geochemistry 32(5) 677-693. 

Borenstein, M., Hedges, L., Higgins, J., and Rothstein, H. 2005. Comprehensive Meta-analysis Version 2, Biostat, Englewood NJ. http //www.meta-analysis.com/... 

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