Hedging Long-Term Forwards with Short-Term Futures: A Two-Regime Approach

In this paper we investigate Metallgesellschaft’s problem of hedging long-term forwards with short-term futures. Very different hedging strategies have been proposed in the literature. We attribute these differences to the underlying valuation approaches for oil futures and empirically compare five model-based hedging strategies. In particular, we consider a strategy which results from a two-regime pricing model. This continuous-time equilibrium model reflects the observation that prices of oil futures exhibit a very different behavior for low and high oil prices. Our empirical study shows that time diversification is the dominant effect for an effective hedging of long-term oil forwards with short-term futures. Copyright Kluwer Academic Publishers 2005long-term forwards, hedging, Metallgesellschaft case, two-regime pricing.,

Reduced Cancer Incidence in Huntington's Disease: Analysis in the Registry Study

Background: People with Huntington's disease (HD) have been observed to have lower rates of cancers. Objective: To investigate the relationship between age of onset of HD, CAG repeat length, and cancer diagnosis. Methods: Data were obtained from the European Huntington's disease network REGISTRY study for 6540 subjects. Population cancer incidence was ascertained from the GLOBOCAN database to obtain standardised incidence ratios of cancers in the REGISTRY subjects. Results: 173/6528 HD REGISTRY subjects had had a cancer diagnosis. The age-standardised incidence rate of all cancers in the REGISTRY HD population was 0.26 (CI 0.22-0.30). Individual cancers showed a lower age-standardised incidence rate compared with the control population with prostate and colorectal cancers showing the lowest rates. There was no effect of CAG length on the likelihood of cancer, but a cancer diagnosis within the last year was associated with a greatly increased rate of HD onset (Hazard Ratio 18.94, p < 0.001). Conclusions: Cancer is less common than expected in the HD population, confirming previous reports. However, this does not appear to be related to CAG length in HTT. A recent diagnosis of cancer increases the risk of HD onset at any age, likely due to increased investigation following a cancer diagnosis