Hedging in alternative aarkets

Summary The research in this thesis focuses on two alternative markets: cryptocurrencies and oil products. Most alternative markets are far from efficient, and this generates many modeling challenges. Models based on Gaussian distributions are still the most popular choice for quantitative financial analysts and are implemented even in markets that are far from efficient. A robust modeling framework for alternative assets must start with a non-Gaussian distribution. Therefore, throughout this thesis, the general theme of all simulations and estimations is the use of generalized hyperbolic distributions. This approach has a dual justification. On the one hand, it is essential to develop a sharp quantitative framework beyond the Gaussian universe, testing the performance of the new model in real situations. On the other hand, the markets that are the subject of this research (oil products and cryptocurrencies) have neither the fundamentals nor the empirical behavior that could justify traditional modeling.