Financial Derivatives in Corporate Risk Management

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Mulong Wang

The Dissertation Committee for Mulong Wang Certifies that this is the
approved version of the following dissertation:

Financial Derivatives in Corporate Risk Management

Patrick L. Brockett
Supervisor’s name, Supervisor
Richard D. MacMinn
Co-Supervisor’s name, Co-Supervisor
Jonathan F. Bard
Member’s name
Douglas J. Morrice
Member’s name
Thomas W. Sager
Member’s name

Financial Derivatives in Corporate Risk Management

Mulong Wang, B.S.

Presented to the Faculty of the Graduate School of
the University of Texas at Austin
in Partial Fulfillment
of the Requirements
for the Degree of
Doctor of Philosophy

The University of Texas at Austin

August 2001

UMI Number: 3036610

UMI Microform 3036610
Copyright 2002 by ProQuest Information and Learning Company.
All rights reserved. This microform edition is protected against
unauthorized copying under Title 17, United States Code.
ProQuest Information and Learning Company
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Dedicated to Helen,
My wife


I want to thank all those kind people who advised or helped my
dissertation research.
I am greatly indebted to my supervisors, Drs. Patrick Brockett
and Richard MacMinn. This dissertation would not have been finished
without their kind guidance, discussion, and encouragements. It has
been an extremely valuable experience to study and work under their
I also would like to thank my dear wife, Helen. With her
consistent encouragements and help, I can dedicate to this research.
Drs. Jonathan Bard, Douglas Morrice and Thomas Sager
provided numerous comments on this dissertation. Their service on
my dissertation committee is greatly appreciated.
Colleagues in Center of Risk Management and Insurance and
Center of Management and Operations for Logistics also provided a lot
of help in my PhD student career. Their discussions inspired a lot of
this dissertation research and other research projects.


Financial Derivatives in Corporate Risk Management
Publication No.

Mulong Wang, Ph.D.

The University of Texas at Austin, 2001

Supervisors: Patrick L. Brockett and Richard D. MacMinn

This dissertation addresses how the weather derivative hedges
the corporate risk, how to price the indexed derivative as an exotic
derivative instrument, and the implications of bas...
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