analysis of a portfolio hedging by means of a portfolio including swaps. Particularly, we are able to clarify the suitable swap … instruments (as VIX futures, inverse ETF, Swap future ...) for the hedging purpose instead of just using a classical bond …Hedging a bond position under a parallel shift of the interest rate has been largely considered and analyzed, though …

headline inflation for long-term hedgers while proposing an overlaying core versus headline swap to hedge the potential asset … makers which could price the derivative based on the cross-hedging potential of commodities …

This paper analyzes the effectiveness of hedging a defaultable bond, that may not be at par, with a credit default swap … (CDS) by quantifying the variance of the hedging errors and determining the optimal hedge ratio. The static hedging … framework uses bond recovery and time to default, which are correlated, to calculate the variance of the hedging errors and the …

basics of hedging interest rate risks with futures, swaps and options. While the assets that are the focus are fixed rate …

analytic expressions for the price sensitivities of zero-coupon bonds, coupon-bearing bonds and interest rate swap contracts …2 model. As a such, the hedging of a position sensitive to the interest rate by means of a portfolio by bonds or swaps … various sensitivities involved.Our main purpose here is to fully document this hedging approach portfolio oriented. This is …

price of providing liquidity. We demonstrate that the appropriate hedging instrument against Impermanent Loss in a Constant …

We find that a cross currency basis swap between the U.S. and emerging economies should not be interpreted as a … for a basis swap between the U.S. Libor and Euro Libor. Overall, the use of a cross-currency basis swap requires an …