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Choice of Interest Rate Term Structure Models for Assets and Liability Management

Guan, Eric; Gan, Bing; Khan, Aisha; Poon, Ser-Huang - Manchester Business School - 2008

This paper compares the pricing and hedging performance of the LMM model against two spot-ratemodels, namely Hull … contrast to previous studies in the literature, ouremphasis here is on ALM and we use hedging performance on Bermudan swaptions …

Persistent link: https://www.econbiz.de/10005870645

Short Rate Models: Hull-White or Black-Karasinski?Implementation Note and Model Comparison for ALM

Khan, Aisha; Guan, Eric; Poon, Ser-Huang - Manchester Business School - 2008

particular, we compare the two models for pricing and hedging Bermudanswaptions because of its resemblance to prepayment option …

Persistent link: https://www.econbiz.de/10005870647

Swap Market Model: Theory and Empirical Evidence

Gan, Bing; Guan, Eric; Poon, Ser-Huang - Manchester Business School - 2008

This paper tests the co-terminal swap market model (SMM) pricing and hedging performance onBermudan swaptions. To our … particular volatility formula may not be enough tocapture the term structure of different markets. Hedging performance of the …

Persistent link: https://www.econbiz.de/10005870663

Hedging the Black Swan: Conditional Heteroskedasticity and Tail Dependence in S&P500 and VIX

Abbas, Sawsan; Poon, Ser-Huang; Tawn, Jonathan - Manchester Business School - 2009

The recent financial crisis has accentuated the fact that extreme outcomes have been overlookedand not dealt with adequately. While extreme value theories have existed for a long time, themultivariate variant is difficult to handle in the financial markets due to the prevalentheteroskedasticity...

Persistent link: https://www.econbiz.de/10005870713