We ask whether banks use interest rate swaps to hedge the interest rate risk of their assets, primarily loans and … average bank has a large notional amount of swaps-- $434 billion, or more than 10 times assets. But after accounting for the … swaps: a 100-basis-point increase in rates increases the value of its swaps by 0.1% of equity. There is variation across …

Over the last decade dealing in derivative financial instruments (basically forwards, futures, options and combinations …

We study the pricing of uncertainty shocks using a wide-ranging set of options that reveal premia for macroeconomic … risks. Portfolios hedging macro uncertainty have historically earned zero or even significantly positive returns, while … role for "good uncertainty". Options for nonfinancials are particularly important for spanning macro risks and good …

We document a new stylized fact regarding the term-structure of futures volatility. We show that …consistent with the aforementioned "V-shape" relation between the volatility of futures prices and …in time-varying volatility of futures prices. Calibrating this model, we show it is quantitatively …

-dependent options and options on assets with stochastic volatility and jumps. " …

the practical relevance of our network pricing approach, we apply it to the pricing and delta-hedging of S&P 500 futures …-Scholes formula from a two-year training set of daily options prices, and that the resulting network formula can be used successfully … to both price and delta-hedge options out-of-sample. For comparison, we estimate models using four popular methods …

comparable to that of returns in stock markets. Evidence is shown that there may be only minimal possibility of cross hedging … examined. Such markets, by allowing hedging of these aggregate income risks, might make for dramatically more effective …

securities ("cash") and index futures to synthesize a European put on the underlying portfolio. In the absence of a real traded … volatility associated with current dynamic hedging strategies. There will thus be less information transmitted to those people … trades implied by the dynamic hedging strategies, In effect, the stocks' future price volatility can rise because of a …