In this paper we empirically compare different term structure models when it comes to the pricing and hedging of caps … and swaptions.We analyze the influence of the number of factors on the pricing and hedging results, and investigate which … best pricing and hedging results. We use data on interest rates, and cap and swaption prices from 1995 to 1999.We find that …

, we show that agents economic hedging portfolios can be obtained by an intuitively appealing, risk aversion …-weighted approximate replication of the economic risk variables using the investment opportunity set, as opposed to the unweighted hedging …-dependent hedging adjustments with respect to one or more securities.Moreover, we analyze investors speculative positions and find that …

Existing research on the hedging effectiveness of currency futures assumes that futures positions are continuously … adjusted. This is an unrealistic assumption in practice. In this paper we study the hedging effectiveness for futures positions … determine hedge ratios and hedging effectiveness. These are the minimum-variance model of Ederington (1979), the "-t model of …

double barriers on to single barriers.Non-dynamic hedges overcome bulky transaction costs due to dynamic hedging trades …