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 … aversion are willing to pay significant compensations for hedges against inflation risk, real interest-rate risk, and dividend …

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 …

inflation, in a framework in which unions are averse to inflation. This aversion moderates unions wage demands as they attempt … decrease in the number of unions) triggers two opposite effects on real wages, unemployment and inflation. It reduces the …, unemployment and inflation. For sufficiently inflation averse unions the interaction between those two effects produces a Calmfors …