This paper compares the pricing and hedging performance of the LMM model against two spot-ratemodels, namely Hull-White and Black-Karasinski, and the more recent Swap Market Model from anAsset-Liability-Management (ALM) perspective. In contrast to previous studies in the literature, ouremphasis...

In this paper, we compare two one-factor short rate models: the Hull White model and the Black-Karasinski model. Despite their inherent shortcomings the short rate models are being used quiteextensively by the practitioners for risk-management purposes. The research, as part of...

This study investigates the sensitivity of stock returns at the industry level to market, exchange rateand interest rate shocks in the four major European economies: France, Germany, Italy and the UK.In addition to exposure to the market, significant levels of exposure to both exchange rate...