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Pension liquidity risk

Jansen, Kristy A. E.; Klingler, Sven; Ranaldo, Angelo; … - 2024

Persistent link: https://www.econbiz.de/10014486912

Dynamics of interest rate swap and equity volatilities

Mele, Antonio; Obayashi, Yoshiki; Shalen, Catherine T. - 2013

, hedging, and risk-taking tools …

Persistent link: https://www.econbiz.de/10009750617

Linear-rational term structure models

Filipović, Damir; Larsson, Martin; Trolle, Anders B. - 2014

We introduce the class of linear-rational term structure models in which the state price density is modeled such that bond prices become linear-rational functions of the factors. This class is highly tractable with several distinct advantages: i) ensures nonnegative interest rates, ii) easily...

Persistent link: https://www.econbiz.de/10010338764

On the American swaption in the linear-rational framework

Filipović, Damir; Kitapbayev, Yerkin - 2016

We study American swaptions in the linear-rational (LR) term structure model introduced. The American swaption pricing problem boils down to an optimal stopping problem that is analytically tractable. It reduces to a free-boundary problem that we tackle by the local time-space calculus. We...

Persistent link: https://www.econbiz.de/10011516038

Fed funds futures variance futures

Filipović, Damir; Trolle, Anders B. - 2015

We develop a novel contract design, the fed funds futures (FFF) variance futures, which reflects the expected realized basis point variance of an underlying FFF rate. The valuation of short-term FFF variance futures is completely model-independent in a general setting that includes the cases...

Persistent link: https://www.econbiz.de/10011293604

Pricing and hedging of inflation-indexed bonds in an affine framework

Eksi, Zehra; Filipović, Damir - 2013

This study deals with the pricing and hedging of inflation-indexed bonds. Under foreign exchange analogy we model the … for the factor process. Then, we perform a novel hedging analysis where our objective is to replicate an indexed bond of a … given maturity by trading a portfolio of nominal bonds. This analysis leads to a hedging criterion based on a set of …

Persistent link: https://www.econbiz.de/10010257509

Hedging under an expected loss constraint with small transaction costs

Bouchard, Bruno; Moreau, Ludovic; Soner, Halil Mete - 2014

We consider the problem of option hedging in a market with proportional transaction costs. Since super-replication is … very costly in such markets, we replace perfect hedging with an expected loss constraint. Asymptotic analysis for small …

Persistent link: https://www.econbiz.de/10010442924

CDS and credit: the effect of the bangs on credit insurance, lending and hedging

Gündüz, Yalın; Ongena, Steven; Tümer-Alkan, Günseli; … - 2023 - This draft: October 31, 2023

Persistent link: https://www.econbiz.de/10014483049

Alternative models for hedging yield curve risk : an empirical comparison

Carcano, Nicola; Dall'O, Hakim - 2010

We develop alternative models for hedging yield curve risk and test them by hedging US Treasury bond portfolios through … hedging quality. Also, this quality varies from one test case to the other, so that a clear ranking of the models is not … possible. We show that accounting for the variance of modeling errors substantially reduces both hedging errors and transaction …

Persistent link: https://www.econbiz.de/10008797074

Nonmyopic optimal portfolios in viable markets

Cvitanić, Jakša; Malamud, Semyon - 2010

's hedging demand is positive (negative) when the product of his prudence and risk tolerance is below (above) 2 and (ii) the …

Persistent link: https://www.econbiz.de/10008797739