This paper compares the pricing and hedging performance of the LMM model against two spot-rate models, namely Hull … contrast to previous studies in the literature, our emphasis here is on ALM and we use hedging performance on Bermudan … stable and their pricing errors are small and comparable. No single model dominates in the pricing exercise. The hedging …

particular, we compare the two models for pricing and hedging Bermudan swaptions because of its resemblance to prepayment option … the hedging performance show that the Black-Karasinski model is more effective in hedging the interest rate risk of the at …

financial instruments. We study the currency hedging behaviour of the Danish pension sector and show that it differs with …

. We find that, depending on whether futures contracts are used for risk reduction (i.e., hedging) or risk taking (i …

existing belief elicitation results, (ii) can we avoid potential hedging confounds? Our results instill confidence regarding … both issues. We propose an experimental design that eliminates hedging opportunities, and use this to test for the … empirical relevance of hedging effects in the lab. We find no evidence for hedging, comparing the standard hedging-prone" belief …

Using a two-moment decision model this paper analyzes corporate hedging behavior in the presence of unified and …, therefore, the incentive for hedging reduces. We demonstrate that pure hedging is differently affected by taxation than … speculative hedging is. Analysing tax-sensitivity of the corporate hedge shows that a higher risk in the first place may reduce …

uncertainty and hedging opportunities. Market transparency is modeled by means of the informational content of publicly observable …

hedging opportunity is introduced by a forward market where the foreign currency can be traded on. We investigate two settings …: First we assume that hedging and output decisions are taken simultaneously. We show that hedging is just done for risk … managing reasons as it is not possible to use hedging strategically. In this setting the well-known separation result of the …

exchange rate risk and hedging. Information is described in terms of market transparency, i.e., a publicly observable signal …