This classic article, which was distributed by U.S. savings and loan regulators in the 1980s and 1990s, teaches the basics of hedging interest rate risks with futures, swaps and options. While the assets that are the focus are fixed rate mortgage backed securities, the general technique and...

This article computes the returns from dynamic hedging of the interest rate and prepayment risks of insured fixed rate mortgages. Changing durations cause dynamic hedges with futures markets. Nonparallel shifts in the yield curve are also investigated. Hedges are found to be risk-reducing, but...

This paper examines the allocational roles of futures markets and commodity options in multi-good and multi-period economies. In a continuous-time model with time-additive utilities and homogeneous beliefs, trading in "unconditional" futures contracts, the market portfolio and a riskless asset...

This article shows the challenges and complexities of hedging fixed rate mortgages. A survey of forecasts of brokers about the risks of mortgages shows many significant disagreements, especially for mortgage derivatives such as interest only strip securities

We present an asymmetric information model of hedging that has the intuition that hedging is undertaken by higher ability managers who wish to "lock-in" the higher profits that result from their higher ability. Thus, hedging is an attempt to improve the informativeness of the learning process by...