of hedging on firm value and performance. We show that interest rate risk hedging is negatively related to firm value and … performance and that this adverse relation is caused by the use of very popular and yet inefficient hedging strategies which rely … on options and swaps contracts. The high demand for the above inefficient hedging strategies is very intriguing because …

We examine the efficiency of hedging a credit derivative portfolio with a contrary position in a credit index in the …, the implied adjustments in capital charges could be reduced by the mentioned hedging strategy, and we show that there is … volatility are high. Increases in VIX, in the 10-year swap rate or in liquidity risk tend to decrease hedging efficiency …

Cross hedging price risk in an incomplete financial market creates basis risk. We propose a new way of modeling basis … necessary and sufficient condition for underhedging in an unbiased market. Using the example of cross hedging jet fuel price … cross hedges differ significantly from those derived under the traditional additive cross hedging model …

We investigate the effect of including variance derivatives as calibration and hedging instruments for pricing and … hedging exotic structures. This is studied empirically using market data for SPX and VIX derivatives applied in a stochastic …