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The valuation and hedging of variable rate savings account
Jong, Frank de; Wielhouwer, Jacco L. - 2001
Variable rate savings accounts have two main features. The client rate is variable and deposits can be invested and withdrawn at any time. However, customer behaviour is not fully rational and actions are often performed with a delay. This paper focusses on measuring the interest rate risk of...
Persistent link: https://www.econbiz.de/10011318571
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The failure of covered interest parity : FX hedging demand and costly balance sheets
Sushko, Vladyslav; Borio, Claudio E. V.; McCauley, Robert N. - 2016 - This version: 30 October, 2016
Persistent link: https://www.econbiz.de/10011609852
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Hedging long-term liabilities
Quaedvlieg, Rogier; Schotman, Peter C. - In: Journal of financial econometrics 20 (2022) 3, pp. 505-538
Persistent link: https://www.econbiz.de/10013349137
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Testing the martingale hypothesis for futures prices : implications for hedgers
De Ville de Goyet, Cédric; Dhaene, Geert; Sercu, Piet - In: The journal of futures markets 28 (2008) 11, pp. 1040-1065
Persistent link: https://www.econbiz.de/10003769967
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The optimal martingale measure for investors with exponential utility function
Steiger, Gallus Johannes (contributor) - 2005
Persistent link: https://www.econbiz.de/10003278318
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Pricing by hedging and no-arbitrage beyond semimartingales
Bender, Christian; Sottinen, Tommi; Valkeila, Esko - In: Finance and stochastics 12 (2008) 4, pp. 441-468
Persistent link: https://www.econbiz.de/10003899260
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Mean square error for the Leland-Lott hedging strategy
Gamys, Moussa; Kabanov, Jurij M. - In: Recent advances in financial engineering : proceedings …, (pp. 1-25). 2009
Persistent link: https://www.econbiz.de/10003871153
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Mean variance hedging in a general jump model
Kohlmann, Michael; Xiong, Dewen; Ye, Zhongxing - In: Applied mathematical finance 17 (2010) 1/2, pp. 29-57
Persistent link: https://www.econbiz.de/10003975266
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Mean variance hedging in a general jump market
Xiong, Dewen; Kohlmann, Michael - In: International journal of theoretical and applied finance 13 (2010) 5, pp. 789-820
Persistent link: https://www.econbiz.de/10008904324
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Practical and theoretical aspects of market-consistent valuation and hedging of insurance liabilities
Delong, Łukasz - In: Bank i kredyt 42 (2011) 1, pp. 49-78
Persistent link: https://www.econbiz.de/10008906090