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Pricing and hedging guaranteed annuity options via static option replication
Pelsser, Antoon André Jean - 2002 - This version: 12-Mar-2002 13:27
In this paper we derive a market value for Guaranteed Annuity Optionusing martingale modeling techniques. Furthermore, we show how to construct a static replicating portfolio of vanillainterest rate swaptions that replicates the Guaranteed Annuity Option. Finally, we illustrate with historical...
Persistent link: https://www.econbiz.de/10011326973
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Pricing and hedging guaranteed annuity options via static option replication
Pelsser, Antoon André Jean - 2002
Persistent link: https://www.econbiz.de/10001663822
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Credit risk based capital and interest rate derivative default risk
Mokkelbost, Per B. - In: Geld, Finanzwirtschaft, Banken und Versicherungen : …, (pp. 509-539). 1994
Persistent link: https://www.econbiz.de/10001287543
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Cross-border diversification in bank asset portfolios
Buch, Claudia M. (contributor);  … - 2004
Persistent link: https://www.econbiz.de/10002200355
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Single and multiple portfolio cross-hedging with currency futures
DeMaskey, Andrea L. - In: Multinational finance journal : MF ; quarterly … 1 (1997) 1, pp. 23-46
Persistent link: https://www.econbiz.de/10001443875
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Cross-Border Diversification in Bank Asset Portfolios
Buch, Claudia M. - 2010
.K., and the U.S., using the mean-variance portfolio model with currency hedging. We compare these benchmark portfolios to the …
Persistent link: https://www.econbiz.de/10013150715
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Single and Multiple Portfolio Cross-Hedging with Currency Futures
DeMaskey, Andrea L. - 2016
This article presents empirical evidence on the effectiveness of currency futures cross-hedging with the portfolio … crosshedging effectiveness are used to determine how well the optimal portfolio strategy performs relative to not hedging or a … naive cross-hedge. Results show that Asian currency risk cannot be minimized with single or multiple currency futures cross …
Persistent link: https://www.econbiz.de/10013004205
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Integration and shock transmissions across European electricity forward markets
Bunn, Derek W.; Gianfreda, Angelica - In: Energy economics 32 (2010) 2, pp. 278-291
Persistent link: https://www.econbiz.de/10003954605
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Integration and Shock Transmissions across European Electricity Forward Markets
Gianfreda, Angelica - 2019
New results are presented relating to the integration of the French, German, British, Dutch and Spanish power markets at day-ahead, week-ahead, one month-ahead and two month-ahead lead times. Overall, there is evidence of market integration, increasing over time, despite an underlying...
Persistent link: https://www.econbiz.de/10012905468
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The validity of derivatives contracts : legal doctrine as a vehicle of dialogues over "speculation"
Ramos Muñoz, David - 2023
Persistent link: https://www.econbiz.de/10014478961