corporate bond returns to the entire yield curve, thereby providing a solution to the puzzle. In addition, hedging effectiveness … improvement in hedging effectiveness …

We revisit the problem of pricing and hedging plain vanilla single-currency interest rate derivatives using multiple …

The illiquidity of long-maturity options has made it difficult to study the term structures of option spanning …

, and products, including variance swaps, straddles, and VIX futures. In addition, the paper derives a closed …-form relationship between the prices of variance swaps and VIX futures. While tightly linked, VIX futures exhibit deviations of varying … and their relationship to VIX futures' return predictability. …

revise well-known criteria for the goodness of interpolation and introduce the hedge error, arising from dynamic delta-hedging … choice since hedging is the essential instrument applied by banks to mitigate interest rate risks. The hedge error …

We develop a novel contract design, the fed funds futures (FFF) variance futures, which reflects the expected realized … basis point variance of an underlying FFF rate. The valuation of short-term FFF variance futures is completely model … is computed by sampling the FFF rate discretely. The valuation of longer-term FFF variance futures is subject to an …

interest rates. Prices for dividend futures, bonds, and the dividend paying stock are given in closed form. We present an … specification has a good fit with Euribor interest rate swaps and swaptions, Euro Stoxx 50 index dividend futures and dividend … options, and Euro Stoxx 50 index options …