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The impact of jumps and thin trading on realised hedge ratios
Dungey, Mardi H.; Henry, Ólan Thomas John; Hvozdyk, … - 2012
Persistent link: https://www.econbiz.de/10009671885
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Pricing and hedging volatility smile under multifactor interest rate models
Kuo, I.-doun - In: Review of quantitative finance and accounting 36 (2011) 1, pp. 83-104
Persistent link: https://www.econbiz.de/10009271374
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Dislocations in the currency swap and interest rate swap markets : the case of Korea
Park, Hail - In: The journal of futures markets 35 (2015) 5, pp. 455-475
Persistent link: https://www.econbiz.de/10011405400
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General equilibrium and reduced-form pricing, hedging and econometric analysis of fixed-income markets
Ulrich, Maxim - 2008
Persistent link: https://www.econbiz.de/10003751650
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The effect of dynamic hedging of options positions on intermediate-maturity interest rates
Christodoulopoulos, Thanasis N.; Grigoratou, Ioulia - 2003
Persistent link: https://www.econbiz.de/10002202512
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Optimum hedge ratios for bank bill futures
Rose, Lawrence Craig; Zou, Liping; Wilson, William R.; … - 2005
Persistent link: https://www.econbiz.de/10003142639
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Hedging with multi-factor interest rate models
Vocke, Carsten - 2005
Persistent link: https://www.econbiz.de/10003185824
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How to use interest rate futures contracts
Schwarz, Edward W. - 1979
Persistent link: https://www.econbiz.de/10002791508
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Estimating the hedging effectiveness of treasury bill futures : an alternative approach
Parkinson, Patrick M. - 1982
Persistent link: https://www.econbiz.de/10002612090
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The usefulless of Treasury bill futures for forecasting and hedging
Parkinson, Patrick Michael - 1981
Persistent link: https://www.econbiz.de/10002612106