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Short rate models : Hull-White or Black-Karasinski? ; implementation note and model comparison for ALM
Khan, Aisha (contributor); Guan, Eric (contributor);  … - 2008
particular, we compare the two models for pricing and hedging Bermudan swaptions because of its resemblance to prepayment option … the hedging performance show that the Black-Karasinski model is more effective in hedging the interest rate risk of the at …
Persistent link: https://www.econbiz.de/10003772417
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Hedging of exchange rate risk and regression dependence
Broll, Udo; Kit, Pong Wong - 1997
essential in analyzing optimal hedging and export decisions. When the spot exchange rate and the futures exchange rate are …
Persistent link: https://www.econbiz.de/10009623408
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Foreign currency exposure and hedging : evidence from foreign acquisitions
Bartram, Söhnke M.; Burns, Natasha; Helwege, Jean - In: The quarterly journal of finance 3 (2013) 2, pp. 1-20
Persistent link: https://www.econbiz.de/10010245456
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The term structure of currency hedge ratios
Korn, Olaf; Koziol, Philipp - In: International journal of theoretical and applied finance 14 (2011) 4, pp. 525-557
Persistent link: https://www.econbiz.de/10009269361
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Does the use of foreign currency derivatives affect firms' market value? : evidence from Colombia
Gómez González, José Eduardo; León, Carlos; … - In: Emerging markets finance & trade : a journal of the … 48 (2012) 4, pp. 50-66
Persistent link: https://www.econbiz.de/10009682731
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Hedging with an edge : parametric currency overlay
Barroso, Pedro; Reichenecker, Jurij-Andrei; Menichetti, … - In: Management science : journal of the Institute for … 68 (2022) 1, pp. 669-689
Persistent link: https://www.econbiz.de/10012821248
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The additional cost of hedging in foreign currency loans
Do, Viet; Vu, Tram - In: Australian journal of management 43 (2018) 2, pp. 305-327
Persistent link: https://www.econbiz.de/10011890732
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Currency exposure and hedging practices among Indian non-financial firms : an empirical study
Bhagawan M., Praveen; Lukose P. J., Jijo - In: Foreign trade review : quarterly journal of Indian … 49 (2014) 3, pp. 247-262
Persistent link: https://www.econbiz.de/10010440135
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Equity-linked executive compensation, hedging and foreign exchange exposure : Australian evidence
Loriot, Blake; Hutson, Elaine; Au Yong, Hue Hwa - In: Australian journal of management 45 (2020) 1, pp. 72-93
Persistent link: https://www.econbiz.de/10012175234