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Managing interest rate volatility risk : key rate vega

Ho, Thomas S. Y. - In: The journal of fixed income 17 (2007) 3, pp. 6-17

Persistent link: https://www.econbiz.de/10003687329

Effectiveness of hedging interest rate risks and stock market risks with financial futures

Fortin, Michel; Khoury, Nabil T. - In: The journal of futures markets 8 (1988) 3, pp. 319-334

Persistent link: https://www.econbiz.de/10003552404

Portfolio Fair Value Hedge Accounting von Zinsänderungsrisiken nach IAS 39

Kümpel, Thomas; Pollmann, René - In: IRZ : Zeitschrift für internationale Rechnungslegung 5 (2010) 5, pp. 231-237

Persistent link: https://www.econbiz.de/10003961946

Credit line use and availability in the financial crisis : the importance of hedging

Berróspide, José M.; Meisenzahl, Ralf R.; Sullivan, … - 2012

Persistent link: https://www.econbiz.de/10009570159

Effectively hedging the interest rate risk of wide floating-rate coupon spreads

Schröder, Thomas; Dunbar, Kwamie - In: Journal of risk management in financial institutions 4 (2010/11) 2, pp. 162-179

Persistent link: https://www.econbiz.de/10009154316

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