with the term structure of variance swaps. The model incorporates additional characteristics that jumps in the return … process and in the variance process are more recognizable in short terms, the term structure of variance swaps is versatilely …

market model prices OTC cap exactly and prices OTC swaptions with errors well below two basis points. Tests for the hedging … performance show that the deterministic LIBOR market model is more effective in hedging in- and at-the money OTC caps and …

generalized static replication approach for hedging the in-arrears clean index principal swaps and annuity options …

) to be beneficial and examines the incidence and effectiveness of swaps in the Canadian university sector. The paper … swap. Of the 31 Canadian universities using swaps, only five pass the analytical condition to be judged as an effective … financing instruments for hedging purposes …

for pricing and hedging of forward starting volatility swaps …In this paper we give a model-free approximation for the price of forward starting volatility swaps. Moreover, we show …

This paper analyzes the effectiveness of hedging a defaultable bond, that may not be at par, with a credit default swap … (CDS) by quantifying the variance of the hedging errors and determining the optimal hedge ratio. The static hedging … framework uses bond recovery and time to default, which are correlated, to calculate the variance of the hedging errors and the …

basics of hedging interest rate risks with futures, swaps and options. While the assets that are the focus are fixed rate …

This study examines the potential risk reducing benefits of credit default swaps (CDS) against risk in U.S. stock …