HOW FIRMS MANAGE RISK: THE OPTIMAL MIX OF LINEAR AND NON-LINEAR DERIVATIVES

This paper provides guidance on how corporations should choose the optimal mix of "linear" and "non-linear" derivatives. Linear derivatives are products such as futures, forwards, and swaps, whose payoffs vary in linear fashion with changes in the un-derlying asset price or reference rate. Non-linear derivatives are contracts with option-like payoffs, including caps, floors, and swaptions. 2002 Morgan Stanley.

MoreLess

Year of publication:	2002
Authors:	Gay, Gerald D. ; Nam, Jouahn ; Turac, Marian
Published in:	Journal of Applied Corporate Finance. - Morgan Stanley, ISSN 1078-1196. - Vol. 14.2002, 4, p. 82-93
Publisher:	Morgan Stanley

More details

Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005315189