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Convexity meets replication : hedging of swap derivatives and annuity options
Zheng, Wendong; Kwok, Yue-Kuen - In: The journal of futures markets 31 (2011) 7, pp. 659-678
Persistent link: https://www.econbiz.de/10009009213
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The microstructure of covered interest arbitrage in a market with a dominant market maker
Liu, Hao-chen; Witte, Mark David - In: Journal of international financial markets, … 24 (2013), pp. 25-41
Persistent link: https://www.econbiz.de/10009726481
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The compatibility of one-factor market models in caps and swaptions markets : evidence from their dynamic hedging performance
An, Yunbi; Suo, Wulin - In: The journal of futures markets 28 (2008) 2, pp. 109-130
Persistent link: https://www.econbiz.de/10003647668
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Does the geographic expansion of banks reduce risk?
Götz, Martin; Laeven, Luc; Levine, Ross - In: Journal of financial economics 120 (2016) 2, pp. 346-362
Persistent link: https://www.econbiz.de/10011590089
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Dynamic risk management
Rampini, Adriano A.; Sufi, Amir; Viswanathan, S. - In: Journal of financial economics 111 (2014) 2, pp. 271-296
Persistent link: https://www.econbiz.de/10010255521
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Credit migration and covered interest rate parity
Liao, Gordon Y. - In: Journal of financial economics 138 (2020) 2, pp. 504-525
Persistent link: https://www.econbiz.de/10012653083
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A note on estimating the minimum extended Gini hedge ratio
Lien, Donald; Shaffer, David R. - In: The journal of futures markets 19 (1999) 1, pp. 101-113
Persistent link: https://www.econbiz.de/10001377604
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Hedging foreign exchange risk with currency futures : portfolio effects
Lypny, Gregory J. - In: The journal of futures markets 8 (1988) 6, pp. 703-715
Persistent link: https://www.econbiz.de/10001134527
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Portfolio insurance with stock index futures
Merrick, John J. - In: The journal of futures markets 8 (1988) 4, pp. 441-455
Persistent link: https://www.econbiz.de/10001134550
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The hedging effectiveness of options and futures : a mean-Gini approach
Cheung, C. Sherman - In: The journal of futures markets 10 (1990) 1, pp. 61-73
Persistent link: https://www.econbiz.de/10001128107