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An immunized hedge procedure for bond futures
Chance, Don M. - In: Selected writings on futures markets : explorations in …, (pp. 119-131). 1985
Persistent link: https://www.econbiz.de/10001305679
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An immunized-hedge procedure for bond futures
Chance, Don M. - In: The journal of futures markets 2 (1982) 3, pp. 231-242
Persistent link: https://www.econbiz.de/10001080718
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A hedging deficiency in eurodollar futures
Chance, Don M. - In: The journal of futures markets 26 (2006) 2, pp. 189-207
Persistent link: https://www.econbiz.de/10003303877
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Hedging interest rate risk with futures portfolios under full-rank assumptions
Hilliard, Jimmy E. - In: Journal of financial and quantitative analysis : JFQA 24 (1989) 2, pp. 217-240
Persistent link: https://www.econbiz.de/10001067211
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An empirical analysis of multi-period hedges : applications to commercial and investment assets
Hilliard, Jimmy E.; Huang, Pinghsun - In: The journal of futures markets 25 (2005) 6, pp. 587-606
Persistent link: https://www.econbiz.de/10002846401
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Minimum variance cross hedging under mean-reverting spreads, stochastic convenience yields, and jumps : application to the airline industry
Bertus, Mark; Godbey, Jonathan; Hilliard, Jimmy E. - In: The journal of futures markets 29 (2009) 8, pp. 736-756
Persistent link: https://www.econbiz.de/10003897846
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A jump-diffusion model for pricing and hedging with margined options : an application to Brent crude oil contracts
Hilliard, Jimmy E.; Hilliard, Jitka - In: Journal of banking & finance 98 (2019), pp. 137-155
Persistent link: https://www.econbiz.de/10012162247
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Using the short-lived arbitrage model to compute minimum variance hedge ratios : application to indices, stocks and commodities
Hilliard, Jimmy E.; Hilliard, Jitka; Ni, Yinan - In: Quantitative finance 21 (2021) 1, pp. 125-142
Persistent link: https://www.econbiz.de/10012424638
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An adaptive model for security prices driven by latent values : parameter estimation and option pricing effects
Hilliard, Jimmy E.; Hilliard, Jitka; Ni, Yinan - In: Quantitative finance 22 (2022) 7, pp. 1231-1246
Persistent link: https://www.econbiz.de/10013367896
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A comment on "A hedging deficiency in eurodollar futures"
Kawaller, Ira G. - In: The journal of futures markets 27 (2007) 2, pp. 187-193
Persistent link: https://www.econbiz.de/10010190355