premia is retrieved under the statistical measure using bootstrap techniques on hedging portfolios. This latter is retrieved …

We consider minimal variance hedging in a pure-jump multi-curve interest rate model. In the first part, we derive …-valued constant. In the second part, we investigate minimal variance hedging and provide a closed-form formula for the related minimal … the paper with a consideration of delta hedging …

Hedging a bond position under a parallel shift of the interest rate has been largely considered and analyzed, though … analysis of a portfolio hedging by means of a portfolio including swaps. Particularly, we are able to clarify the suitable swap … sensitivities to make use in hedging and risk management, completing the well known bond duration and convexity in the setting of …

This study deals with the dynamic hedging of single-tranche collateralized debt obligations (STCDOs). As a first step … dynamics of super-senior tranches. Next, we derive the model-based variance-minimizing strategy for the hedging of STCDOs with …-minimizing and the model-free regression-based hedging on the iTraxx Europe data. Results of the in-sample hedging analysis indicate …

the superior instrument regarding hedging systematic market component risk on single-name and portfolio level. Finally, an …