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Short Rate Models : Hull-White or Black-Karasinski? Implementation Note and Model Comparison for ALM

Khan, Aisha; Guan, Zhenke; Poon, Ser-Huang - 2009

particular, we compare the two models for pricing and hedging Bermudan swaptions because of its resemblance to prepayment option … the hedging performance show that the Black-Karasinski model is more effective in hedging the interest rate risk of the at …

Persistent link: https://www.econbiz.de/10014213744

Short rate models : Hull-White or Black-Karasinski? ; implementation note and model comparison for ALM

Khan, Aisha (contributor); Guan, Eric (contributor); … - 2008

Persistent link: https://www.econbiz.de/10003772417

Hedging with an edge : parametric currency overlay

Barroso, Pedro; Reichenecker, Jurij-Andrei; Menichetti, … - In: Management science : journal of the Institute for … 68 (2022) 1, pp. 669-689

Persistent link: https://www.econbiz.de/10012821248

The term structure of currency hedge ratios

Korn, Olaf; Koziol, Philipp - In: International journal of theoretical and applied finance 14 (2011) 4, pp. 525-557

Persistent link: https://www.econbiz.de/10009269361

Foreign currency exposure and hedging : evidence from foreign acquisitions

Bartram, Söhnke M.; Burns, Natasha; Helwege, Jean - In: The quarterly journal of finance 3 (2013) 2, pp. 1-20

Persistent link: https://www.econbiz.de/10010245456

Hedging of exchange rate risk and regression dependence

Broll, Udo; Kit, Pong Wong - 1997

essential in analyzing optimal hedging and export decisions. When the spot exchange rate and the futures exchange rate are …

Persistent link: https://www.econbiz.de/10009623408

Does the use of foreign currency derivatives affect firms' market value? : evidence from Colombia

Gómez González, José Eduardo; León, Carlos; … - In: Emerging markets finance & trade : a journal of the … 48 (2012) 4, pp. 50-66

Persistent link: https://www.econbiz.de/10009682731

Currency exposure and hedging practices among Indian non-financial firms : an empirical study

Bhagawan M., Praveen; Lukose P. J., Jijo - In: Foreign trade review : quarterly journal of Indian … 49 (2014) 3, pp. 247-262

Persistent link: https://www.econbiz.de/10010440135

Does centralisation of FX derivative usage impact firm value?

Jankensgård, Håkan - In: European financial management : the journal of the … 21 (2015) 2, pp. 309-332

Persistent link: https://www.econbiz.de/10010516671

The additional cost of hedging in foreign currency loans

Do, Viet; Vu, Tram - In: Australian journal of management 43 (2018) 2, pp. 305-327

Persistent link: https://www.econbiz.de/10011890732