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Simulated swaption delta-hedging in the lognormal forward LIBOR model

Dun, Tim; Barton, Geoff; Schlögl, Erik - In: International journal of theoretical and applied finance 4 (2001) 4, pp. 677-709

Persistent link: https://www.econbiz.de/10001600372

Calibration, Simulation and Hedging in a Heston Libor Market Model with Stochastic Basis

Amin, Ahsan - 2010

We follow Mercurio's extension of the LIBOR market model with stochastic Basis spreads and model the joint evolution of forward rates belonging to the discount curve and corresponding spreads with FRA rates. We consider Heston stochastic-volatility dynamics and show how to calculate the swaption...

Persistent link: https://www.econbiz.de/10013136298

Cross Currency Valuation and Hedging in the Multiple Curve Framework

Gnoatto, Alessandro - 2020

provides also a solid foundation for the construction of multi-currency simulation models for the generation of exposure …

Persistent link: https://www.econbiz.de/10012842731

Interest Rate Curve Interpolations and Their Assessment via Hedge Simulations

Fries, Christian P. - 2015

revise well-known criteria for the goodness of interpolation and introduce the hedge error, arising from dynamic delta-hedging … choice since hedging is the essential instrument applied by banks to mitigate interest rate risks. The hedge error …

Persistent link: https://www.econbiz.de/10013018760

Analysis of price risk management strategies in dairy farming using whole-farm simulations

Neyhard, James; Tauer, Loren W.; Gloy, Brent - In: Journal of agricultural and applied economics 45 (2013) 2, pp. 313-327

Persistent link: https://www.econbiz.de/10009757070

Computational finance

Stentoft, Lars - In: Journal of risk and financial management : JRFM 13 (2020) 7/145, pp. 1-4

of numerical methods for pricing, hedging, and risk management of financial instruments. …

Persistent link: https://www.econbiz.de/10012309311

A note on credit spread forwards

Hertrich, Markus - In: Journal of advanced studies in finance : JASF 7 (2016) 1/13, pp. 77-78

Persistent link: https://www.econbiz.de/10011720963

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

Pricing and hedging of inflation-indexed bonds in an affine framework

Eksi, Zehra; Filipović, Damir - 2013

This study deals with the pricing and hedging of inflation-indexed bonds. Under foreign exchange analogy we model the … for the factor process. Then, we perform a novel hedging analysis where our objective is to replicate an indexed bond of a … given maturity by trading a portfolio of nominal bonds. This analysis leads to a hedging criterion based on a set of …

Persistent link: https://www.econbiz.de/10010257509

Interest rate risk estimation : a new duration-based approach

Bajo, Emanuele; Barbi, Massimiliano; Hullier, David - In: Applied economics 45 (2013) 19/21, pp. 2697-2704

Persistent link: https://www.econbiz.de/10010189364