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Karantounias, Anastasios G. - 2024

Persistent link: https://www.econbiz.de/10015159279

Abdelghani, Mohamed N.; Melʹnikov, Aleksandr V. - In: Risks : open access journal 5 (2017) 4, pp. 1-21

on modeling of defaultable markets, pricing and hedging of defaultable claims and results on the probability of default …

Persistent link: https://www.econbiz.de/10011783347

Term structure modeling with overnight rates beyond stochastic continuity

Fontana, Claudio; Grbac, Zorana; Schmidt, Thorsten - In: Mathematical finance : an international journal of … 34 (2024) 1, pp. 151-189

Persistent link: https://www.econbiz.de/10014471210

The Valuation and Hedging of Variable Rate Savings Account

de Jong, Frank; Wielhouwer, Jacco - 2001

Variable rate savings accounts have two main features. The client rate is variable and deposits can be invested and withdrawn at any time. However, customer behaviour is not fully rational and actions are often performed with a delay. This paper focusses on measuring the interest rate risk of...

Persistent link: https://www.econbiz.de/10010324863

Term Structure Models of Commodity Prices: A Review

Lautier, Delphine - Université Paris-Dauphine (Paris IX) - 2005

prices, are presented. The fourth section examines the two main applications of term structure models: hedging and valuation …

Persistent link: https://www.econbiz.de/10011166285

A Term Structure Model and the Pricing of Interest Rate Derivative

Sandmann, K.; Sondermann, D. - University of Bonn, Germany - 1993

The paper developes a general arbitrage free model for the term structure of interest rates. The principal model is formulated in a discrete time structure. It differs substantially from the Ho--Lee-- Model (1986) and does not generate negative spot and forward rates. The results for the...

Persistent link: https://www.econbiz.de/10005032172

Term Structure Models of Commodity Prices: A Review.

Lautier, Delphine - Université Paris-Dauphine - 2005

prices, are presented. The fourth section examines the two main applications of term structure models: hedging and valuation …

Persistent link: https://www.econbiz.de/10008790066

Capturing the risk premium of commodity futures : the role of hedging pressure

Basu, Devraj; Miffre, Joëlle - In: Journal of banking & finance 37 (2013) 7, pp. 2652-2664

Persistent link: https://www.econbiz.de/10009760567

Cross-hedging strategies between CDS spreads and option volatility during crises

Fonseca, José da; Gottschalk, Katrin - In: Journal of international money and finance 49 (2014), pp. 386-400

Persistent link: https://www.econbiz.de/10010464998

Immunization of fixed-income portfolios using an exponential parametric model

Lund, Bruno; Almeida, Caio - In: Brazilian review of econometrics : BRE ; the review of … 34 (2014) 2, pp. 155-201

Persistent link: https://www.econbiz.de/10011538795