In this paper we empirically compare different term structure models when it comes to the pricing and hedging of caps … and swaptions.We analyze the influence of the number of factors on the pricing and hedging results, and investigate which … best pricing and hedging results. We use data on interest rates, and cap and swaption prices from 1995 to 1999.We find that …

existence and uniqueness of this equation. Simulations are used to compare the hedging strategies in our model to standard Black …

We use Malliavin calculus and the Clark-Ocone formula to derive the hedging strategy of an arithmetic Asian Call option … motion, which allows us to express hedging strategy and price of the Asian option as an analytic, that is closed form …

which the risk management and hedging needs of investors may be effectively met through the derivative instruments. However …

corporate bond returns to the entire yield curve, thereby providing a solution to the puzzle. In addition, hedging effectiveness … improvement in hedging effectiveness …

We develop a new approach to pricing and hedging contingent claims in incomplete markets. Mimicking as closely as … possible in an incomplete markets framework the no--arbitrage arguments that have been developed in complete markets leads us … to defining the concept of pseudo--arbitrage. Building on this concept we are able to extend the no--arbitrage idea to a …

currencies with negative carry. However, not hedging the foreign currency exposure can lead to significant drawdowns, especially … currency hedging over static hedging. Using a parsimonious model for hedge ratio based on multiple features of merit and an … explicit check for maximum allowed under-hedging, we show that a cost aware, dynamic hedging strategy can reduce the hedging …

-volatility investing. In our backtest that extended back to 1979, we found that hedging currency risk would have led to a higher Sharpe … ratio by decreasing risk while maintaining return at a similar level. In the absence of hedging, a minimum …