ost empirical work and empirically oriented illustrations dealing with M the hedging effectiveness of futures contracts utilize either one of two approaches, namely: Risk minimization or payoff maximization. In the first approach, hedging is perceived as a combination of a futures position with an e
A Unified Approach to Hedging Interest Rate Risk with Financial Futures
โ Scribed by Jimmy E. Hilliard
- Book ID
- 109167148
- Publisher
- Decision Sciences Institute, Georgia State University
- Year
- 1988
- Tongue
- English
- Weight
- 880 KB
- Volume
- 19
- Category
- Article
- ISSN
- 0011-7315
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
e development of futures markets in financial instruments has provided fi-T. nancial intermediaries, among others, with a vehicle for hedging against unanticipated changes in interest rates.' Protection against these fluctuations can benefit lending institutions which have exposed themselves to inte
The author characterizes the classes of utility functions that are consistent with different notions of mean preserving spreads introduced in the literature. This gives rise to a unified approach and extension of some definitions of increasing risk, including the concepts of Rothschild and Stiglitz