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Keywords:Hedging (Finance) 

Journal Article
Statement to Congress, December 16, 1998, (LTCM and the oversight of OTC derivatives transactions)

Federal Reserve Bulletin , Issue Feb , Pages 106-108

Interest rate options dealers' hedging in the US dollar fixed income market

The potential for the dynamic hedging of written options to lead to positive feedback in asset price dynamics has received repeated attention in the literature on financial derivatives. Using data on OTC interest rate options from a recent survey of global derivatives markets, this paper addresses the question whether that potential for positive feedback is likely to be realized. With the possible exception of the medium term segment of the term structure, transaction volume in available hedging instruments is sufficiently large to absorb the demands resulting from the dynamic hedging of US ...
Research Paper , Paper 9719

Working Paper
Jump starting GARCH: pricing and hedging options with jumps in returns and volatilities

This paper considers the pricing of options when there are jumps in the pricing kernel and correlated jumps in asset returns and volatilities. Our model nests Duan?s GARCH option models, where conditional returns are constrained to being normal, as well as mixed jump processes as used in Merton. The diffusion limits of our model have been shown to include jump diffusion models, stochastic volatility models and models with both jumps and diffusive elements in both returns and volatilities. Empirical analysis on the S&P 500 index reveals that the incorporation of jumps in returns and ...
Working Papers (Old Series) , Paper 0619

Journal Article
Hedging interest rate risk with financial futures: some basic principles

Review , Volume 66 , Issue Oct , Pages 15-25

Working Paper
Hedging with mispriced futures

Working Papers , Paper 87-11

Working Paper
The hedging performance of ECU futures contracts

Working Papers , Paper 87-15

Working Paper
A strategic approach to hedging and contracting

This paper provides a new rationale for hedging that is based partly on noncompetitive behavior in product markets. The authors identify a set of conditions that imply that a firm may want to hedge. Empirically, these conditions are consistent with what is observed in the marketplace. The conditions are: 1) firms have some market power in their product market; 2) firms have limited liability; and 3) firms can contract to sell their output at a specified price before all factors that can affect their profitability are known. For some parameter specifications, however, the model predicts that ...
Working Papers (Old Series) , Paper 0119

Journal Article
Dealers' hedging of interest rate options in the U.S. dollar fixed-income market

Despite investors' willingness to hold a variety of financial assets and risks, a significant share of interest rate options exposures remains in the hands of dealers. This concentration of risk makes the interest rate options market an ideal place to explore the effects of dealers' dynamic hedging on underlying markets. Using data from a global survey of derivatives dealers and other sources, this article estimates the potential impact of dynamic hedging by interest rate options dealers on the fixed-income market. The author finds that for short-term maturities, turnover volume in the most ...
Economic Policy Review , Volume 4 , Issue Jun , Pages 35-58

Expected repo specialness costs and the Treasury auction cycle

Repo rates for the most recently issued or "on-the-run" securities often diverge from general repo rates. The purpose of this study is to convey that relatively sizable divergences in repo rates for on-the-run issues are normal repeating events for the Treasury market, rather than evidence of abnormal circumstances. The costs associated with these repo market premia are small for short holding periods and are sometimes offset by gains from declining cash market premia for longer holding periods. Moreover, repo specialness costs seem small when considered against the alternative of not ...
Research Paper , Paper 9504

Conference Paper
Using interest-rate options to hedge interest rate-dependent securities

Proceedings , Paper 553


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Abken, Peter A. 4 items

Keane, Frank M. 4 items

Sarkar, Asani 4 items

Kambhu, John 3 items

Mosser, Patricia C. 3 items

Nandi, Saikat 3 items

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