Written by leading market risk academic, Professor Carol Alexander, Pricing, Hedging and
Trading Financial Instruments forms part three of the Market Risk Analysis four volume set …

We investigate hedging effectiveness of four REIT Exchange Traded Funds in hedging
seven real estate securities returns for the United States, Europe, and Asia through R …

The 10-year Treasury rate has long been considered the primary determinant of 30-year
mortgage interest rates. The contemporaneous 10-year LIBOR swap rate is shown to better …

Traditionally, the MBS and Treasury markets have been intertwined so closely that hedging
of mortgage portfolios could have been done solely by Treasury derivatives. With the credit …

运用状态空间模型并基于卡尔曼滤波方法对中国铜期货市场时变最优套期保值比进行估计.
对OLS, VAR, VECM, CC—GARCH 及SSPACE 等模型的套期保值效率进行了比较 …

In this dissertation we study the effectiveness of a hedging strategy with futures. We consider
the case of a risk-averse investor that maintains a long position on a weighted portfolio of …

采用随机系数马尔科夫体制转换(RCMRS) 模型对中国铜期货市场套期保值比进行估计.
RCMRS 模型跳出GARCH 类模型基于新息描述的研究框架, 视最优套期保值比为随机系数 …