INTEREST RATE HEDGING: AN EMPIRICAL TEST OF ALTERNATIVE STRATEGIES

Gerald D. Gay · Robert W. Kolb · Raymond C. Chiang

27 citations0/0 files storedThe Journal of Financial Research

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Risk Management in Financial Firms Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

Abstract

Abstract For hedging, financial and agricultural futures contracts differ in their usefulness. This paper presents a new hedging approach uniquely appropriate to financial futures that better fits the typical hedging situation confronted by those wishing to hedge interest rate risk. The superiority of this new hedging strategy is demonstrated empirically by comparing the strategy with several other methods currently in use.

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1979The Hedging Performance of the New Futures Markets 1981The relation between forward prices and futures prices 1976The Theory of Hedging and Speculation in Commodity Futures 1960The Theory of Hedging and Speculation in Commodity Futures 1981Forward and Futures Prices: Evidence from the Foreign Exchange Markets 1980The Hedging Performance of the New Futures Markets: Comment 1981Improving Hedging Performance Using Interest Rate Futures 1982DURATION, IMMUNIZATION, AND HEDGING WITH INTEREST RATE FUTURES

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1992Options and Futures: A Tutorial 1985A measure of hedging's performance

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