In an environment where interest rates are stochastic, we examine the case of a "pure" hedger endowed with a fixed position in a long term bond. In contrast to conventional wisdom according to which ...

Corporations with revenues and expenses in foreign currencies have often grappled with the dilemma of whether to hedge each exposure, and if so, how much of it. This is further compounded by the fact ...

Corporate defined benefit (DB) plan sponsors face two primary risks: equity risk and interest rate risk. While many sponsors have chosen to extend their LDI duration to improve their hedge ratio, the ...

The volatility of currency has increased in recent years as a combination of quantitative easing and currency wars fuel swings in the foreign-exchange market. Many money managers disregard the ...

LONDON (Reuters) - The tumble in the price of oil over the past few weeks may have been exacerbated by hedge funds deciding that it was just too expensive, particularly in relation to gold. While much ...