Currency risk hedging: Futures vs. forward
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- Howard, Charles T. & D'Antonio, Louis J., 1984. "A Risk-Return Measure of Hedging Effectiveness," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 19(01), pages 101-112, March.
- Lina El-Jahel & Hans Lindberg & William Perraudin, 1996. "Yield Curves with Jump Short Rates," Archive Working Papers 023, Birkbeck, Department of Economics, Mathematics & Statistics.
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- Bernard Dumas & L. Peter Jennergren & Bertil Naslund, 1993. "Realignment Risk and Currency Option Pricing in Target Zones," NBER Working Papers 4458, National Bureau of Economic Research, Inc.
- A. F. Herbst & P. E. Swanson & S. C. Caples, 1992. "A redetermination of hedging strategies using foreign currency futures contracts and forward markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 12(1), pages 93-104, 02.
- Gurdip S. Bakshi & Zhiwu Chen, 1996.
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- Gurdip S. Bakshi & Zhiwu Chen, 1996. "Equilibrium Valuation of Foreign Exchange Claims," Yale School of Management Working Papers ysm51, Yale School of Management.
- Gurdip S. Bakshi & Zhiwu Chen, . "Equilibrium Valuation of Foreign Exchange Claims," Research in Financial Economics 9510, Ohio State University.
- Cornell, Bradford & Reinganum, Marc R, 1981. "Forward and Futures Prices: Evidence from the Foreign Exchange Markets," Journal of Finance, American Finance Association, vol. 36(5), pages 1035-45, December.
- Amin, Kaushik I. & Jarrow, Robert A., 1991. "Pricing foreign currency options under stochastic interest rates," Journal of International Money and Finance, Elsevier, vol. 10(3), pages 310-329, September.
- Bardhan, Indrajit, 1995. "Exchange rate shocks, currency options and the Siegel paradox," Journal of International Money and Finance, Elsevier, vol. 14(3), pages 441-458, June.
- Duffie, Darrell & Stanton, Richard, 1992. "Pricing continuously resettled contingent claims," Journal of Economic Dynamics and Control, Elsevier, vol. 16(3-4), pages 561-573.
- Benninga, Simon & Protopapadakis, Aris, 1994. "Forward and Futures Prices with Markovian Interest-Rate Processes," The Journal of Business, University of Chicago Press, vol. 67(3), pages 401-21, July.
- Amin, Kaushik I. & Morton, Andrew J., 1994. "Implied volatility functions in arbitrage-free term structure models," Journal of Financial Economics, Elsevier, vol. 35(2), pages 141-180, April.
- Heath, David & Jarrow, Robert & Morton, Andrew, 1992. "Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation," Econometrica, Econometric Society, vol. 60(1), pages 77-105, January.
- Howard, Charles T. & D'Antonio, Louis J., 1987. "A Risk-Return Measure of Hedging Effectiveness: A Reply," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 22(03), pages 377-381, September.
- Glen, Jack & Jorion, Philippe, 1993. " Currency Hedging for International Portfolios," Journal of Finance, American Finance Association, vol. 48(5), pages 1865-86, December.
- Cox, John C. & Ingersoll, Jonathan Jr. & Ross, Stephen A., 1981. "The relation between forward prices and futures prices," Journal of Financial Economics, Elsevier, vol. 9(4), pages 321-346, December.
- Kroner, Kenneth F. & Sultan, Jahangir, 1993. "Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 28(04), pages 535-551, December.
- Dezhbakhsh, Hashem, 1994. "Foreign Exchange Forward and Futures Prices: Are They Equal?," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 29(01), pages 75-87, March.
- Brealey, R. A. & Kaplanis, E. C., 1995. "Discrete exchange rate hedging strategies," Journal of Banking & Finance, Elsevier, vol. 19(5), pages 765-784, August.
- Meulbroek, Lisa, 1992. " A Comparison of Forward and Futures Prices of an Interest Rate-Sensitive Financial Asset," Journal of Finance, American Finance Association, vol. 47(1), pages 381-96, March.
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