Currency risk hedging: Futures vs. forward

Article Abstract:

No significant differences between currency forward and currency futures contracts can be discerned when both are used as hedging strategies in curbing currency risks within an uncertain interest rates environment. Both hedging strategies were evaluated for short term effectiveness, as in volatility minimization, as well as for long term effectiveness, such as in risk-return trade-off. The effectiveness of the model used for evaluation is based on the model's use continuous rebalancer which evaluates the mix of portfolio.

Foreign Currency Management, Models, Evaluation, Investments, Foreign exchange, Foreign exchange market, Foreign exchange futures

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General equilibrium pricing of CPI derivatives

Article Abstract:

Consumer Price Index (CPI) reflects the inflation rate affecting a particular economy. A study on the pricing of futures and options contracts that are linked to CPI is presented. A general equilibrium formula for continuous time monetary economy is also presented which is contrasted with traditional arbitrage arguments that are used to derive CPI.

Israel, France, Commodity & service prices, Prices and rates, Stock options, Financial futures, Consumer price indexes, Company pricing policy

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General equilibrium real and nominal interest rates

Article Abstract:

The derivation of general equilibrium short-term real and nominal interest rates in a monetary economy affected by technological and monetary shocks and internal price levels is discussed.

Greece, Interest Rates, Production functions (Economics)

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