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Presentations at an Academic or Professional conference (1993)

Hedging Short-term Interest Rate Risk with Futures : A More Accurate Approach

PONCET Patrice , AFTALION Florin

This article examines 2 types of short-term interest rate risk-hedging with futures contracts, a static one and a dynamic one, then proceeds to test empirically the models on the 3 month-Pibor and Eurodollar rates and their associated futures.

PONCET, P. and AFTALION, F. (1993). Hedging Short-term Interest Rate Risk with Futures : A More Accurate Approach.