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

This article examines two 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.

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