The Minimum Variance Hedge Ratio under Stochastic Interest Rates

Under stochastic interest rates, hedging a bond portfolio with futures is simpler than hedging it with forwards. The latter strategy is more involved due to the presence of an additional risk brought about by the forward position itself.

LIOUI, A. and PONCET, P. (2000). The Minimum Variance Hedge Ratio under Stochastic Interest Rates. Management Science, pp. 658-668.