作者：Lioui, A; Poncet, P
作者单位：Bar Ilan University; heSam Universite; Universite Pantheon-Sorbonne; ESSEC Business School
摘要：In an environment where interest rates are stochastic, we examine the case of a pure hedger endowed with a fixed position in a long term bond. In contrast to conventional wisdom according to which the difference between hedging through forward contracts and futures is immaterial, it turns out that the minimum variance hedge ratio using forwards comprises two terms instead of one only when using futures. The magnitude of the difference between the two hedge ratios may be important under some pl...
作者：Mamer, JW; McBride, RD
作者单位：University of California System; University of California Los Angeles; University of Southern California
摘要：We propose and test a new pricing procedure for solving large-scale structured linear programs. The procedure interactively solves a relaxed subproblem to identify potential entering basic columns. The subproblem is chosen to exploit special structure, rendering it easy to solve. The effect of the procedure is the reduction of the number of pivots needed to solve the problem. Our approach is motivated by the column-generation approach of Dantzig-Wolfe decomposition. We test our procedure on tw...
