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Lecture notes from the University of Illinois.
Class notes by Galen Burghart that detail the calculation of hedge ratios using Eurodollar futures.
Brief overview of hedging interest rate swaps by Finpipe.com
Class notes by Galen Burghart that detail the pricing of the TED spread and hedging term T-bills with Eurodollar futures.
Calculation of bond and money market hedge ratios of instruments with the same and different durations.
Building-block approach to pricing interest rate options using Libor volatilities and the forward curve.
Feature articles that detail management of interest rate risk and related topics.
Lecture notes from the University of Illinois, discussing various strategies for interest rate risk management.
Class notes by Galen Burghart on trading with bond and note futures, including how to use them to extend or shorten portfolio duration.
Class notes by Galen Burghart on hedging forward interest rate exposure with Eurodollar futures.
Class notes by Galen Burghart on determination and application of hedge ratios for bond and note futures.
Class notes by Galen Burghart detailing the pricing and hedging of interest rate swaps using Eurodollar futures.
Lecture notes from the University of Illinois on hedging interest rate risk via duration and cash flow matching.
Research note from Bridgewater Associates that addresses the diversification advantages of holding a global portfolio of bonds.
Class notes by Galen Burghart on measuring the spread between Eurodollar futures implied rates and Treasury bill yields.
Hedging strategies and hedge accounting under SFAS 133/IAS 39 for Eurodollar interest rate futures used to hedge profits on forecasted loan transactions.
Report by Deloitte & Touche on FAS 138, which amends FAS 133, a study of accounting for derivatives and hedging.
Class notes by Galen Burghart on hedge ratios for trading bond and note futures of different currencies.
A standard FRA contract form suggested by the BBA.
Guide to using 10 year note agency futures to hedge interest rate swap risk.
Historical study of factors affecting the performance of global and international bonds. By Bridgewater Associates.
Hedging strategies and accounting under SFAS 133/IAS 39 for Eurodollar interest rate options to cap borrowing rates on forecasted loan transactions. Presented in a case study by Bob Jensen of Trinity University.
Definition of the concepts of underhedging and overhedging in cross-currency interest rate swaps.
Class notes by Galen Burghart on trading the bond basis, or the difference between cash and futures prices.
Provider of news, analysis, discussions and links to relevant fixed-income derivatives and risk management information.
Dresdner Bank's corporate group outlines the use of forward-rate agreements, swaps, caps and floors to hedge interest-rate risk.
Definitions of options on money market futures and applications for interest rate risk management.
In-depth study of money market futures pricing and application by the Richmond Federal Reserve Bank.
Provider of news and articles on identifying and managing market risk.
Lecture notes from Galen Burghart on hedging foreign-exchange exposure associated with equity and fixed-income portfolios.
Richmond Federal Reserve Bank publication on definition, pricing and application of interest rate derivatives.
Overview of approaches to bond risk management.
Class notes by Galen Burghart on handling mismatches between the standardized dates of Eurodollar futures and the forward interest rate exposure being hedged.
Pricing and hedging applications of forward and futures contracts.
A standard swap contract suggested by the BBA.
Discussion paper on sources of interest rate risk and management of this risk, by the Basle Committee on Banking Supervision.
Class notes by Galen Burghart on creating synthetic fixed income and equity assets using futures contracts.
Class notes from Galen Burghart on calculating hedge ratios for coupon-bearing notes using Eurodollar futures.
Guide to trading the spread between Treasury and Agency bonds using the CBOT's futures products.
Notes on using money market derivatives to hedge interest-rate exposure.
Class notes by Galen Burghart on measurement of bond and note hedge performance.
Paper by Douglas Smith, Susan Sanchez and Edward Lawrence.
Managing the interest rate, currency and maturity risks associated with sovereign debt portfolios.
A description of how cash managers can use FRAs to smooth cash flows; provided by Allied Irish Bank's Treasury group.
Illustrative class notes by Galen Burghart that follow a term TED spread example.
Lecture notes by Soeren Nielson of the University of Copenhagen that detail cash-flow matching and immunization strategies.
A primer on active bond-management techniques by J. Luther.
Comprehensive research paper by Bridgewater Associates that addresses the firm's quantitative and qualitative approach to the construction of an optimal global bond portfolio.
Class notes by Galen Burghart on pricing and hedging forward rate agreements using Eurodollar futures.
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