Listagem FGV EPGE - Seminários de Pesquisa Econômica por autor "Buhler, Wolfgang"

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An empirical comparison of forward-rate and spot-rate models for valuing interest-rate options

Buhler, Wolfgang
1999-08-12

Our main goal is to investigate the question of which interest-rate options valuation models are better suited to support the management of interest-rate risk. We use the German market to test seven spot-rate and forward-rate ...
Pricing and hedging of oil futures : a unifying approach

Buhler, Wolfgang
2001-09-04

We develop and empirically test a continuous time equilibrium model for the pricing of oil futures. The model provides a link between no-arbitrage models and expectation oriented models. It highlights the role of inventories ...