A Unified Approach to Hedging Interest Rate Risk with Financial Futures*
提出了一个简单的数学模型，统一了用金融期货对冲利率风险的各种方法，在理想条件下给出了完美对冲公式，适用于不同规划期、现金头寸和资产负债组合。
ABSTRACT There is abundant literature on the use of financial futures to reduce interest rate risk. While many applications have been developed and evaluated in the literature, little has been done to provide a simple, mathematical model unifying the disparate types of hedges. The purpose of this paper is to provide such a unifying framework. Under idealized conditions, an equation is developed giving a perfect hedge solution for arbitrary choice of planning horizon, existing or planned cash market position, and asset/liability mix. The paper is pedagogic in nature.