The Minimum Variance Hedge Ratio Under Stochastic Interest Rates
研究随机利率环境下，长期债券持有者使用远期和期货对冲时的最小方差对冲比率差异，发现远期对冲比率包含两项而期货仅一项，差异在合理假设下可能显著，源于远期头寸的额外利率风险。
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 plausible assumptions. This result is due to the presence of additional interest rate risk that bears on the profit-and-loss statement associated with the forward position. This sheds some additional light on the respective features of forward and futures contracts written on interest rate-sensitive securities.