Risk-neutral hedging of interest rate derivatives
In this paper we review the hedging of interest rate derivatives priced under a risk-neutral measure, and we compute self-financing hedging strategies for various derivatives using the Clark-Ocone formula.
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| Main Authors: | , |
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| Format: | text |
| Published: |
Archīum Ateneo
2011
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| Subjects: | |
| Online Access: | https://archium.ateneo.edu/mathematics-faculty-pubs/33 https://www.ntu.edu.sg/home/nprivault/papers/bond.pdf |
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| Institution: | Ateneo De Manila University |
| Summary: | In this paper we review the hedging of interest rate derivatives priced under a risk-neutral measure, and we compute self-financing hedging strategies for various derivatives using the Clark-Ocone formula. |
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