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.
Saved in:
| Main Authors: | , |
|---|---|
| 格式: | text |
| 出版: |
Archīum Ateneo
2011
|
| 主題: | |
| 在線閱讀: | https://archium.ateneo.edu/mathematics-faculty-pubs/33 https://www.ntu.edu.sg/home/nprivault/papers/bond.pdf |
| 標簽: |
添加標簽
沒有標簽, 成為第一個標記此記錄!
|
| 總結: | 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. |
|---|