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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Archīum Ateneo
2011
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ph-ateneo-arc.mathematics-faculty-pubs-10322020-02-28T03:57:17Z Risk-neutral hedging of interest rate derivatives Privault, Nicolas Teng, Timothy Robin Y 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. 2011-01-01T08:00:00Z text https://archium.ateneo.edu/mathematics-faculty-pubs/33 https://www.ntu.edu.sg/home/nprivault/papers/bond.pdf Mathematics Faculty Publications Archīum Ateneo Bond markets hedging infinite-dimensional analysis Clark-Ocone formula swaptions bond options caplets Mathematics |
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Ateneo De Manila University |
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Ateneo De Manila University Library |
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Asia |
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Philippines Philippines |
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Ateneo De Manila University Library |
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| topic |
Bond markets hedging infinite-dimensional analysis Clark-Ocone formula swaptions bond options caplets Mathematics |
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Bond markets hedging infinite-dimensional analysis Clark-Ocone formula swaptions bond options caplets Mathematics Privault, Nicolas Teng, Timothy Robin Y Risk-neutral hedging of interest rate derivatives |
| description |
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. |
| format |
text |
| author |
Privault, Nicolas Teng, Timothy Robin Y |
| author_facet |
Privault, Nicolas Teng, Timothy Robin Y |
| author_sort |
Privault, Nicolas |
| title |
Risk-neutral hedging of interest rate derivatives |
| title_short |
Risk-neutral hedging of interest rate derivatives |
| title_full |
Risk-neutral hedging of interest rate derivatives |
| title_fullStr |
Risk-neutral hedging of interest rate derivatives |
| title_full_unstemmed |
Risk-neutral hedging of interest rate derivatives |
| title_sort |
risk-neutral hedging of interest rate derivatives |
| publisher |
Archīum Ateneo |
| publishDate |
2011 |
| url |
https://archium.ateneo.edu/mathematics-faculty-pubs/33 https://www.ntu.edu.sg/home/nprivault/papers/bond.pdf |
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1722366471076577280 |