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: | , |
|---|---|
| Format: | text |
| Published: |
Archīum Ateneo
2011
|
| Subjects: | |
| Online Access: | https://archium.ateneo.edu/mathematics-faculty-pubs/33 https://www.ntu.edu.sg/home/nprivault/papers/bond.pdf |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Institution: | Ateneo De Manila University |