Risk-neutral hedging of interest rate derivatives

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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書目詳細資料
Main Authors:	Privault, Nicolas, Teng, Timothy Robin Y
格式:	text
出版:	Archīum Ateneo 2011
主題:	Bond markets hedging infinite-dimensional analysis Clark-Ocone formula swaptions bond options caplets Mathematics
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!
機構:	Ateneo De Manila University

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