Risk-neutral hedging of interest rate derivatives
In this paper we review the hedging of interest rate derivatives priced under the risk-neutral measure, and we compute self-financing hedging strategies for various derivatives using the Clark–Ocone formula.
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sg-ntu-dr.10356-980342020-03-07T12:34:43Z Risk-neutral hedging of interest rate derivatives Privault, Nicolas Teng, Timothy Robin. School of Physical and Mathematical Sciences DRNTU::Science::Mathematics In this paper we review the hedging of interest rate derivatives priced under the risk-neutral measure, and we compute self-financing hedging strategies for various derivatives using the Clark–Ocone formula. 2013-07-25T03:57:54Z 2019-12-06T19:49:53Z 2013-07-25T03:57:54Z 2019-12-06T19:49:53Z 2012 2012 Journal Article Privault, N., & Teng, T. R. (2012). Risk-neutral hedging of interest rate derivatives. Risk and Decision Analysis, 3(3), 201-209. 1569-7371 https://hdl.handle.net/10356/98034 http://hdl.handle.net/10220/12187 10.3233/RDA-2011-0061 en Risk and decision analysis © 2012 - IOS Press and the authors. |
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English |
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DRNTU::Science::Mathematics |
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DRNTU::Science::Mathematics Privault, Nicolas Teng, Timothy Robin. Risk-neutral hedging of interest rate derivatives |
| description |
In this paper we review the hedging of interest rate derivatives priced under the risk-neutral measure, and we compute self-financing hedging strategies for various derivatives using the Clark–Ocone formula. |
| author2 |
School of Physical and Mathematical Sciences |
| author_facet |
School of Physical and Mathematical Sciences Privault, Nicolas Teng, Timothy Robin. |
| format |
Article |
| author |
Privault, Nicolas Teng, Timothy Robin. |
| 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 |
| publishDate |
2013 |
| url |
https://hdl.handle.net/10356/98034 http://hdl.handle.net/10220/12187 |
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1681044084823687168 |