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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Main Authors: | Privault, Nicolas, Teng, Timothy Robin. |
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Other Authors: | School of Physical and Mathematical Sciences |
Format: | Article |
Language: | English |
Published: |
2013
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Subjects: | |
Online Access: | https://hdl.handle.net/10356/98034 http://hdl.handle.net/10220/12187 |
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Institution: | Nanyang Technological University |
Language: | English |
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