Risk-neutral hedging of interest rate derivatives

• المؤلفون الرئيسيون: Privault, Nicolas, Teng, Timothy Robin.
• مؤلفون آخرون: School of Physical and Mathematical Sciences
• التنسيق: مقال
• اللغة: English
• منشور في: 2013
• الموضوعات: DRNTU::Science::Mathematics
• الوصول للمادة أونلاين: https://hdl.handle.net/10356/98034; http://hdl.handle.net/10220/12187

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.