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https://hdl.handle.net/10356/98034| Title: | Risk-neutral hedging of interest rate derivatives | Authors: | Privault, Nicolas Teng, Timothy Robin. |
Keywords: | DRNTU::Science::Mathematics | Issue Date: | 2012 | Source: | Privault, N., & Teng, T. R. (2012). Risk-neutral hedging of interest rate derivatives. Risk and Decision Analysis, 3(3), 201-209. | Series/Report no.: | Risk and decision analysis | Abstract: | 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. | URI: | https://hdl.handle.net/10356/98034 http://hdl.handle.net/10220/12187 |
ISSN: | 1569-7371 | DOI: | 10.3233/RDA-2011-0061 | Schools: | School of Physical and Mathematical Sciences | Rights: | © 2012 - IOS Press and the authors. | Fulltext Permission: | none | Fulltext Availability: | No Fulltext |
| Appears in Collections: | SPMS Journal Articles |
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