Please use this identifier to cite or link to this item: https://hdl.handle.net/10356/98034
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dc.contributor.authorPrivault, Nicolasen
dc.contributor.authorTeng, Timothy Robin.en
dc.date.accessioned2013-07-25T03:57:54Zen
dc.date.accessioned2019-12-06T19:49:53Z-
dc.date.available2013-07-25T03:57:54Zen
dc.date.available2019-12-06T19:49:53Z-
dc.date.copyright2012en
dc.date.issued2012en
dc.identifier.citationPrivault, N., & Teng, T. R. (2012). Risk-neutral hedging of interest rate derivatives. Risk and Decision Analysis, 3(3), 201-209.en
dc.identifier.issn1569-7371en
dc.identifier.urihttps://hdl.handle.net/10356/98034-
dc.description.abstractIn 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.en
dc.language.isoenen
dc.relation.ispartofseriesRisk and decision analysisen
dc.rights© 2012 - IOS Press and the authors.en
dc.subjectDRNTU::Science::Mathematicsen
dc.titleRisk-neutral hedging of interest rate derivativesen
dc.typeJournal Articleen
dc.contributor.schoolSchool of Physical and Mathematical Sciencesen
dc.identifier.doi10.3233/RDA-2011-0061en
item.fulltextNo Fulltext-
item.grantfulltextnone-
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