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|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
|ISSN:||1569-7371||DOI:||10.3233/RDA-2011-0061||Rights:||© 2012 - IOS Press and the authors.||Fulltext Permission:||none||Fulltext Availability:||No Fulltext|
|Appears in Collections:||SPMS Journal Articles|
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