Minimal variance hedging in multicurve interest rate modeling (Q2010117)
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scientific article; zbMATH DE number 7139399
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Minimal variance hedging in multicurve interest rate modeling |
scientific article; zbMATH DE number 7139399 |
Statements
Minimal variance hedging in multicurve interest rate modeling (English)
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3 December 2019
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multicurve model
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OIS rate
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LIBOR rate
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basis spread
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minimal variance hedging
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delta hedge
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wealth process
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self-financing portfolio
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replicable claim
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arithmetic multifactor model
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Ornstein-Uhlenbeck process
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jump process
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Malliavin calculus
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Clark-Ocone formula
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