Minimal variance hedging in multicurve interest rate modeling
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Publication:2010117
DOI10.1007/s10986-019-09443-yzbMath1425.91415OpenAlexW3126014029MaRDI QIDQ2010117
Publication date: 3 December 2019
Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10986-019-09443-y
Malliavin calculusOrnstein-Uhlenbeck processClark-Ocone formulajump processself-financing portfolioLIBOR ratearithmetic multifactor modelbasis spreaddelta hedgeminimal variance hedgingmulticurve modelOIS ratereplicable claimwealth process
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Cites Work
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