IMPLICATIONS FOR HEDGING OF THE CHOICE OF DRIVING PROCESS FOR ONE-FACTOR MARKOV-FUNCTIONAL MODELS

DOI10.1142/S0219024913500301zbMath1282.91335OpenAlexW3125321213MaRDI QIDQ2853380

Duy Khanh Pham, Joanne Kennedy

Publication date: 21 October 2013

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024913500301

zbMATH Keywords

correlationgammahedgingvegaBermudan swaptionone-dimensional swap Markov-functional modelparametrization by time and by expiry

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• A comparison of single factor Markov-functional and multi factor market models
• Financial Derivatives in Theory and Practice
• Markov-functional interest rate models

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