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Risk-neutral hedging of interest rate derivatives - MaRDI portal

Risk-neutral hedging of interest rate derivatives

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Publication:3119607

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DOI10.3233/RDA-2011-0061zbMath1409.91251OpenAlexW1699104278MaRDI QIDQ3119607

Timothy Robin Y. Teng, Nicolas Privault

Publication date: 12 March 2019

Published in: Risk and Decision Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3233/rda-2011-0061

zbMATH Keywords

hedging Clark-Ocone formula swaptions infinite-dimensional analysis bond markets bond options caplets

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

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