Hedging quantos, differential swaps and ratios

DOI10.1080/13504869400000001zbMath0832.90005OpenAlexW2061636153MaRDI QIDQ4845146

Farshid Jamshidian

Publication date: 4 September 1995

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: http://www.tandf.co.uk/journals/routledge/1350486X.html

zbMATH Keywords

hedge portfolioscross-market hedgingdifferential swapsinternational marketsinternational trading strategies

Mathematics Subject Classification ID

Related Items (3)

Default risk and derivative products ⋮ Default risk and derivative products ⋮ A systematic approach to pricing and hedging international derivatives with interest rate risk: analysis of international derivatives under stochastic interest rates

Cites Work

• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Martingales and stochastic integrals in the theory of continuous trading
• FACTOR MODELS OF DOMESTIC AND FOREIGN INTEREST RATES WITH STOCHASTIC VOLATILITIES
• A YIELD‐FACTOR MODEL OF INTEREST RATES
• Option and Futures Evaluation With Deterministic Volatilities¹

This page was built for publication: Hedging quantos, differential swaps and ratios