Delta, gamma and bucket hedging of interest rate derivatives

DOI10.1080/13504869400000002zbMath0831.90012OpenAlexW2003763835MaRDI QIDQ4845147

Stuart M. Turnbull, Robert A. Jarrow

Publication date: 18 October 1995

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

Full work available at URL: https://doi.org/10.1080/13504869400000002

zbMATH Keywords

delta and gamma hedging an interest rate portfoliomultifactor form

Mathematics Subject Classification ID

Related Items (10)

Interest rate futures: estimation of volatility parameters in an arbitrage-free framework ⋮ Basis risk in static versus dynamic longevity-risk hedging ⋮ Option Pricing in a One-Dimensional Affine Term Structure Model via Spectral Representations ⋮ Delta-gamma hedging of mortality and interest rate risk ⋮ Valuation of guaranteed annuity conversion options. ⋮ Valuation and hedging of contingent claims in the HJM model with deterministic volatilities ⋮ Interest Rate Risk Management ⋮ THE HEATH–JARROW–MORTON DURATION AND CONVEXITY: A GENERALIZED APPROACH ⋮ Efficient versus inefficient hedging strategies in the presence of financial and longevity (value at) risk ⋮ Assessing the solvency of insurance portfolios via a continuous-time cohort model

Cites Work

• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• An equilibrium characterization of the term structure

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