کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
978291 933270 2007 19 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Hedging LIBOR derivatives in a field theory model of interest rates
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات فیزیک ریاضی
پیش نمایش صفحه اول مقاله
Hedging LIBOR derivatives in a field theory model of interest rates
چکیده انگلیسی

We investigate LIBOR-based derivatives using a parsimonious field theory interest rate model capable of instilling imperfect correlation between different maturities. Delta and Gamma hedge parameters are derived for LIBOR caps against fluctuations in underlying forward rates. An empirical illustration of our methodology is conducted to demonstrate the influence of correlation on the hedging of interest rate risk.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 374, Issue 2, 1 February 2007, Pages 730–748
نویسندگان
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