Risk-neutral hedging of interest rate derivatives

Nicolas Privault; Timothy Robin Teng

doi:10.3233/RDA-2011-0061

Risk-neutral hedging of interest rate derivatives

Nicolas Privault, Timothy Robin Teng

Department of Mathematics

School of Physical and Mathematical Sciences

Research output: Contribution to journal › Review article › peer-review

Original language	English
Pages (from-to)	201-209
Number of pages	9
Journal	Risk and Decision Analysis
Volume	3
Issue number	3
DOIs	https://doi.org/10.3233/RDA-2011-0061
State	Published - 2012

ASJC Scopus Subject Areas

Statistics and Probability
Finance
Economics and Econometrics
Statistics, Probability and Uncertainty

Keywords

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

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10.3233/RDA-2011-0061

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title = "Risk-neutral hedging of interest rate derivatives",

keywords = "Bond markets, Clark-Ocone formula, bond options, caplets, hedging, infinite-dimensional analysis, swaptions",

author = "Nicolas Privault and Teng, {Timothy Robin}",

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language = "English",

volume = "3",

pages = "201--209",

journal = "Risk and Decision Analysis",

issn = "1569-7371",

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AU - Privault, Nicolas

AU - Teng, Timothy Robin

PY - 2012

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KW - bond options

KW - caplets

KW - hedging

KW - infinite-dimensional analysis

KW - swaptions

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DO - 10.3233/RDA-2011-0061

M3 - Review article

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VL - 3

SP - 201

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JO - Risk and Decision Analysis

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IS - 3

ER -

Risk-neutral hedging of interest rate derivatives

ASJC Scopus Subject Areas

Keywords

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