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",

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

year = "2012",

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language = "English",

volume = "3",

pages = "201--209",

journal = "Risk and Decision Analysis",

issn = "1569-7371",

publisher = "SAGE Publications Ltd",

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AU - Privault, Nicolas

AU - Teng, Timothy Robin

PY - 2012

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KW - Clark-Ocone formula

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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SN - 1569-7371

VL - 3

SP - 201

EP - 209

JO - Risk and Decision Analysis

JF - Risk and Decision Analysis

IS - 3

ER -

Risk-neutral hedging of interest rate derivatives

ASJC Scopus Subject Areas

Keywords

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