Risk-neutral hedging of interest rate derivatives

Nicolas Privault; Timothy Robin Y Teng

Risk-neutral hedging of interest rate derivatives

Ateneo de Manila University

Research output: Contribution to journal › Article › peer-review

Original language	American English
Journal	Mathematics Faculty Publications
State	Published - Jan 1 2011

Keywords

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

Disciplines

Mathematics

Access to Document

https://www.ntu.edu.sg/home/nprivault/papers/bond.pdf

Cite this

@article{d8d5147b3b894dc8bba8f26776b2e067,

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

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

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

note = "Nicolas Privault, Timothy Robin Teng. (2012/07). Risk-Neutral Hedging of Interest Rate Derivatives. Risk and Decision Analysis, 3, 201-209.",

year = "2011",

month = jan,

day = "1",

language = "American English",

journal = "Mathematics Faculty Publications",

}

TY - JOUR

T1 - Risk-neutral hedging of interest rate derivatives

AU - Privault, Nicolas

AU - Teng, Timothy Robin Y

N1 - Nicolas Privault, Timothy Robin Teng. (2012/07). Risk-Neutral Hedging of Interest Rate Derivatives. Risk and Decision Analysis, 3, 201-209.

PY - 2011/1/1

Y1 - 2011/1/1

KW - Bond markets

KW - hedging

KW - infinite-dimensional analysis

KW - Clark-Ocone formula

KW - swaptions

KW - bond options

KW - caplets

UR - https://archium.ateneo.edu/mathematics-faculty-pubs/33

UR - https://www.ntu.edu.sg/home/nprivault/papers/bond.pdf

M3 - Article

JO - Mathematics Faculty Publications

JF - Mathematics Faculty Publications

ER -

Risk-neutral hedging of interest rate derivatives

Keywords

Disciplines

Access to Document

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Cite this