Title of article :
Hedging LIBOR derivatives in a field theory model of interest rates
Author/Authors :
Belal E. Baaquie، نويسنده , , Cui Liang، نويسنده , , Mitch C. Warachka، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2007
Pages :
19
From page :
730
To page :
748
Abstract :
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.
Journal title :
Physica A Statistical Mechanics and its Applications
Serial Year :
2007
Journal title :
Physica A Statistical Mechanics and its Applications
Record number :
871310
Link To Document :
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