Autore: Longo, Giovanni
Titolo: Hedging strategies for interest rate derivatives in one factor models.
Periodico: Università degli Studi del Piemonte Orientale 'A. Avogadro' : Facoltà di Economia - Dipartimento di Scienze Economiche e Metodi Quantitativi "SEMEQ" - Quaderni
Anno: 2001 - Volume: 01 - Fascicolo: 10 - Pagina iniziale: 1 - Pagina finale: 9

In this paper, under some sufficient conditions, we will explicit the hedging strategy for interest rate derivatives which pay a continuous cash flow untill maturity besides another cash flow at maturity. We'll give a trick that can be used to transform a derivative which doesn't rispect such conditions to another one which does respect them and that is a good approximation of the original one. So, under such conditions, it's easy to obtain the price function and the relative hedging strategy by numerical procedures. The models used for the term structure are one factor models.





Esportazione dati in Refworks (solo per utenti abilitati)