Please use this identifier to cite or link to this item: https://doi.org/10.1103/PhysRevE.69.036130
Title: Finite hedging in field theory models of interest rates
Authors: Baaquie, B.E. 
Srikant, M. 
Issue Date: Mar-2004
Citation: Baaquie, B.E., Srikant, M. (2004-03). Finite hedging in field theory models of interest rates. Physical Review E - Statistical, Nonlinear, and Soft Matter Physics 69 (3 2) : 036130-1. ScholarBank@NUS Repository. https://doi.org/10.1103/PhysRevE.69.036130
Abstract: The hedge parameters and efficacy of hedging in a quantum field theory generalization of the Heath, Jarrow and Morton term structure model, which parsimoniously described the evolution of imperfectly correlated forward rates was calculated using path integrals. The effectiveness of hedging over finite periods of time was calculated within the model specification. The limiting case of instantaneous hedging was also obtained. The empirical estimates were used for the parameters of the model to show that a low-dimensional hedge portfolio was quite effective.
Source Title: Physical Review E - Statistical, Nonlinear, and Soft Matter Physics
URI: http://scholarbank.nus.edu.sg/handle/10635/96636
ISSN: 1063651X
DOI: 10.1103/PhysRevE.69.036130
Appears in Collections:Staff Publications

Show full item record
Files in This Item:
There are no files associated with this item.

Page view(s)

44
checked on Oct 5, 2018

Google ScholarTM

Check

Altmetric


Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.