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|Title:||Finite hedging in field theory models of interest rates|
|Authors:||Baaquie, B.E. |
|Source:||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|
|Appears in Collections:||Staff Publications|
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