Please use this identifier to cite or link to this item: https://doi.org/10.1016/j.physa.2006.08.020
Title: Hedging LIBOR derivatives in a field theory model of interest rates
Authors: Baaquie, B.E. 
Liang, C.
Warachka, M.C.
Keywords: Hedging
Libor-based derivatives
Quantum finance
Issue Date: 1-Feb-2007
Citation: Baaquie, B.E., Liang, C., Warachka, M.C. (2007-02-01). Hedging LIBOR derivatives in a field theory model of interest rates. Physica A: Statistical Mechanics and its Applications 374 (2) : 730-748. ScholarBank@NUS Repository. https://doi.org/10.1016/j.physa.2006.08.020
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. © 2006 Elsevier B.V. All rights reserved.
Source Title: Physica A: Statistical Mechanics and its Applications
URI: http://scholarbank.nus.edu.sg/handle/10635/96772
ISSN: 03784371
DOI: 10.1016/j.physa.2006.08.020
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