Please use this identifier to cite or link to this item:
|Title:||Hedging LIBOR derivatives in a field theory model of interest rates|
|Authors:||Baaquie, B.E. |
|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|
|Appears in Collections:||Staff Publications|
Show full item record
Files in This Item:
There are no files associated with this item.
checked on Dec 6, 2018
WEB OF SCIENCETM
checked on Nov 21, 2018
checked on Dec 7, 2018
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.