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Please use this identifier to cite or link to this item: https://doi.org/10.1016/j.physa.2006.08.020
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dc.titleHedging LIBOR derivatives in a field theory model of interest rates
dc.contributor.authorBaaquie, B.E.
dc.contributor.authorLiang, C.
dc.contributor.authorWarachka, M.C.
dc.date.accessioned2014-10-16T09:27:21Z
dc.date.available2014-10-16T09:27:21Z
dc.date.issued2007-02-01
dc.identifier.citationBaaquie, 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
dc.identifier.issn03784371
dc.identifier.urihttp://scholarbank.nus.edu.sg/handle/10635/96772
dc.description.abstractWe 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.
dc.description.urihttp://libproxy1.nus.edu.sg/login?url=http://dx.doi.org/10.1016/j.physa.2006.08.020
dc.sourceScopus
dc.subjectHedging
dc.subjectLibor-based derivatives
dc.subjectQuantum finance
dc.typeArticle
dc.contributor.departmentPHYSICS
dc.description.doi10.1016/j.physa.2006.08.020
dc.description.sourcetitlePhysica A: Statistical Mechanics and its Applications
dc.description.volume374
dc.description.issue2
dc.description.page730-748
dc.description.codenPHYAD
dc.identifier.isiut000243621000023
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