Please use this identifier to cite or link to this item: https://doi.org/10.1103/PhysRevE.69.036130
DC FieldValue
dc.titleFinite hedging in field theory models of interest rates
dc.contributor.authorBaaquie, B.E.
dc.contributor.authorSrikant, M.
dc.date.accessioned2014-10-16T09:25:45Z
dc.date.available2014-10-16T09:25:45Z
dc.date.issued2004-03
dc.identifier.citationBaaquie, 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
dc.identifier.issn1063651X
dc.identifier.urihttp://scholarbank.nus.edu.sg/handle/10635/96636
dc.description.abstractThe 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.
dc.description.urihttp://libproxy1.nus.edu.sg/login?url=http://dx.doi.org/10.1103/PhysRevE.69.036130
dc.sourceScopus
dc.typeArticle
dc.contributor.departmentPHYSICS
dc.description.doi10.1103/PhysRevE.69.036130
dc.description.sourcetitlePhysical Review E - Statistical, Nonlinear, and Soft Matter Physics
dc.description.volume69
dc.description.issue3 2
dc.description.page036130-1
dc.description.codenPLEEE
dc.identifier.isiut000220729400041
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