• Title of article

    Hedging LIBOR derivatives in a field theory model of interest rates

  • Author/Authors

    Belal E. Baaquie، نويسنده , , Cui Liang، نويسنده , , Mitch C. Warachka، نويسنده ,

  • Issue Information
    روزنامه با شماره پیاپی سال 2007
  • Pages
    19
  • From page
    730
  • To page
    748
  • 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.
  • Journal title
    Physica A Statistical Mechanics and its Applications
  • Serial Year
    2007
  • Journal title
    Physica A Statistical Mechanics and its Applications
  • Record number

    871310