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
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