Risk-neutral hedging of interest rate derivatives
Document Type
Article
Publication Date
2011
Abstract
In this paper we review the hedging of interest rate derivatives priced under a risk-neutral measure, and we compute self-financing hedging strategies for various derivatives using the Clark-Ocone formula.
Recommended Citation
Privault, Nicolas and Teng, Timothy Robin Y., (2011). Risk-neutral hedging of interest rate derivatives. Archīum.ATENEO.
https://archium.ateneo.edu/mathematics-faculty-pubs/33
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