Hedging in bond markets by the Clark-Ocone formula
| Autor: | Privault, Nicolas, Teng, Timothy Robin |
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| Rok vydání: | 2013 |
| Předmět: | |
| Druh dokumentu: | Working Paper |
| Popis: | Hedging strategies in bond markets are computed by martingale representation and the Clark-Ocone formula under the choice of a suitable of numeraire, in a model driven by the dynamics of bond prices. Applications are given to the hedging of swaptions and other interest rate derivatives, and our approach is compared to delta hedging when the underlying swap rate is modeled by a diffusion process. |
| Databáze: | arXiv |
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