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Title:

Pricing and Hedging of Interest Rate Derivatives in a Lévy Driven Term Structure Model

Document type:
Konferenzbeitrag
Contribution type:
Textbeitrag / Aufsatz
Author(s):
Glau, K.; Vandaele, N.; Vanmaele, M.
Pages contribution:
75 - 80
Abstract:
We study the pricing of forward payer swaptions and derive hedging strategies for these on the basis of investments in zero-coupon bonds. As framework we consider the Lévy driven Heath-Jarrow- Morton model for the term structure and we determine the delta-hedge and the mean-variance hedge which is a quadratic hedge. The pricing formula and the hedging strategies are derived as closed-form expressions in terms of Fourier transforms.
Editor:
Vanmaele, Deelstra, De Schepper, Dhaene, Vanduffel and Vyncke editors
Book / Congress title:
Handelingen Contactforum Actuarial and Financial Mathematics Conference, 2010
Year:
2010
Reviewed:
ja
Language:
en
Publication format:
WWW
WWW:
http://www.afmathconf.ugent.be/FormerEditions/Proceedings2010.pdf
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