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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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Occurrences:
- mediaTUM GesamtbestandEinrichtungenSchools TUM School of Computation, Information and TechnologyDepartmentsMathematicsLehrstuhl für Finanzmathematik (Prof. Zagst)Journal PapersGlau, K.Contributed
- mediaTUM GesamtbestandEinrichtungenSchools TUM School of Computation, Information and TechnologyDepartmentsMathematicsLehrstuhl für Finanzmathematik (Prof. Zagst)Journal PapersGlau, K.