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

Titel:: Pricing and Hedging of Interest Rate Derivatives in a Lévy Driven Term Structure Model
Dokumenttyp:: Konferenzbeitrag
Art des Konferenzbeitrags:: Textbeitrag / Aufsatz
Autor(en):: Glau, K.; Vandaele, N.; Vanmaele, M.
Seitenangaben Beitrag:: 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.
Herausgeber:: Vanmaele, Deelstra, De Schepper, Dhaene, Vanduffel and Vyncke editors
Kongress- / Buchtitel:: Handelingen Contactforum Actuarial and Financial Mathematics Conference, 2010
Jahr:: 2010
Reviewed:: ja
Sprache:: en
Erscheinungsform:: WWW
WWW:: http://www.afmathconf.ugent.be/FormerEditions/Proceedings2010.pdf
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