A characterization of hedging portfolios for interest rate contingent claims. (Q1879909)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A characterization of hedging portfolios for interest rate contingent claims. |
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A characterization of hedging portfolios for interest rate contingent claims. (English)
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15 September 2004
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Consider the problem of hedging a European interest rate contingent claim with a portfolio of zero-coupon bonds. The paper proves that there exists a unique hedging strategy with the (desirable) property that at all times it consists of bonds with maturities that are less than or equal to the longest maturity of the bonds underlying the claim.
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European interest rate contingent claim
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portfolio of zero-coupon bonds
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maturities
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