A characterization of hedging portfolios for interest rate contingent claims. (Q1879909)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A characterization of hedging portfolios for interest rate contingent claims. |
scientific article |
Statements
A characterization of hedging portfolios for interest rate contingent claims. (English)
0 references
15 September 2004
0 references
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.
0 references
European interest rate contingent claim
0 references
portfolio of zero-coupon bonds
0 references
maturities
0 references
0 references
0 references
0 references
