Minimal variance hedging in multicurve interest rate modeling (Q2010117)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Minimal variance hedging in multicurve interest rate modeling |
scientific article; zbMATH DE number 7139399
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Minimal variance hedging in multicurve interest rate modeling |
scientific article; zbMATH DE number 7139399 |
Statements
Minimal variance hedging in multicurve interest rate modeling (English)
0 references
3 December 2019
0 references
multicurve model
0 references
OIS rate
0 references
LIBOR rate
0 references
basis spread
0 references
minimal variance hedging
0 references
delta hedge
0 references
wealth process
0 references
self-financing portfolio
0 references
replicable claim
0 references
arithmetic multifactor model
0 references
Ornstein-Uhlenbeck process
0 references
jump process
0 references
Malliavin calculus
0 references
Clark-Ocone formula
0 references
0 references
0 references
