Delta, gamma and bucket hedging of interest rate derivatives (Q4845147)
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scientific article; zbMATH DE number 792639
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| default for all languages | No label defined |
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| English | Delta, gamma and bucket hedging of interest rate derivatives |
scientific article; zbMATH DE number 792639 |
Statements
Delta, gamma and bucket hedging of interest rate derivatives (English)
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18 October 1995
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delta and gamma hedging an interest rate portfolio
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multifactor form
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0.7738170027732849
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0.7532739043235779
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0.7521056532859802
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