Delta, gamma and bucket hedging of interest rate derivatives (Q4845147)

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scientific article; zbMATH DE number 792639
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Delta, gamma and bucket hedging of interest rate derivatives
scientific article; zbMATH DE number 792639

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    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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