A characterization of hedging portfolios for interest rate contingent claims.
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Publication:1879909
DOI10.1214/105051604000000297zbMath1048.60049arXivmath/0407119OpenAlexW3101154308MaRDI QIDQ1879909
Michael R. Tehranchi, René A. Carmona
Publication date: 15 September 2004
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/math/0407119
Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic calculus of variations and the Malliavin calculus (60H07) Portfolio theory (91G10)
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