Minimal variance hedging in multicurve interest rate modeling

DOI10.1007/S10986-019-09443-YMaRDI QIDQ2010117zbMATH OpenOpenAlexFDO

Authors Markus Hess

Publication date 3 December 2019

Published in Lithuanian Mathematical Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10986-019-09443-y

zbMATH Keywords

arithmetic multifactor modelbasis spreadClark-Ocone formuladelta hedgejump processLIBOR rateMalliavin calculusminimal variance hedgingmulticurve modelOIS rateOrnstein-Uhlenbeck processreplicable claimself-financing portfoliowealth process

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Processes with independent increments; Lévy processes (60G51) Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Derivative securities (option pricing, hedging, etc.) (91G20) Interest rates, asset pricing, etc. (stochastic models) (91G30) Statistical methods; risk measures (91G70)

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Cites work

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• A guided tour through quadratic hedging approaches
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• Affine LIBOR models with multiple curves: theory, examples and calibration
• An arithmetic pure-jump multi-curve interest rate model
• Financial Modelling with Jump Processes
• scientific article; zbMATH DE number 1402217 (Why is no real title available?)
• scientific article; zbMATH DE number 5227619 (Why is no real title available?)
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• Malliavin calculus and optimal control of stochastic Volterra equations
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• Modern LIBOR market models: using different curves for projecting rates and for discounting
• Nonlinear economic dynamics and financial modelling. Essays in honour of Carl Chiarella
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• Stochastic modeling of electricity and related markets.

Cited in

(2)

• Minimal realizations in interest rate models
• An arithmetic pure-jump multi-curve interest rate model

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