Minimal variance hedging in multicurve interest rate modeling
DOI10.1007/S10986-019-09443-YzbMATH Open1425.91415OpenAlexW3126014029MaRDI QIDQ2010117FDOQ2010117
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
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Malliavin calculusOrnstein-Uhlenbeck processjump processClark-Ocone formulaself-financing portfolioLIBOR ratearithmetic multifactor modelbasis spreaddelta hedgeminimal variance hedgingmulticurve modelOIS ratereplicable claimwealth process
Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07) Statistical methods; risk measures (91G70) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales with continuous parameter (60G44) Interest rates, asset pricing, etc. (stochastic models) (91G30)
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