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

Malliavin calculusOrnstein-Uhlenbeck processjump processClark-Ocone formulaself-financing portfolioLIBOR ratearithmetic multifactor modelbasis spreaddelta hedgeminimal variance hedgingmulticurve modelOIS ratereplicable claimwealth process

Mathematics Subject Classification ID

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)

Recommendations

• Mean-variance hedging for interest rate models with stochastic volatility.
• scientific article; zbMATH DE number 1642335
• A characterization of hedging portfolios for interest rate contingent claims.
• Explicit formulas for the minimal variance hedging strategy in a martingale case
• Swap rate variance swaps

Cites work

• scientific article; zbMATH DE number 1402217 (Why is no real title available?)
• scientific article; zbMATH DE number 5227619 (Why is no real title available?)
• A Lévy HJM multiple-curve model with application to CVA computation
• A Non‐Gaussian Ornstein–Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing
• A general HJM framework for multiple yield curve modelling
• A guided tour through quadratic hedging approaches
• A multiple-curve HJM model of interbank risk
• Affine LIBOR models with multiple curves: theory, examples and calibration
• An arithmetic pure-jump multi-curve interest rate model
• Financial Modelling with Jump Processes
• Interest rate modeling: post-crisis challenges and approaches
• MALLIAVIN CALCULUS AND ANTICIPATIVE ITÔ FORMULAE FOR LÉVY PROCESSES
• MINIMAL VARIANCE HEDGING FOR INSIDER TRADING
• Malliavin calculus and optimal control of stochastic Volterra equations
• 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
• Risk minimization in financial markets modeled by Itô-Lévy processes
• Stochastic modeling of electricity and related markets.

Cited in

(2)

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

This page was built for publication: Minimal variance hedging in multicurve interest rate modeling

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2010117)