Implications for hedging of the choice of driving process for one-factor Markov-functional models

DOI10.1142/S0219024913500301MaRDI QIDQ2853380zbMATH OpenOpenAlexFDO

Authors Duy Pham, Joanne E. Kennedy

Publication date 21 October 2013

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0219024913500301

zbMATH Keywords

correlationgammahedgingvegaBermudan swaptionone-dimensional swap Markov-functional modelparametrization by time and by expiry

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Derivative securities (option pricing, hedging, etc.) (91G20) Statistical methods; risk measures (91G70)

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Cites work

• A comparison of single factor Markov-functional and multi factor market models
• Financial Derivatives in Theory and Practice
• Markov-functional interest rate models

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