Delta, gamma and bucket hedging of interest rate derivatives

DOI10.1080/13504869400000002zbMATH Open0831.90012OpenAlexW2003763835MaRDI QIDQ4845147FDOQ4845147

Authors: Stuart M. Turnbull, Robert A. Jarrow 

Publication date: 18 October 1995

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/13504869400000002

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zbMATH Keywords

delta and gamma hedging an interest rate portfoliomultifactor form

Mathematics Subject Classification ID

Cites Work

• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• An equilibrium characterization of the term structure

Cited In (13)

• Delta-gamma hedging of mortality and interest rate risk
• Valuation and hedging of contingent claims in the HJM model with deterministic volatilities
• Option Pricing in a One-Dimensional Affine Term Structure Model via Spectral Representations
• Interest rate futures and bank hedging
• Efficient versus inefficient hedging strategies in the presence of financial and longevity (value at) risk
• Interest rate futures: estimation of volatility parameters in an arbitrage-free framework
• Valuation of guaranteed annuity conversion options.
• Assessing the solvency of insurance portfolios via a continuous-time cohort model
• Title not available (Why is that?)
• Interest Rate Risk Management
• Basis risk in static versus dynamic longevity-risk hedging
• THE HEATH–JARROW–MORTON DURATION AND CONVEXITY: A GENERALIZED APPROACH
• Duration, factor sensitivities, and interest rate Greeks

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