Delta, gamma and bucket hedging of interest rate derivatives

DOI10.1080/13504869400000002MaRDI QIDQ4845147zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

delta and gamma hedging an interest rate portfoliomultifactor form

Mathematics Subject Classification ID

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Cites work

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

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(13)

• Delta-gamma hedging of mortality and interest rate risk
• Valuation and hedging of contingent claims in the HJM model with deterministic volatilities
• 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
• scientific article; zbMATH DE number 1865383 (Why is no real title available?)
• Option pricing in a one-dimensional affine term structure model via spectral representations
• Interest Rate Risk Management
• Basis risk in static versus dynamic longevity-risk hedging
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• THE HEATH–JARROW–MORTON DURATION AND CONVEXITY: A GENERALIZED APPROACH

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