Hedging LIBOR Derivatives in a Field Theory Model of Interest Rates

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dc.creatorBaaquie, Belal E.
dc.creatorLiang, Cui
dc.creatorWarachka, Mitch C.
dc.date2005-04-29
dc.date2006-02-21
dc.date.accessioned2026-07-07T12:07:33Z
dc.date.available2026-07-07T12:07:33Z
dc.descriptionWe investigate LIBOR-based derivatives using a parsimonious field theory interest rate model capable of instilling imperfect correlation between different maturities. Delta and Gamma hedge parameters are derived for LIBOR Caps against fluctuations in underlying forward rates. An empirical illustration of our methodology is also conducted to demonstrate the influence of correlation on the hedging of interest rate risk.
dc.description34 pages, 10 figures
dc.identifierhttps://arxiv.org/abs/physics/0504221
dc.identifierhttp://arxiv.org/abs/physics/0504221
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/209009
dc.subjectPhysics and Society
dc.subjectPricing of Securities
dc.titleHedging LIBOR Derivatives in a Field Theory Model of Interest Rates
dc.typetext

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