A Characterization of Hedging Portfolios for Interest Rate Contingent Claims

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dc.creatorCarmona, Rene
dc.creatorTehranchi, Michael
dc.date2004-07-08
dc.date.accessioned2026-07-07T12:11:09Z
dc.date.available2026-07-07T12:11:09Z
dc.descriptionWe consider the problem of hedging a European interest rate contingent claim with a portfolio of zero-coupon bonds and show that an HJM type Markovian model driven by an infinite number of sources of randomness does not have some of the shortcomings found in the classical finite-factor models. Indeed, under natural conditions on the model, we find that there exists a unique hedging strategy, and that this strategy has the desirable property that at all times it consists of bonds with maturities that are less than or equal to the longest maturity of the bonds underlying the claim.
dc.identifierhttps://arxiv.org/abs/math/0407119
dc.identifierhttp://arxiv.org/abs/math/0407119
dc.identifierAnnals of Probability 2004, Vol. 14, No. 3, 1267-1294
dc.identifierdoi:10.1214/105051604000000297
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/210139
dc.subjectProbability
dc.subjectPortfolio Management
dc.subject60H35 (Primary) 60H07, 91B28 (Secondary)
dc.titleA Characterization of Hedging Portfolios for Interest Rate Contingent Claims
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