[Blueboard] Lecture on Financial Mathematics

evbagtas at mathsci.math.admu.edu.ph evbagtas at mathsci.math.admu.edu.ph
Wed Sep 26 09:54:30 PHT 2012


The Ateneo de Manila University
Mathematics Department


cordially invites you to a talk on


Risk Neutral Hedging of Interest Rate Derivatives

by


Timothy Robin Y. Teng, PhD
Mathematics Department, SOSE


on Monday, October 1, 2012
4:30 - 5:30 pm at SECA 303.


Abstract

The lecture focuses on the hedging of interest rate derivatives under  
the risk-neutral measure. The pricing of these derivatives/claims will  
initially be reviewed, which makes use of the conditional expectation  
via standard risk-neutral valuation formula. Based on the predictable  
representation of the claim's discounted payoff , a general hedging  
strategy will be derived; it will then be applied to European type  
options by the Delta hedging method. Lastly, hedging strategies will  
be computed for specific interest rate derivatives, such as bond  
options and swaptions, through the use of the Clark-Ocone formula. A  
geometric brownian motion dynamics for the bond price curve P_t will  
be assumed, and the resulting strategies will come in the form of a  
portfolio of zero coupon bonds that will follow the price of the  
derivative at any given time prior to the claim's maturity.


----------------------------------------------------------------
This message was sent using IMP, the Internet Messaging Program.



More information about the Blueboard mailing list