[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.
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