A characterization of hedging portfolios for interest rate contingent claims
成果类型：
Article
署名作者：
Carmona, R; Tehranchi, M
署名单位：
Princeton University; University of Texas System; University of Texas Austin
刊物名称：
ANNALS OF APPLIED PROBABILITY
ISSN/ISSBN：
1050-5164
DOI：
10.1214/105051604000000297
发表日期：
2004
页码：
1267-1294
关键词：
摘要：
We 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.