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PDF Availablehttps://doi.org/10.3233/rda-2011-0061
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Cite Journal: Risk and Decision Analysis |  Publication Date: Jan 1, 2012 |
 Citations: 4 |
Affiliation: Division of Mathematical Sciences, Ateneo de Manila University
In this paper we review the hedging of interest rate derivatives priced under a risk-neutral measure, and we compute self-financing hedging strategies for various derivatives using the Clark-Ocone formula.
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