场论利率模型中LIBOR衍生品的套期保值
Hedging LIBOR Derivatives in a Field Theory Model of Interest Rates
摘要：
我们研究了基于LIBOR的衍生品使用简约的场论利率模型，能够灌输不同期限之间的不完全相关性。Delta和Gamma对冲参数是针对LIBOR上限针对基础远期利率波动而得出的。最后，以实证的方式说明相关性对利率风险对冲的影响。
英文摘要：
We investigate LIBOR-based derivatives using a parsimonious field theory interest rate model capable of instilling imperfect correlation between different maturities. Delta and Gamma hedge parameters are derived for LIBOR Caps against fluctuations in underlying forward rates. An empirical illustration of our methodology is also conducted to demonstrate the influence of correlation on the hedging of interest rate risk.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
