Dynamic hedging - comparing alternative hedging approaches for an interest rate derivatives portfolio
In this study, we compare a widely used delta-hedging strategy with a more complex delta-gamma-hedging approach when applied to an interest rate derivatives portfolio composed of interest rate swaps, caps, floors and swaptions. In order to replicate the portfolio, we use market traded futures contra...
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| Format: | masterThesis |
| Language: | eng |
| Published: |
2021
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| Online Access: | http://hdl.handle.net/10362/120366 |
| Country: | Portugal |
| Oai: | oai:run.unl.pt:10362/120366 |