Work

Delta-Hedging of Interest Rate Risk in Longterm Contracts - An Application of the Cairns-Model

Year: 2011

Type: preprint

Source: SSRN Electronic Journal

DOI: 10.2139/ssrn.1833222

Authors: Daniel Schwake, Sven Balder

Institutions: Deloitte (United States), Deloitte (United Kingdom), University of Duisburg-Essen

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W2129495209

Cites: 9

Cited by: 1

Related to: 10