Work

Cobertura de una cartera de bonos con forwards en tiempo continuo

Year: 2003

Type: article

Abstract: The aim of this paper is to analyse the theoretical hedge of a bond portfolio using a portfolio of forward contracts on bonds. We obtain an analytical expression of the hedge ratios for a portfolio of theoretical continuous-coupon bonds by offsetting changes in bond and forward prices when different sections of the forward curve undergo infinitesimal variations. We then extend this formulation to address the real case of discrete-coupon bonds, obtaining simple formulae to calculate the number of forward contracts needed to hedge the bond portfolio.

Source: LA Referencia (Red Federada de Repositorios Institucionales de Publicaciones Científicas)

DOI: 10.1344/101.000000128

Authors: Bàrbara Llacay Pintat, Gilbert Peffer

Language: Spanish

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W45840180

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