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Hedging Interest Rate Risk by Optimization in Banach Spaces

✍ Scribed by A. Balbás; R. Romera


Book ID
106432748
Publisher
Springer
Year
2007
Tongue
English
Weight
254 KB
Volume
132
Category
Article
ISSN
0022-3239

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Hedging interest rate risk in banking
✍ Dr. David R. Goldfarb 📂 Article 📅 1987 🏛 John Wiley and Sons 🌐 English ⚖ 806 KB

T mediary that hedges its interest rate risk in the futures market. This interest rate risk has two components: asymmetric risk in the form of prepayment risk on fixed rate loans or through a cap feature on variable rate loans; and, symmetric risk in the form of interest rate level-risk and interest