Dynamic hedging: comparing alternative hedging approaches for an interest rate derivatives portfolio
| dc.contributor.advisor | Silva, Marcelo Leite De Moura E | |
| dc.contributor.author | Cachola, Marta Filipa De Almeida | |
| dc.coverage.spatial | São Paulo, SP | pt_BR |
| dc.creator | Cachola, Marta Filipa De Almeida | |
| dc.date.accessioned | 2021-09-13T03:23:30Z | |
| dc.date.accessioned | 2021-05-23T18:38:05Z | |
| dc.date.available | 2021-09-13T03:23:30Z | |
| dc.date.available | 2013 | |
| dc.date.available | 2021-05-23T18:38:05Z | |
| dc.date.issued | 2013 | |
| dc.date.submitted | 2013 | |
| dc.description.other | 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 and swaptions. In order to replicate the portfolio, we use market traded futures contracts on German bunds with two different maturities, 10- and 30-years, and other non-marketable available derivatives, such as interest rate caps and floors. Even though a delta-gamma-hedging should always be more accurate than a simple delta-hedging, we reveal a practical situation where that does not appear to happen when using futures. We suggest that the explanation for this result may be based on the instruments’ payoff and underlying nature. | pt_BR |
| dc.format.extent | 54 p. | pt_BR |
| dc.identifier.uri | https://repositorio.insper.edu.br/handle/11224/2827 | |
| dc.language.iso | Inglês | pt_BR |
| dc.rights.uri | TODOS OS DOCUMENTOS DESSA COLEÇÃO PODEM SER ACESSADOS, MANTENDO-SE OS DIREITOS DOS AUTORES PELA CITAÇÃO DA ORIGEM. | pt_BR |
| dc.subject | Delta-hedging, delta-gamma-hedging, interest rate derivatives | pt_BR |
| dc.title | Dynamic hedging: comparing alternative hedging approaches for an interest rate derivatives portfolio | pt_BR |
| dc.type | master thesis | |
| dspace.entity.type | Publication | |
| local.type | Dissertação | pt_BR |