Footnote:
In: Australian Journal of Actuarial Practice 2014, 1, 29-44
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 26, 2014 erstellt
Description:
Many pension funds and life insurers seek to hedge their exposure to low interest rates using long-dated interest rate derivatives. This paper extends an approach of Platen and Heath 2006 to price and hedge long-dated interest rate derivatives using a combination of Australian cash, bonds and equities and under a variety of market models. The results show the models under which the lowest cost hedge is achieved