Baaquie, Belal E.; Liang, Cui; Warachka, Mitch C. - In: Physica A: Statistical Mechanics and its Applications 374 (2007) 2, pp. 730-748
We investigate LIBOR-based derivatives using a parsimonious field theory interest rate model capable of instilling imperfect correlation between different maturities. Delta and Gamma hedge parameters are derived for LIBOR caps against fluctuations in underlying forward rates. An empirical...
