We apply the Malliavin calculus to the stochastic string framework and obtain a Clark-Ocone-like formula. This result allows us to rewrite the hedging portfolio explicitly in terms of the Malliavin derivative of the discounted payoff. We illustrate this new result with two applications. Firstly,...

We present a new general setting for the classical immunization problem under which we recover and generalize many of the results in the literature related to immunization of bond portfolios. We also propose a new duration measure adapted to our framework that allows us to obtain immunized...