Hedging a bond position under a parallel shift of the interest rate has been largely considered and analyzed, though the underlying assumption is less realistic. Indeed both practical and theoretical reasons support the consideration to grant attention to this particular situation. Interest rate...

The two-additive-factor Gaussian model G2 (which encompasses the famous twofactor Hull-White model) is a stochastic model which describes the instantaneous short rate dynamic. It has functional qualities required in various practical purposes as in Asset Liability Management and in Trading of...