It is well-known that Gaussian hedging strategies are robust in the sense that they always lead to a cost process of … hedging instruments from a given set of traded assets, in particular of zero coupon bonds, is studied. Misspecified hedging …

This paper provides a theoretical and numerical analysis of robust hedging strategies in diffusion?type models … including stochastic volatility models. A robust hedging strategy avoids any losses as long as the realised volatility stays …

We revisit the problem of pricing and hedging plain vanilla single-currency interest rate derivatives using multiple …

The effect of model and parameter misspecification on the effectiveness of Gaussian hedging strategies for derivative … financial instruments is analyzed, showing that Gaussian hedges in the `natural'' hedging instruments are particularly robust …. This is true for all models that imply Black/Scholes--type formulas for option prices and hedging strategies. In this paper …

In this paper we empirically compare different term structure models when it comes to the pricing and hedging of caps … and swaptions.We analyze the influence of the number of factors on the pricing and hedging results, and investigate which … best pricing and hedging results. We use data on interest rates, and cap and swaption prices from 1995 to 1999.We find that …

We revisit the problem of pricing and hedging plain vanilla single-currency interest rate derivatives using multiple …

original model are completely removed from the drMC simulation. Moreover, under the drMC framework, hedging parameters, or …