Lecture 2022-2 (15): Comp. Fin. 2 / Applied Mathematical Finance: Interest Rate Curves (2/2)
Channel: finmath
Date: 2022-12-12

Lecture 2022-2 (15): Computational Finance 2 / Applied Mathematical Finance: Interest Rate Curves (2/2)

Dependency of the Hedge Portfolioon the Interpolation Method 

- Swap Market Instruments
- SensitivitiesImplicit Calculation of Sensitivities
- Numerical Experiment: Hedge Portfolio under a Model with Linear- or Spline-Interpolation