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Hedging quantos, differential swaps and ratios

Author

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  • Farshid Jamshidian

Abstract

From first principles, using general no-arbitrage arguments across international markets, differential swaps and a variety of quanto options and futures are evaluated and replicated in closed form by explicit construction of their hedge portfolios, under the assumption of deterministic instantaneous covariances.

Suggested Citation

  • Farshid Jamshidian, 1994. "Hedging quantos, differential swaps and ratios," Applied Mathematical Finance, Taylor & Francis Journals, vol. 1(1), pages 1-20.
    • Handle: RePEc:taf:apmtfi:v:1:y:1994:i:1:p:1-20
    DOI: 10.1080/13504869400000001
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    Citations

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    Cited by:

    1. Farshid Jamshidian, 1997. "LIBOR and swap market models and measures (*)," Finance and Stochastics, Springer, vol. 1(4), pages 293-330.
    2. Jui‐Jane Chang & Son‐Nan Chen & Ting‐Pin Wu, 2013. "Currency‐Protected Swaps and Swaptions with Nonzero Spreads in a Multicurrency LMM," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 33(9), pages 827-867, September.
    3. Elisa Luciano, 1998. "Swap pricing and hedging of general DCFs," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 21(1), pages 73-95, June.
    4. Duffie, Darrell, 2003. "Intertemporal asset pricing theory," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 11, pages 639-742, Elsevier.

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