Hedging long-dated interest rate derivatives for Australian pension funds and life insurers

Many pension funds and life insurers seek to hedge their exposure to low interest rates using long-dated interest rate derivatives. This paper extends an approach of Platen and Heath 2006 to price and hedge long-dated interest rate derivatives using a combination of Australian cash, bonds and equiti...

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Bibliographic Details
Main Authors: Fergusson, Kevin, Platen, E.
Format: Journal Article
Published: Institute of Actuaries of Australia 2014
Subjects:
Online Access:http://search.informit.com.au/documentSummary;dn=780321386491104;res=IELBUS
http://hdl.handle.net/20.500.11937/31772