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...
| Main Authors: | , |
|---|---|
| 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 |
| _version_ | 1848753475808133120 |
|---|---|
| author | Fergusson, Kevin Platen, E. |
| author_facet | Fergusson, Kevin Platen, E. |
| author_sort | Fergusson, Kevin |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | 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 equities and under a variety of market models. The results show the models under which the lowest cost hedge is achieved. |
| first_indexed | 2025-11-14T08:25:07Z |
| format | Journal Article |
| id | curtin-20.500.11937-31772 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T08:25:07Z |
| publishDate | 2014 |
| publisher | Institute of Actuaries of Australia |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-317722017-01-30T13:27:19Z Hedging long-dated interest rate derivatives for Australian pension funds and life insurers Fergusson, Kevin Platen, E. coupon bonds long-dated zero growth optimal portfolio benchmark approach minimal market model 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 equities and under a variety of market models. The results show the models under which the lowest cost hedge is achieved. 2014 Journal Article http://hdl.handle.net/20.500.11937/31772 http://search.informit.com.au/documentSummary;dn=780321386491104;res=IELBUS Institute of Actuaries of Australia restricted |
| spellingShingle | coupon bonds long-dated zero growth optimal portfolio benchmark approach minimal market model Fergusson, Kevin Platen, E. Hedging long-dated interest rate derivatives for Australian pension funds and life insurers |
| title | Hedging long-dated interest rate derivatives for Australian pension funds and life insurers |
| title_full | Hedging long-dated interest rate derivatives for Australian pension funds and life insurers |
| title_fullStr | Hedging long-dated interest rate derivatives for Australian pension funds and life insurers |
| title_full_unstemmed | Hedging long-dated interest rate derivatives for Australian pension funds and life insurers |
| title_short | Hedging long-dated interest rate derivatives for Australian pension funds and life insurers |
| title_sort | hedging long-dated interest rate derivatives for australian pension funds and life insurers |
| topic | coupon bonds long-dated zero growth optimal portfolio benchmark approach minimal market model |
| url | http://search.informit.com.au/documentSummary;dn=780321386491104;res=IELBUS http://hdl.handle.net/20.500.11937/31772 |