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: | , |
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| Format: | Journal Article |
| Published: |
Institute of Actuaries of Australia
2014
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| Subjects: | |
| Online Access: | http://search.informit.com.au/documentSummary;dn=780321386491104;res=IELBUS http://hdl.handle.net/20.500.11937/31772 |
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