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**Biagini, Francesca ORCID: https://orcid.org/0000-0001-9801-5259 (2001): A Quadratic Approach To Interest Rates Models In Incomplete Markets.**

*Workshop of the Mathematical Finance Research Project, Konstanz, Deutschland, 5. – 7. Oktober 2000*. Kohlmann, Michael and Tang, Shanjian (eds.) : In: Mathematical Finance. Workshop of the Mathematical Finance Research Project, Konstanz, Germany, October 5–7, 2000, Basel: Birkhäuser. pp. 89-98**Full text not available from 'Open Access LMU'.**

## Abstract

The aim of this paper is to apply the mean-variance hedging approach, originally formulated for risky assets, to interest rate models in presence of stochastic volatility.

In a HJM framework, we set a finite number of bonds such the volatility matrix is invertible and provide an explicit formula for the density of the variance-optimal measure which is independent by the chosen times of maturity.

Finally, we compare the mean-variance hedging approach to the local risk minimization one in the interest rate case.

Item Type: | Conference or Workshop Item (Paper) |
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Faculties: | Mathematics, Computer Science and Statistics > Mathematics > Workgroup Financial Mathematics |

Subjects: | 500 Science > 510 Mathematics |

Place of Publication: | Basel |

Language: | English |

Item ID: | 115741 |

Date Deposited: | 23. Apr 2024, 06:24 |

Last Modified: | 23. Apr 2024, 06:24 |