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- W2482326639 abstract "Pricing equations depend on one or more risk factors. When the pricing functions are nonlinear, replicating portfolios that use linear assets with periodically adjusted weights will lead to positive or negative cash flows during the hedging process. If the underlying volatilities and correlations are significant, trading gains from these may exceed the transaction costs implied by periodic rebalancing, and the underlying nonlinearity can be traded. This chapter gives two basic examples of this: one from the fixed income sector which made convexity of bonds valuable, and the second from quanto instruments, which also brought in the covariance among risks. The example on quantos is a good illustration of what happens when term structure models depend on more than one factor. In such an environment, the covariances as well as the volatilities among the underlying risks may become important." @default.
- W2482326639 created "2016-08-23" @default.
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- W2482326639 date "2008-01-01" @default.
- W2482326639 modified "2023-10-18" @default.
- W2482326639 title "Engineering Convexity Positions" @default.
- W2482326639 doi "https://doi.org/10.1016/b978-0-12-373574-4.50012-3" @default.
- W2482326639 hasPublicationYear "2008" @default.
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