Hedging long-dated interest rate derivatives for Australian pension funds and life insurers
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Fergusson, K. and Platen, E. 2014. Hedging long-dated interest rate derivatives for Australian pension funds and life insurers. Australian Journal of Actuarial Practice. 1: pp. 29-44.
Australian Journal of Actuarial Practice
School of Science
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.
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