Explain the principles involved in duration-based hedging. How does the computation of the hedge ratio here differ

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Explain the principles involved in duration-based hedging. How does the computation of the hedge ratio here differ from that of the minimum-variance hedge computation?

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Derivatives Principles And Practice

ISBN: 9780078034732

2nd Edition

Authors: Rangarajan Sundaram

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Question Posted: Jan 10, 2024 01:00 AM

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Explain the principles involved in duration-based hedging. How does the computation of the hedge ratio here differ

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Durationbased hedging is based on the idea that the position being hedged a bond or a portfolio of a ...View the full answer

Derivatives Principles And Practice

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