nad a22 4500 551467924 20181215084935.0 cr unu---uuuuu 181215e20070912xx s 000 0 eng 10.5167/uzh-156358 doi 10.1007/s11147-007-9006-6 doi (ZORA)oai:www.zora.uzh.ch:156358 330 ddc Model misspecification analysis for bond options and Markovian hedging strategies [Elektronische Daten] [Mireille Bossy, Rajna Gibson, Francois-Serge Lhabitant, Nathalie Pistre, Denis Talay] openAccess eu-repo In this paper, we analyse the model misspecification risk of Markovian hedging strategies for discount bond options. We show how to decompose the Profit and Loss that results from model misspecification, and emphasize the importance of the position's gamma in order to control it. We further provide mathematical results on the distribution of the forward Profit and Loss function for specific univariate term structure models. Finally, we run numerical simulations for options' hedging strategies in order to examine the sensitivity of the forward Profit and Loss function with respect to the volatility of the forward rate curve, the frequency of the position rebalancing and the characteristics of the position being hedged 142-005 zora Bossy Mireille joint author Gibson Rajna joint author Lhabitant Francois-Serge joint author Pistre Nathalie joint author Talay Denis joint author Review of Derivatives Research 9(2):109-135 https://www.zora.uzh.ch/id/eprint/156358/1/ZORA_NL_156358.pdf text/html WWW-Backlink auf das Repository 1 Journal Article PeerReviewed zora ZORA 856 40 https://www.zora.uzh.ch/id/eprint/156358/1/ZORA_NL_156358.pdf text/html WWW-Backlink auf das Repository ZORA 700 1- Bossy Mireille joint author ZORA 700 1- Gibson Rajna joint author ZORA 700 1- Lhabitant Francois-Serge joint author ZORA 700 1- Pistre Nathalie joint author ZORA 700 1- Talay Denis joint author ZORA 773 0- Review of Derivatives Research 9(2):109-135 SWISSBIB 461753944 BK010053 XK010053 XK010000 ZORA ZORA ZORA Journal Article openAccess