%0 Journal Article
%T Hedging Against the Interest-rate Risk by Measuring the Yield-curve Movement
%A Zhongliang Tuo
%J Quantitative Finance
%D 2013
%I arXiv
%X By adopting the polynomial interpolation method, we propose an approach to hedge against the interest-rate risk of the default-free bonds by measuring the nonparallel movement of the yield-curve, such as the translation, the rotation and the twist. The empirical analysis shows that our hedging strategies are comparable to traditional duration-convexity strategy, or even better when we have more suitable hedging instruments on hand. The article shows that this strategy is flexible and robust to cope with the interest-rate risk and can help ?fine-tune a position as time changes.
%U http://arxiv.org/abs/1312.6841v1