{
  "annotation_id": "ae30c917-22c9-4ad4-b675-3b90c86f798d",
  "date_created": "2026-03-02T18:00:57.323000Z",
  "date_modified": "2026-03-02T18:00:57.323000Z",
  "file_hash": "3f17e108cc5411b3c72c5d0278513ee160cc45c838e3ff41607df9e59d48d9cd",
  "private": false,
  "record": {
    "abstract": "We investigate LIBOR-based derivatives using a parsimonious field theory\ninterest rate model capable of instilling imperfect correlation between\ndifferent maturities. Delta and Gamma hedge parameters are derived for LIBOR\nCaps against fluctuations in underlying forward rates. An empirical\nillustration of our methodology is also conducted to demonstrate the influence\nof correlation on the hedging of interest rate risk.",
    "arxiv_id": "physics/0504221",
    "authors": [
      "Belal E. Baaquie",
      "Cui Liang",
      "Mitch C. Warachka"
    ],
    "categories": [
      "physics.soc-ph",
      "q-fin.PR"
    ],
    "title": "Hedging LIBOR Derivatives in a Field Theory Model of Interest Rates",
    "url": "https://arxiv.org/abs/physics/0504221"
  },
  "schema_id": "dorsal/arxiv",
  "source": {
    "execution_id": "9f3e27e9-d3b7-4e95-927e-82de7577b81c",
    "id": "arXiv Dataset IDs",
    "type": "Model",
    "variant": "snapshot-2026-03-01",
    "version": "0.1.0"
  },
  "user_id": 1000002
}