We consider minimal variance hedging in a pure-jump multicurve interest rate model. In the first part, we derive arithmetic multifactor martingale representations for the spread, OIS, and LIBOR rate, which are bounded from below by a real-valued constant. In the second part, we investigate minimal variance hedging and provide a closed-form formula for the related minimal variance portfolio. We apply this result to several examples covering both replicable and nonreplicable claims. We conclude the paper with a consideration of delta hedging.

中文翻译：

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多曲线利率模型中的最小方差对冲

我们在纯跳跃多曲线利率模型中考虑最小方差对冲。在第一部分中，我们推导了点差，OIS和LIBOR利率的算术多因子mar表示法，这些表示法从下方受实值常数限制。在第二部分中，我们研究了最小方差套期保值，并为相关的最小方差投资组合提供了封闭形式的公式。我们将此结果应用于涵盖可复制和不可复制声明的几个示例。在总结本文时，我们考虑了三角套期保值。