In this paper we consider the process of interest rate risk management. The yield curve construction is revisited and emphasis is given to aspects such as input instruments, bootstrap and interpolation. For various financial products we present new formulas that are crucial to define sensitivities to changes in the instruments and/or in the curve rates. Such sensitivities are exploited for hedging purposes. We construct the risk space, which eventually turns out to be a curve property, and show how to hedge any product or any portfolio of products in terms of the original curve instruments.

Keywords: Yield curve, hedging, interest rate risk management.

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