Pricing of Bond Options Unspanned Stochastic Volatility and Random Field Models /

• Κύριος συγγραφέας: Repplinger, Detlef (Συγγραφέας)
• Συγγραφή απο Οργανισμό/Αρχή: SpringerLink (Online service)
• Μορφή: Ηλεκτρονική πηγή Ηλ. βιβλίο
• Γλώσσα: English
• Έκδοση: Berlin, Heidelberg : Springer Berlin Heidelberg, 2008.
• Σειρά: Lecture Notes in Economics and Mathematical Systems, 615
• Θέματα: Finance.; Economics, Mathematical.; Macroeconomics.; Finance, general.; Macroeconomics/Monetary Economics//Financial Economics.; Quantitative Finance.

RWT Award 2008! For his excellent monograph, Detlef Repplinger won the RWT Reutlinger Wirtschaftstreuhand GMBH award in June 2008. A major theme of this book is the development of a consistent unified model framework for the evaluation of bond options. In general options on zero bonds (e.g. caps) an...

Πίνακας περιεχομένων:

• The option pricing framework
• The Edgeworth Expansion
• The Integrated Edgeworth Expansion
• Multi-Factor HJM models
• Multiple-Random Fields term structure models
• Multi-factor USV term structure model
• Conclusions
• Matlab codes for the EE and IEE.