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

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...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Repplinger, Detlef (Autor)
Autor Corporativo: SpringerLink (Online service)
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 2008.
Edición:1st ed. 2008.
Colección:Lecture Notes in Economics and Mathematical Systems, 615
Temas:
Finance.
Macroeconomics.
Social sciences > Mathematics.
Financial Economics.
Macroeconomics and Monetary Economics.
Mathematics in Business, Economics and Finance.
Acceso en línea:Texto Completo
Tabla de Contenidos:
  • 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.

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