Pricing of Bond Options
Produktnummer:
182b7cabab26b141238739dff708c015ba
| Autor: | Repplinger, Detlef |
|---|---|
| Themengebiete: | Arbitrage Fixed Income Derivatives Fourier Transform MATLAB Options Random Fields Swaptions and Caps Valuation Puzzle Unspanned Stochastic Volatility quantitative finance |
| Veröffentlichungsdatum: | 02.09.2008 |
| EAN: | 9783540707219 |
| Sprache: | Englisch |
| Seitenzahl: | 138 |
| Produktart: | Kartoniert / Broschiert |
| Verlag: | Springer Berlin |
| Untertitel: | Unspanned Stochastic Volatility and Random Field Models |
Produktinformationen "Pricing of Bond Options"
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) and options on coupon bearing bonds (e.g. swaptions) are linked by no-arbitrage relations through the correlation structure of interest rates. Therefore, unspanned stochastic volatility (USV) as well as Random Field (RF) models are used to model the dynamics of entire yield curves. The USV models postulate a correlation between the bond price dynamics and the subordinated stochastic volatility process, whereas Random Field models allow for a deterministic correlation structure between bond prices of different terms. Then the pricing of bond options is done either by running a Fractional Fourier Transform or by applying the Integrated Edgeworth Expansion approach. The latter is a new extension of a generalized series expansion of the (log) characteristic function, especially adapted for the computation of exercise probabilities.
Sie möchten lieber vor Ort einkaufen?
Sie haben Fragen zu diesem oder anderen Produkten oder möchten einfach gerne analog im Laden stöbern? Wir sind gerne für Sie da und beraten Sie auch telefonisch.
Juristische Fachbuchhandlung
Georg Blendl
Parcellistraße 5 (Maxburg)
8033 München
Montag - Freitag: 8:15 -18 Uhr
Samstags geschlossen