Economics/Finances Detlef Repplinger - Pricing of Bond Options: Unspanned Stochastic Volatility and Random Field Models (3540707212)

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Detlef Repplinger - Pricing of Bond Options: Unspanned Stochastic Volatility and Random Field Models

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.

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	Study Option Pricing Models and Volatility Using Excel-VBA Option Pricing Models and Volatility Using Excel-VBA (Wiley Finance) Fabrice Douglas Rouah / Gregory Vainberg \| Wiley \| ISBN: 0471794643 \| April 13, 2007 \| 441 pages \| PDF \| 11 Mb A practical guide to implementing advanced option pricing m ...
	Economics/Finances Option Pricing Models and Volatility Using Excel-VBA (Reupload) Fabrice Douglas Rouah, Gregory Vainberg “Option Pricing Models and Volatility Using Excel-VBA" Wiley \| 2007-04-13 \| ISBN: 0471794643 \| 441 pages \| PDF \| 10,8 MB Praise for Option Pricing Models & Volatility Using Excel-VBA"Excel is alrea ...
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	Economics/Finances The Options Edge: Winning the Volatility Game with Options On Futures (Repost) The Options Edge: Winning the Volatility Game with Options On Futures Publisher: McGraw-Hill Companies \| ISBN: 0070382964 \| edition 1998 \| PDF \| 295 pages \| 13,8 mbWith his take-no-prisoners 1994 book Winner Takes All, Bill Gallacher first ...

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	Study Option Pricing Models and Volatility Using Excel-VBA Option Pricing Models and Volatility Using Excel-VBA (Wiley Finance) Fabrice Douglas Rouah / Gregory Vainberg \| Wiley \| ISBN: 0471794643 \| April 13, 2007 \| 441 pages \| PDF \| 11 Mb A practical guide to implementing advanced option pricing m ...
	Economics/Finances Option Pricing Models and Volatility Using Excel-VBA (Reupload) Fabrice Douglas Rouah, Gregory Vainberg “Option Pricing Models and Volatility Using Excel-VBA" Wiley \| 2007-04-13 \| ISBN: 0471794643 \| 441 pages \| PDF \| 10,8 MB Praise for Option Pricing Models & Volatility Using Excel-VBA"Excel is alrea ...
	Science/Engineering Pricing of Bond Options: Unspanned Stochastic Volatility and Random Field Models Pricing of Bond Options: Unspanned Stochastic Volatility and Random Field Models (Lecture Notes in Economics and Mathematical Systems): Detlef Repplinger Springer \| ISBN: 3540707212 \| October 21, 2008 \| PDF (OCR) \| 138 pages \| 1243 KB A ma ...
	Economics/Finances Volatility and Correlation: In the Pricing of Equity, FX and Interest-Rate Options (Wiley Series in Financial Engineering) Riccardo Rebonato, "Volatility and Correlation: In the Pricing of Equity, FX and Interest-Rate Options (Wiley Series in Financial Engineering)"John Wiley & Sons \| 1999-12-27 \| ISBN: 0471899984 \| 360 pages \| PDF \| 66,7 MB"What is at stak ...
	Volatility and Correlation: In the Pricing of Equity, FX and Interest-Rate Options Volatility and Correlation: In the Pricing of Equity, FX and Interest-Rate OptionsVolatility and Correlation: In the Pricing of Equity, FX and Interest-Rate Options (Wiley Series in Financial Engineering)Publisher: John Wiley & Sons ( 1 ...
	Economics/Finances The Options Edge: Winning the Volatility Game with Options On Futures (Repost) The Options Edge: Winning the Volatility Game with Options On Futures Publisher: McGraw-Hill Companies \| ISBN: 0070382964 \| edition 1998 \| PDF \| 295 pages \| 13,8 mbWith his take-no-prisoners 1994 book Winner Takes All, Bill Gallacher first ...

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