Science/Engineering Pricing of Bond Options: Unspanned Stochastic Volatility and Random Field Models (3540707212)

Like Book123?! Give us +1

More

Pricing of Bond Options: Unspanned Stochastic Volatility and Random Field Models (Lecture Notes in Economics and Mathematical Systems): Detlef Repplinger

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.

Buy Book at Lowest Price on Amazon

Rating:
2.5 out of 5 by Book123

Download Links
Server	Status
Direct Download Link 1	Alive
Direct Download Link 2	Alive
Download Link (Download)	Alive
Download Link (Download Mirror)	Alive
Buy This Book at Best Price >>

Like this article?! Give us +1:

	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 ...
	Economics/Finances Detlef Repplinger - Pricing of Bond Options: Unspanned Stochastic Volatility and Random Field Models Detlef Repplinger - Pricing of Bond Options: Unspanned Stochastic Volatility and Random Field ModelsSpringer \| 2008 \| ISBN: 3540707212 \| Pages: 138 \| PDF \| 1.18 MBA major theme of this book is the development of a consistent unified model f ...
	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 ...

Share this page with your friends now!
Text link
Forum (BBCode)
Website (HTML)

DISCLAIMER:

This site does not store Science/Engineering Pricing of Bond Options: Unspanned Stochastic Volatility and Random Field Models on its server. We only index and link to Science/Engineering Pricing of Bond Options: Unspanned Stochastic Volatility and Random Field Models provided by other sites. Please contact the content providers to delete Science/Engineering Pricing of Bond Options: Unspanned Stochastic Volatility and Random Field Models if any and email us, we'll remove relevant links or contents immediately.

	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 ...
	Economics/Finances Detlef Repplinger - Pricing of Bond Options: Unspanned Stochastic Volatility and Random Field Models Detlef Repplinger - Pricing of Bond Options: Unspanned Stochastic Volatility and Random Field ModelsSpringer \| 2008 \| ISBN: 3540707212 \| Pages: 138 \| PDF \| 1.18 MBA major theme of this book is the development of a consistent unified model f ...
	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 ...

Book123

Categories

Share With Friends

Archive by Date

Search Tag

Newest

Useful Links

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

Related Articles

DISCLAIMER:

Comments (0) All