Items related to Pricing of Bond Options: Unspanned Stochastic Volatility...
Pricing of Bond Options: Unspanned Stochastic Volatility and Random Field Models: 615 (Lecture Notes in Economics and Mathematical Systems, 615) - Softcover
Synopsis
This book presents the development of a consistent unified model framework for the evaluation of bond options.
"synopsis" may belong to another edition of this title.
From the Back Cover
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) 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.
"About this title" may belong to another edition of this title.
Buy New
View this item
£ 39.85
FREE shipping from U.S.A. to United Kingdom
Destination, rates & speeds
Search results for Pricing of Bond Options: Unspanned Stochastic Volatility...
Stock Image
Pricing Of Bond Options
Seller: Romtrade Corp., STERLING HEIGHTS, MI, U.S.A.
Seller rating 5 out of 5 stars
Condition: New. This is a Brand-new US Edition. This Item may be shipped from US or any other country as we have multiple locations worldwide. Seller Inventory # ABNR-90143
Quantity: 1 available
Stock Image
Pricing Of Bond Options
Seller: Basi6 International, Irving, TX, U.S.A.
Seller rating 5 out of 5 stars
Condition: Brand New. New. US edition. Expediting shipping for all USA and Europe orders excluding PO Box. Excellent Customer Service. Seller Inventory # ABEJUNE24-269296
Quantity: 1 available
Stock Image
Pricing of Bond Options : Unspanned Stochastic Volatility and Random Field Models
Published by
Springer Berlin Heidelberg, 2008
ISBN 10: 3540707212
ISBN 13: 9783540707219
Used
Softcover
Seller: Buchpark, Trebbin, Germany
Seller rating 5 out of 5 stars
Condition: Sehr gut. Zustand: Sehr gut | Seiten: 148 | Sprache: Englisch | Produktart: Bücher. Seller Inventory # 4503333/12
Quantity: 1 available
Stock Image
Pricing of Bond Options
Seller: Majestic Books, Hounslow, United Kingdom
Seller rating 5 out of 5 stars
Condition: New. pp. 148 49:B&W 6.14 x 9.21 in or 234 x 156 mm (Royal 8vo) Perfect Bound on White w/Gloss Lam. Seller Inventory # 7450979
Quantity: 1 available
Stock Image
Pricing of Bond Options: Unspanned Stochastic Volatility and Random Field Models (Lecture Notes in Economics and Mathematical Systems, 615)
Seller: Ria Christie Collections, Uxbridge, United Kingdom
Seller rating 5 out of 5 stars
Condition: New. In. Seller Inventory # ria9783540707219_new
Quantity: Over 20 available
Stock Image
Pricing of Bond Options : Unspanned Stochastic Volatility and Random Field Models
Seller: Chiron Media, Wallingford, United Kingdom
Seller rating 4 out of 5 stars
PF. Condition: New. Seller Inventory # 6666-IUK-9783540707219
Quantity: 10 available
Stock Image
Pricing of Bond Options
Seller: Books Puddle, New York, NY, U.S.A.
Seller rating 4 out of 5 stars
Condition: New. pp. 148. Seller Inventory # 26396988
Quantity: 1 available
Stock Image
Pricing of Bond Options
Seller: Biblios, Frankfurt am main, HESSE, Germany
Seller rating 5 out of 5 stars
Condition: New. pp. 148. Seller Inventory # 18396982
Quantity: 1 available
Seller Image
Pricing of Bond Options
Published by
Springer Berlin Heidelberg Sep 2008, 2008
ISBN 10: 3540707212
ISBN 13: 9783540707219
New
Taschenbuch
Seller: BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, Germany
Seller rating 5 out of 5 stars
Taschenbuch. Condition: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -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. 148 pp. Englisch. Seller Inventory # 9783540707219
Quantity: 2 available
Seller Image
Pricing of Bond Options : Unspanned Stochastic Volatility and Random Field Models
Published by
Springer Berlin Heidelberg, 2008
ISBN 10: 3540707212
ISBN 13: 9783540707219
New
Taschenbuch
Seller: AHA-BUCH GmbH, Einbeck, Germany
Seller rating 5 out of 5 stars
Taschenbuch. Condition: Neu. Druck auf Anfrage Neuware - Printed after ordering - 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. Seller Inventory # 9783540707219
Quantity: 1 available