Pricing of Bond Options

Unspanned Stochastic Volatility and Random Field Models

By:

Detlef Repplinger

Format:

Paperback / softback

Series:

Lecture Notes in Economics and Mathematical Systems

Show Hide Adult Content

$135.99

RRP:: ~~$183.95~~ save $47.96

Available from supplier

Usually ships in 3-4 weeks

0 in Trolley

Price Match

Wrap this item as a gift ($5.90) - add a free gift card on the next page

Buy Now, Pay Later with:

4 payments of $34.00 with Afterpay Learn more

Availability

Delivering to:

Estimated arrival:

Around 13-25 June using International Courier

Description

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.

Release date Australia

September 2nd, 2008

Author

Detlef Repplinger

Audience

Professional & Vocational

Illustrations

23 Illustrations, black and white; X, 138 p. 23 illus.

Pages

138

Series

Lecture Notes in Economics and Mathematical Systems

Dimensions

156x234x8

ISBN-13

9783540707219

Product ID

2592503

Customer reviews

Nobody has reviewed this product yet. You could be the first!

Write a Review

Marketplace listings

There are no Marketplace listings available for this product currently.
Already own it? Create a free listing and pay just 9% commission when it sells!

Sell Yours Here

Get free delivery, exclusive deals, and more^*

Business & Economics Books:

Pricing of Bond Options

By:

Format:

Series:

Buy Now, Pay Later with:

Availability

Description

Customer reviews

Marketplace listings

Help & options

Filed under...

Get free delivery, exclusive deals, and more*

Buy Now, Pay Later with:

Get free delivery, exclusive deals, and more^*