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Pricing of Bond Options: Unspanned Stochastic Volatility and Random Field Models - Lecture Notes in Economics and Mathematical Systems Detlef Repplinger 2008 edition
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Pricing of Bond Options: Unspanned Stochastic Volatility and Random Field Models - Lecture Notes in Economics and Mathematical Systems
Detlef Repplinger
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.
138 pages, black & white illustrations
| Medios de comunicación | Libros Paperback Book (Libro con tapa blanda y lomo encolado) |
| Publicado | 2 de septiembre de 2008 |
| ISBN13 | 9783540707219 |
| Editores | Springer-Verlag Berlin and Heidelberg Gm |
| Páginas | 138 |
| Dimensiones | 155 × 235 × 8 mm · 226 g |
| Lengua | Francés |
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