Pricing of Bond Options: Unspanned Stochastic Volatility and Random Field Models - Lecture Notes in Economics and Mathematical Systems - Detlef Repplinger - Books - Springer-Verlag Berlin and Heidelberg Gm - 9783540707219 - September 2, 2008
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Detlef Repplinger
Pricing of Bond Options: Unspanned Stochastic Volatility and Random Field Models - Lecture Notes in Economics and Mathematical Systems 2008 edition

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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

Media Books     Paperback Book   (Book with soft cover and glued back)
Released September 2, 2008
ISBN13 9783540707219
Publishers Springer-Verlag Berlin and Heidelberg Gm
Pages 138
Dimensions 155 × 235 × 8 mm   ·   226 g
Language French  

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