海外直订Pricing of Bond Options: Unspanned Stochastic Volatility
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Product Details 基本信息 ISBN-13 书号 9783540707219 Author 作者 Detlef Repplinger Format 版本 平装-胶订 Pages Number 页数 null页 Publisher 出版社 Springer Berlin Heidelberg Publication Date 出版日期 2008-09-02 Product Dimensions 商品尺寸 23.1 x 15.5 x 1 cm Shipping Weight 商品重量 0.2 kg Language 语种 其它(含多语) Book Contents 内容简介 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 stochast
¥501.00