Buch, Englisch, Band 615, 138 Seiten, Format (B × H): 155 mm x 235 mm, Gewicht: 236 g
Unspanned Stochastic Volatility and Random Field Models
Buch, Englisch, Band 615, 138 Seiten, Format (B × H): 155 mm x 235 mm, Gewicht: 236 g
Reihe: Lecture Notes in Economics and Mathematical Systems
ISBN: 978-3-540-70721-9
Verlag: Springer Berlin Heidelberg
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.
Zielgruppe
Research
Autoren/Hrsg.
Fachgebiete
- Mathematik | Informatik Mathematik Numerik und Wissenschaftliches Rechnen Computeranwendungen in der Mathematik
- Wirtschaftswissenschaften Volkswirtschaftslehre Volkswirtschaftslehre Allgemein Geldwirtschaft, Währungspolitik
- Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Bankwirtschaft
- Mathematik | Informatik Mathematik Numerik und Wissenschaftliches Rechnen Angewandte Mathematik, Mathematische Modelle
Weitere Infos & Material
The option pricing framework.- The Edgeworth Expansion.- The Integrated Edgeworth Expansion.- Multi-Factor HJM models.- Multiple-Random Fields term structure models.- Multi-factor USV term structure model.- Conclusions.- Matlab codes for the EE and IEE.
