The Potential Approach to the Term Structure of Interest Rates and Bond Pricing, and Time-changed Lévy Processes and European Option Pricing

The Potential Approach to the Term Structure of Interest Rates and Bond Pricing, and Time-changed Lévy Processes and European Option Pricing
Author: William Lowell Anderson (Jr.)
Publisher:
Total Pages: 226
Release: 2006
Genre:
ISBN:


Download The Potential Approach to the Term Structure of Interest Rates and Bond Pricing, and Time-changed Lévy Processes and European Option Pricing Book in PDF, Epub and Kindle


The Potential Approach to the Term Structure of Interest Rates and Bond Pricing, and Time-changed Lévy Processes and European Option Pricing
Language: en
Pages: 226
A Tractable Heath-Jarrow-Morton Framework Based on Time Changed Levy Processes
Language: en
Pages: 27
Authors: Allan Sall Tang Andersen
Categories:
Type: BOOK - Published: 2009 - Publisher:

GET EBOOK

In this paper we formulate a Heath-Jarrow-Morton framework based on time changed Levy processes. Our framework is based on the time changed Levy processes descr
Mathematics of the Bond Market: A Lévy Processes Approach
Language: en
Pages: 401
Authors: Michał Barski
Categories: Business & Economics
Type: BOOK - Published: 2020-04-23 - Publisher: Cambridge University Press

GET EBOOK

Analyses bond market models with Lévy stochastic factors, suitable for graduates and researchers in probability and mathematical finance.
Pricing of Bond Options
Language: en
Pages: 141
Authors: Detlef Repplinger
Categories: Business & Economics
Type: BOOK - Published: 2008-08-15 - Publisher: Springer Science & Business Media

GET EBOOK

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.
Levy-Based Interest Rate Derivatives
Language: en
Pages: 0
Authors: Anatoliy V. Swishchuk
Categories:
Type: BOOK - Published: 2009 - Publisher:

GET EBOOK

In this paper, we show how to calculate the price of zero-coupon bonds for many Gaussian and Levy one-factor and multi-factor models of r(t) using change of tim