Pricing of bond options. Unspanned stochastic volatility and random field models.
type: Item
instance of: scholarly article
title: Pricing of bond options. Unspanned stochastic volatility and random field models.
zbMATH Open document ID: 1158.91012
author: Detlef Repplinger
published in: Lecture Notes in Economics and Mathematical Systems
publication date: 2008-09-24T00:00:00Z
review text: The author studies unspanned stochastic volatility (USV) as well as Random Fields (RF) 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, while the RF models allow for a deterministic correlation structure between bond prices of different terms. The author shows how fast and accurate pricing can be achieved by either running a Fractional Fourier Transform or by an Integrated Edgeworth Expansion approach. The author also include the relevant Matlab code.
reviewed by: Christian-Oliver Ewald
Mathematics Subject Classification ID: 91B28
Mathematics Subject Classification ID: 60G99
Mathematics Subject Classification ID: 60Hxx
Mathematics Subject Classification ID: 91-02
zbMATH DE Number: 5346397
zbMATH Keywords: interest rate models
zbMATH Keywords: mathematical finance
zbMATH Keywords: derivatives
zbMATH Keywords: options
zbMATH Keywords: bonds
zbMATH Keywords: random fields
zbMATH Keywords: Edgeworth expansion
describes a project that uses: Matlab
MaRDI profile type: Publication
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description: scientific article; zbMATH DE number 5346397