LIBROS DEL AUTOR: detlef repplinger

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  • Pricing of Bond Options
    Detlef Repplinger
    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 ...
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