| 000 -LEADER |
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| fixed length control field |
03046nam a22004695i 4500 |
| 001 - CONTROL NUMBER |
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| control field |
978-3-540-70729-5 |
| 003 - CONTROL NUMBER IDENTIFIER |
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| control field |
DE-He213 |
| 005 - DATE AND TIME OF LATEST TRANSACTION |
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| control field |
20161121231000.0 |
| 007 - PHYSICAL DESCRIPTION FIXED FIELD--GENERAL INFORMATION |
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| fixed length control field |
cr nn 008mamaa |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION |
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| fixed length control field |
100301s2008 gw | s |||| 0|eng d |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER |
|---|
| International Standard Book Number |
9783540707295 |
| -- |
978-3-540-70729-5 |
| 024 7# - OTHER STANDARD IDENTIFIER |
|---|
| Standard number or code |
10.1007/978-3-540-70729-5 |
| Source of number or code |
doi |
| 050 #4 - LIBRARY OF CONGRESS CALL NUMBER |
|---|
| Classification number |
HG1-HG9999 |
| 072 #7 - SUBJECT CATEGORY CODE |
|---|
| Subject category code |
KFF |
| Source |
bicssc |
| 072 #7 - SUBJECT CATEGORY CODE |
|---|
| Subject category code |
BUS027000 |
| Source |
bisacsh |
| 082 04 - DEWEY DECIMAL CLASSIFICATION NUMBER |
|---|
| Classification number |
332 |
| Edition number |
23 |
| 100 1# - MAIN ENTRY--PERSONAL NAME |
|---|
| Personal name |
Repplinger, Detlef. |
| Relator term |
author. |
| 245 10 - TITLE STATEMENT |
|---|
| Title |
Pricing of Bond Options |
| Medium |
[electronic resource] : |
| Remainder of title |
Unspanned Stochastic Volatility and Random Field Models / |
| Statement of responsibility, etc. |
by Detlef Repplinger. |
| 264 #1 - PRODUCTION, PUBLICATION, DISTRIBUTION, MANUFACTURE, AND COPYRIGHT NOTICE |
|---|
| Place of production, publication, distribution, manufacture |
Berlin, Heidelberg : |
| Name of producer, publisher, distributor, manufacturer |
Springer Berlin Heidelberg, |
| Date of production, publication, distribution, manufacture, or copyright notice |
2008. |
| 300 ## - PHYSICAL DESCRIPTION |
|---|
| Extent |
X, 138 p. 23 illus. |
| Other physical details |
online resource. |
| 336 ## - CONTENT TYPE |
|---|
| Content type term |
text |
| Content type code |
txt |
| Source |
rdacontent |
| 337 ## - MEDIA TYPE |
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| Media type term |
computer |
| Media type code |
c |
| Source |
rdamedia |
| 338 ## - CARRIER TYPE |
|---|
| Carrier type term |
online resource |
| Carrier type code |
cr |
| Source |
rdacarrier |
| 347 ## - DIGITAL FILE CHARACTERISTICS |
|---|
| File type |
text file |
| Encoding format |
PDF |
| Source |
rda |
| 490 1# - SERIES STATEMENT |
|---|
| Series statement |
Lecture Notes in Economics and Mathematical Systems, |
| International Standard Serial Number |
0075-8442 ; |
| Volume/sequential designation |
615 |
| 505 0# - FORMATTED CONTENTS NOTE |
|---|
| Formatted contents note |
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. |
| 520 ## - SUMMARY, ETC. |
|---|
| Summary, etc. |
RWT Award 2008! For his excellent monograph, Detlef Repplinger won the RWT Reutlinger Wirtschaftstreuhand GMBH award in June 2008. 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. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name entry element |
Finance. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name entry element |
Economics, Mathematical. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name entry element |
Macroeconomics. |
| 650 14 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name entry element |
Finance. |
| 650 24 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name entry element |
Finance, general. |
| 650 24 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name entry element |
Macroeconomics/Monetary Economics//Financial Economics. |
| 650 24 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name entry element |
Quantitative Finance. |
| 710 2# - ADDED ENTRY--CORPORATE NAME |
|---|
| Corporate name or jurisdiction name as entry element |
SpringerLink (Online service) |
| 773 0# - HOST ITEM ENTRY |
|---|
| Title |
Springer eBooks |
| 776 08 - ADDITIONAL PHYSICAL FORM ENTRY |
|---|
| Relationship information |
Printed edition: |
| International Standard Book Number |
9783540707219 |
| 830 #0 - SERIES ADDED ENTRY--UNIFORM TITLE |
|---|
| Uniform title |
Lecture Notes in Economics and Mathematical Systems, |
| International Standard Serial Number |
0075-8442 ; |
| Volume/sequential designation |
615 |
| 856 40 - ELECTRONIC LOCATION AND ACCESS |
|---|
| Uniform Resource Identifier |
http://dx.doi.org/10.1007/978-3-540-70729-5 |
| 912 ## - |
|---|
| -- |
ZDB-2-SBE |
