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Pricing Interest-Rate Derivatives : A Fourier-Transform Based Approach
Bouziane, Markus (contributor) - 2008
, the development of a IFFT-based pricing algorithm, and a detailed analysis of different jump-diffusion short-rate models. …, the development of a IFFT-based pricing algorithm, and a detailed analysis of different jump-diffusion short-rate models …
Persistent link: https://www.econbiz.de/10013520918
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Zeitstetige Modellierung von Preisprozessen auf Finanzmärkten : Zur Interpretation und Notwendigkeit der Usual Conditions
Klößner, Stefan - 2005
Modifikation der Theorie der Stochastischen Integration zeigt der Autor, dass der Zustands-Präferenz-Ansatz in einer Version ohne …
Persistent link: https://www.econbiz.de/10013517354
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Pricing of Derivatives on Mean-Reverting Assets
Lutz, Björn - 2010
Mean Reversion in Commodity Prices -- Fundamentals of Derivative Pricing -- Stochastic Volatility Models -- Integration of Jump Components -- Stochastic Equilibrium Level of the Underlying Process -- Deterministic Seasonality Effects -- Conclusion
Persistent link: https://www.econbiz.de/10013522771
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Portfolios of Real Options
Brosch, Rainer (contributor) - 2008
Valuing portfolios of options embedded in investment decisions is arguably one of the most important and challenging problems in real options and corporate ?nance in general. Although the problem is common and vitally important in the value creation process of almost any corporation, it has not...
Persistent link: https://www.econbiz.de/10013520926
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Pricing of Bond Options : Unspanned Stochastic Volatility and Random Field Models
Repplinger, Detlef (contributor); Fandel, G. (contributor);  … - 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...
Persistent link: https://www.econbiz.de/10013521005
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Real Options Valuation : The Importance of Interest Rate Modelling in Theory and Practice
Schulmerich, Marcus (contributor) - 2005
shows that the assumption of a constant interest rate in real options valuation is not justifiable. All necessary theory is … detail and rules are derived for application in Corporate Finance practice. For the first time, a systematic analysis based …
Persistent link: https://www.econbiz.de/10014014074
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A Structural Framework for the Pricing of Corporate Securities : Economic and Empirical Issues
Genser, Michael (contributor) - 2006
advanced economic settings or to price derivatives on corporate securities. Numerical examples make the theory easily …
Persistent link: https://www.econbiz.de/10013520503
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Real Options Valuation : The Importance of Interest Rate Modelling in Theory and Practice
Schulmerich, Marcus - 2010
Real Options in Theory and Practice -- Stochastic Models for the Term Structure of Interest Rates -- Real Options … Valuation Tools in Corporate Finance -- Analysis of Various Real Options in Simulations and Backtesting -- Summary and Outlook … historical backtesting. It provides a systematic analysis and compares real options valuation using constant interest rates and …
Persistent link: https://www.econbiz.de/10013522815
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Option Pricing in Fractional Brownian Markets
Rostek, Stefan (contributor) - 2009
The scientific debate of recent years about option pricing with respect to fractional Brownian motion was focused on the feasibility of the no arbitrage pricing approach. As the unrestricted fractional market setting allows for arbitrage, the conventional reasoning is that fractional Brownian...
Persistent link: https://www.econbiz.de/10013521157
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Credibilistic Programming : An Introduction to Models and Applications
Li, Xiang - 2013
Preface -- Credibility Theory -- Credibilistic Programming -- Mathematical Programming -- Expected Value Model … of credibility theory, it provides a self-contained, comprehensive and up-to-date presentation of fuzzy programming … models, algorithms and applications in portfolio analysis …
Persistent link: https://www.econbiz.de/10014552595