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Svoboda, Simona - 2004

Growth in the derivatives market has brought with it a greater volume and range of interest rate dependent products. These products have become increasingly innovative and complex to price, requiring sophisticated market models that capture the full dynamics of the yield curve. A study of the...

Persistent link: https://www.econbiz.de/10012054390

Pricing Interest-Rate Derivatives : A Fourier-Transform Based Approach

Bouziane, Markus (contributor) - 2008

This book provides a modular pricing framework which allows the valuation of interest-rate derivatives in a general jump-diffusion setup. Starting with a comparison of three Fourier-style pricing methodologies, the book covers the derivation of Fourier-transform based solutions for different...

Persistent link: https://www.econbiz.de/10013520918

Interest Rate Derivatives Explained: Volume 2 : Term Structure and Volatility Modelling

Kienitz, Jörg; Caspers, Peter - 2017

Maturity Swap options. Term structure models are introduced in the third part. We consider three main classes namely short rate …

Persistent link: https://www.econbiz.de/10012397764

A Structural Framework for the Pricing of Corporate Securities : Economic and Empirical Issues

Genser, Michael (contributor) - 2006

This book is the first comprehensive treatment of structural credit risk models for the simultaneous and consistent pricing of corporate securities. Through the development of a flexible economic framework based on the firm's EBIT, the reader is taken from the economic principles of firm value...

Persistent link: https://www.econbiz.de/10013520503

Assessing the Economic Value of Venture Capital Contracts : An Option Pricing Approach

Onimus, Jil Caroline - 2011

) and shows how they can be priced in interaction using Least Squares Monte Carlo simulation. The pricing model is …

Persistent link: https://www.econbiz.de/10014015290

Financial Econometrics Modeling: Derivatives Pricing, Hedge Funds and Term Structure Models

Gregoriou, Greg N. (ed.); Pascalau, Razvan (ed.) - 2011

This book proposes new tools and models to price options, assess market volatility, and investigate the market efficiency hypothesis. In particular, it considers new models for hedge funds and derivatives of derivatives, and adds to the literature of testing for the efficiency of markets both...

Persistent link: https://www.econbiz.de/10012053889

Impact of Government Bonds Spreads on Credit Derivatives : Analysis of Increasing Spreads Developments within the European Area

Berger, Verena Anna - 2018

recommended by the author. Contents • Theoretical underpinnings • Modelling credit default swap prices • Simulation of government …Theoretical underpinnings -- Modelling credit default swap prices -- Simulation of government bond spread increase …Verena Anna Berger investigates the question to what extent credit default swap spreads are impacted by an increase of …

Persistent link: https://www.econbiz.de/10012397669

Real Options Valuation : The Importance of Interest Rate Modelling in Theory and Practice

Schulmerich, Marcus - 2010

proprietary computer simulation program. All results are explained in detail and rules are derived for application in Corporate …

Persistent link: https://www.econbiz.de/10013522815

Real Options Valuation : The Importance of Interest Rate Modelling in Theory and Practice

Schulmerich, Marcus (contributor) - 2005

This book analyzes real options valuation for non-constant versus constant interest rates using simulation and … provided in the book. The analyses were conducted using a proprietary computer simulation program. All results are explained in …

Persistent link: https://www.econbiz.de/10014014074

Foundations and Methods of Stochastic Simulation : A First Course

Nelson, Barry L. - 2013

Why Do We Simulate? -- Simulation Programming: Quick Start -- Examples -- Simulation Programming with VBASim -- Two … Views of Simulation -- Simulation Input -- Simulation Output -- Experiment Design and Analysis -- Simulation for Research …This graduate-level text covers modeling, programming and analysis of simulation experiments and provides a rigorous …

Persistent link: https://www.econbiz.de/10014016471