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 Stochastic Volatility Extensions of the Swap Market Model. Derivation, Calibration, and Exploration of the Pricing Power of SV SMM and LN-SV SMM
Наименование:

Stochastic Volatility Extensions of the Swap Market Model. Derivation, Calibration, and Exploration of the Pricing Power of SV SMM and LN-SV SMM

автор Milena T. издательство Книга по Требованию Математический анализ. Кратные и криволинейные интегралы. Задачи, решения
Cтраниц 112        мягкая обложка       
Аннотация:Two stochastic volatility extensions of the Swap Market Model, one with jumps and the other without, are derived. In both stochastic volatility extensions of the Swap Market Model the instantaneous volatility of the forward swap rates evolves according to a square-root diffusion process. In the jump-diffusion stochastic volatility extension of the Swap Market Model, the proportional log-normal jumps are applied to the swap rates dynamics. A specific functional form of the instantaneous swap rate volatility structure was used to meet the observed evidence that volatility of the instantaneous swap rate decreases with longer swaption maturity and with larger swaption tenors. The speed, the flexibility and the accuracy of the fast fractional Fourier transform made possible a fast calibration to European swaption market prices.
Автор: Milena T.
Издательство: Книга по Требованию
Год:2009
Цена:
2007 руб
Нет в наличии
Поиск: Stochastic Volatility Extensions of the Swap Market Model. Derivation, Calibration, and Exploration of the Pricing Power of SV SMM and LN-SV SMM
НОВЫЙ ГОД СИМВОЛ 2013 ГОДАУКРАШЕНИЯ
КАРНАВАЛ НА НОВЫЙ ГОД РАСПРОДАЖА
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