By Detlef Repplinger
RWT Award 2008!
For his very good monograph, Detlef Repplinger gained the RWT Reutlinger Wirtschaftstreuhand GMBH award in June 2008.
A significant subject matter of this ebook is the improvement of a constant unified version framework for the evaluate of bond innovations. mostly recommendations on 0 bonds (e.g. caps) and ideas on coupon bearing bonds (e.g. swaptions) are associated by way of no-arbitrage kinfolk during the correlation constitution of rates of interest. consequently, unspanned stochastic volatility (USV) in addition to Random box (RF) versions are used to version the dynamics of complete yield curves. The USV types postulate a correlation among the bond rate dynamics and the subordinated stochastic volatility strategy, while Random box types let for a deterministic correlation constitution among bond costs of other phrases. Then the pricing of bond ideas is completed both by means of working a Fractional Fourier rework or by means of utilising the built-in Edgeworth growth strategy. The latter is a brand new extension of a generalized sequence growth of the (log) attribute functionality, particularly tailored for the computation of workout probabilities.