Fredholm, chaos-based and Gram-Charlier methods in fixed income derivative pricing

This thesis deals with three issues of fixed income derivative pricing. Chapter 2 deals with bond pricing in mean-reverting CIR model, which is linked to quadratic functionals of Brownian motion. By the bivariate Laplace transform of quadratic functionals of the form (∫_0^T▒X_t dB_t,∫_0^T▒X_t^2 d...

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Bibliographic Details
Main Author: Wu, Hailing
Other Authors: Abdul Rahman Bin Napiah
Format: Theses and Dissertations
Language:English
Published: 2015
Subjects:
Online Access:https://hdl.handle.net/10356/65680
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Institution: Nanyang Technological University
Language: English