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...
Saved in:
Main Author: | |
---|---|
Other Authors: | |
Format: | Theses and Dissertations |
Language: | English |
Published: |
2015
|
Subjects: | |
Online Access: | https://hdl.handle.net/10356/65680 |
Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Institution: | Nanyang Technological University |
Language: | English |