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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| 格式: | Theses and Dissertations |
| 語言: | English |
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2015
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| 在線閱讀: | https://hdl.handle.net/10356/65680 |
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