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...
| Main Author: | |
|---|---|
| Other Authors: | |
| Format: | Thesis |
| Language: | English |
| Published: |
2015
|
| Subjects: | |
| Online Access: | https://hdl.handle.net/10356/65680 |