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On the valuation of compositions in Lévy term structure models
Time-inhomogeneous L´ evy process forward rate model forward price model option on composition Fourier transform
2010/10/29
We derive explicit valuation formulae for an exotic pathdependent interest rate derivative, namely an option on the composition of LIBOR rates. The formulae are based on Fourier transform methods for ...
Fractional term structure models: No-arbitrage and consistency
Fractional term structure models No-arbitrage consistency
2010/12/13
In this work we introduce Heath-Jarrow-Morton (HJM) interest rate models driven by fractional Brownian motions. By using support arguments we prove that the resulting model is arbitrage free under pro...