options. In general options on zero bonds (e.g. caps) and options on coupon bearing bonds (e.g. swaptions) are linked by no-arbitrage … relations through the correlation structure of interest rates. Therefore, unspanned stochastic volatility (USV) as well as … between the bond price dynamics and the subordinated stochastic volatility process, whereas Random Field models allow for a …

explanations of stock price fluctuations. They examine in detail the mainstream neo-classical theory with its emphasis on the … being inherently prone to speculation and crisis, in contrast to the neo-classical approach which largely ignores the …

Mean Reversion in Commodity Prices -- Fundamentals of Derivative Pricing -- Stochastic Volatility Models -- Integration … stochastic volatility, jumps in the underlying and the price process and a stochastic target level as well as with deterministic …

Modifikation der Theorie der Stochastischen Integration zeigt der Autor, dass der Zustands-Präferenz-Ansatz in einer Version ohne …

others. This statement coincides with the increasing use of arbitrage-related hedge fund strategies whereas it collides with … Werner examines aggregate short sales and convertible bond arbitrage, which is a typical hedge fund strategy that involves a … difference in the trading pattern, information content and resulting impact on stock returns of arbitrage- versus valuation …