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

volatility derivatives. In the first part, the book develops a unifying theory for the analysis of contingent claims under both …This book presents a factor-based model of the stochastic evolution of the implied volatility surface. The model allows … the real-world measure and the risk-neutral measure in an environment of stochastic implied volatility. On the basis of …

-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 …