Pricing caps and swaptions when bond prices follow jump-diffusion processes and have log-price volatility

Description

Thesis (Ph.D.)--Indiana University, Dept. of Mathematics, 2008. / Title from PDF t.p. (viewed Dec. 9, 2008). Source: Dissertation Abstracts International, Volume: 69-05, Section: B, page: 3039. Adviser: Victor Goodman.

Links & Downloads

1. http://gateway.proquest.com/openurl?url_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:dissertation&res_dat=xri:pqdiss&rft_dat=xri:pqdiss:3307569

Tags

Economics, Finance. Mathematics.

Additional Fields

Identifer	oai:union.ndltd.org:OCLC/oai:xtcat.oclc.org:OCLCNo/277229123
Date	January 2008
Creators	Zhang, Siyu.
Publisher	[Bloomington, Ind.] : Indiana University,
Source Sets	OCLC
Language	English
Detected Language	English