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Mathematical statistics --- Asymptotic distribution (Probability theory) --- Edgeworth expansions. --- Statistique mathématique --- Distribution asymptotique (Théorie des probabilités) --- Edgeworth, Expansions d' --- Asymptotic theory. --- Théorie asymptotique

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Mathematical statistics --- Asymptotic distribution (Probability theory) --- Edgeworth expansions --- Distribution asymptotique (Théorie des probabilités) --- Edgeworth, Expansions d' --- Statistique mathématique --- Asymptotic theory --- Théorie asymptotique --- 519.245 --- -Asymptotic distribution (Probability theory) --- Edgeworth series --- Expansions, Edgeworth --- Distribution (Probability theory) --- Sampling (Statistics) --- Asymptotic expansions --- Central limit theorem --- Mathematics --- Statistical inference --- Statistics, Mathematical --- Statistics --- Probabilities --- Stochastic approximation. Monte Carlo methods --- Statistical methods --- 519.245 Stochastic approximation. Monte Carlo methods --- Distribution asymptotique (Théorie des probabilités) --- Statistique mathématique --- Théorie asymptotique --- Mathematical statistics - Asymptotic theory

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RWT Award 2008! For his excellent monograph, Detlef Repplinger won the RWT Reutlinger Wirtschaftstreuhand GMBH award in June 2008. A major theme of this book is the development of a consistent unified model framework for the evaluation of bond 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 Random Field (RF) models are used to model the dynamics of entire yield curves. The USV models postulate a correlation between the bond price dynamics and the subordinated stochastic volatility process, whereas Random Field models allow for a deterministic correlation structure between bond prices of different terms. Then the pricing of bond options is done either by running a Fractional Fourier Transform or by applying the Integrated Edgeworth Expansion approach. The latter is a new extension of a generalized series expansion of the (log) characteristic function, especially adapted for the computation of exercise probabilities.

Bonds --- Options (Finance) --- Prices --- Econometric models. --- Mathematical models. --- Bond issues --- Debentures --- Negotiable instruments --- Securities --- Debts, Public --- Stocks --- Investment analysis. --- Fourier transformations. --- Edgeworth expansions. --- -332.6453 --- Edgeworth series --- Expansions, Edgeworth --- Distribution (Probability theory) --- Sampling (Statistics) --- Transformations, Fourier --- Transforms, Fourier --- Fourier analysis --- Transformations (Mathematics) --- Analysis of investments --- Analysis of securities --- Security analysis --- Call options --- Calls (Finance) --- Listed options --- Options exchange --- Options market --- Options trading --- Put and call transactions --- Put options --- Puts (Finance) --- Derivative securities --- Investments --- Mathematical models --- -Electronic information resources --- E-books --- Finance. --- Macroeconomics. --- Finance, general. --- Macroeconomics/Monetary Economics//Financial Economics. --- Quantitative Finance. --- Economics --- Funding --- Funds --- Currency question --- Investment analysis --- Fourier transformations --- Edgeworth expansions --- Economics, Mathematical . --- Mathematical economics --- Econometrics --- Mathematics --- Methodology --- Social sciences --- Financial Economics. --- Macroeconomics and Monetary Economics. --- Mathematics in Business, Economics and Finance. --- Mathematics. --- -Mathematical models