Introduction; The option pricing framework; The Edgeworth Expansion; The Integrated Edgeworth Expansion; Multi-Factor HJM models; Multiple-Random Fields term structure models; Multi-factor USV term structure model; Conclusions; Appendix; Matlab codes for the EE and IEE
Summary
Covers the development of a consistent unified model framework for the evaluation of bond options. In general options on zero bonds and options on coupon bearing bonds are linked by no-arbitrage relations through the correlation structure of interest rates
Bibliography
Includes bibliographical references (pages 131-134)
