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Köp båda 2 för 953 krMethane hydrates are still a complicated target for today's oil and gas offshore engineers, particularly the lack of reliable real field test data or obtaining the most recent technology available on the feasibility and challenges surrounding the ...
1 A Three-Factor Model of the Term Structure of Interest Rates.- 1.1 Introduction.- 1.2 The Model.- 1.3 Benchmark Case.- 1.4 Greens Function.- 1.5 Derivatives Pricing.- 1.6 The Term Structure of Interest Rates.- 1.7 Expected Future Short Rate.- 1.8 Forward Rates.- 2 Pricing Interest Rate Derivatives.- 2.1 Introduction.- 2.2 Bond Options.- 2.3 Caps, Floors, and Collars.- 2.4 Futures Price and Forward Price.- 2.5 Swaps.- 2.6 Quality Delivery Options.- 2.7 Futures Options.- 2.8 American Options.- 3 Pricing Exotic Options.- 3.1 Introduction.- 3.2 Greens Function in the Presence of Boundaries.- 3.3 Derivatives with Payoffs at Random Times.- 3.4 Barrier Options.- 3.5 Lookback Options.- 3.6 Yield Options.- 4 Fitting to a Given Term Structure.- 4.1 Introduction.- 4.2 Merging to the Heath-Jarrow-Morton Framework.- 4.3 Whole-Yield Model.- 5 A Discrete-Time Version of the Model.- 5.1 Introduction.- 5.2 Construction of the Four-Dimensional Lattice.- 5.3 Applications.- 6 Estimation of the Model.- 6.1 Introduction.- 6.2 Kaiman Filter.- 6.3 Maximum Likelihood.- 6.4 Method of Moments.- 6.5 Simulated Moments.- 7 Managing Interest Rate Risk.- 7.1 Introduction.- 7.2 Generalized Duration and Convexity.- 7.3 Hedging Ratios.- 7.4 Hedging: General Approach.- 7.5 Hedging Yield Curve Risk.- 8 Extensions of the Model.- 8.1 Introduction.- 8.2 Extension I: Jumping Mean and Diffusing Volatility.- 8.3 Extension II: Jumping Mean and Jumping Volatility.- 9 Concluding Remarks.- A Proof of Lemma 1.- B Proof of Proposition 2.- C Proof of Lemma 2.- D Proof of Proposition 8.- E Integral Equation for Derivative Prices.