1 results for Adamjan, V.

  • Valuation of bonds and options under floating interest rate

    Adamjan, V.; Pavlov, B. (1999-11)

    Report
    The University of Auckland Library

    The evolution operators, generators of which contain a numerical parameter forming a Markov process, are considered in connection with problems of financial mathematics. Under certain conditions the exact and explicit expressions for the values of the evolution operators averaged over trajectories of the process and for the corresponding variances are derived.Obtained results are applied for valuation of some financial products with account of floating interest rates.

    View record details