Global ETD Search

Modelling Equities with a Stochastic Volatility Jump Diffusion

Gorven, MatthewAfrican Institute of Financial Markets and Risk Management2018

… evaluation of the model’s delta and vega hedging performance is presented by comparing it to the hedge performance of other commonly used models.

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Hedging performance of interest-rate models

Ziervogel, GrahamDivision of Actuarial Science2016

… that trade in the Johannesburg swap market are hedged using two short-rate models, namely the Hull and White (1990) one-factor model and the subsequent Hull and White (1994) two-factor extension. This is achieved by using the equivalent Gaussian additive-factor models (G1++ and G2++) outlined by …

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Risk management of variable annuities

Ruez, FrederikUniversität Ulm

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