Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 6 of 6 for “"Risk-Neutral Pricing"”.
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Risk-neutral pricing in a behavioural framework
This thesis investigates three issues related to risk-neutral pricing. The first aspect investigated is the effect of discretization and truncation errors on risk-neutral moments, as defined in Bakshi, Kapadia and Madan (2003). It proposes exact solutions for the finite integrals in the volatility, …
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Pricing interest rate contingent claims
… claims in several ways. First, futures pricing models and futures options pricing models are derived. These models are under the settings of both single state variable and two state variables. The derivations make use of regular techniques in solving partial differential equations and …
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Models for Interest Rates and Interest Rate Derivatives
… models for the term structure. The principals of risk neutral pricing are introduced and the Black model is derived. Closed form bond valuation equations are derived for the Cox, Ingersoll and Ross (CIR) model. Short examples of calibration of the Vasicek, CIR and LIBOR market model are given.
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Recursive marginal quantization: extensions and applications in finance
… many challenging finance applications, including pricing claims with path dependence and early exercise features, stochastic optimal control, filtering problems and the efficient calibration of large derivative books. Recursive marginal quantization of an Euler scheme has recently been proposed as …
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Pricing of contingent claims under the real-world measure
… the real-world probability measure. Real-world pricing results naturally by selecting the numeraire as the growth optimal portfolio (GOP). Under this approach, the existence of an equivalent risk-neutral probability measure is not required. Furthermore, the GOP can be used to define other basic …
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Stochastic Volatility Models for Contingent Claim Pricing and Hedging
… that we emphasise is that novel models of option pricing, as is suggested by Hull and White (1987) [1] and others, must account for the discrepancy observed on the implied volatility curve. To achieve this we also propose that market volatility be modeled as random or stochastic as opposed to …