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 11 of 11 for “"derivative pricing"”.
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Derivative pricing with options.
We consider the problem of pricing and hedging general path dependent derivatives on a single asset, supposing that we already know the prices of the vanilla options. If we are to avoid introducing arbitrage possibilities, then this is the same as finding a model under which the discounted asset …
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Copulas for credit derivative pricing and other applications.
… greater flexibility and accuracy in existing pricing algorithms. We also describe an n-dimensional dynamic copula, which takes into account temporal and spatial changes.
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Derivative pricing and logarithmic portfolio optimization in incomplete markets
This thesis studies the problem of derivative pricing in incomplete markets and the problem of portfolio optimization for logarithmic utility. <br>In an incomplete market the no arbitrage criterion does not suffice to value contingent claims any more. Each equivalent martingale measure yields a …
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Monte Carlo Methods for Derivative Pricing of Stochastic Volatility Models Driven by Fractional Brownian Motion
We model asset prices with stochastic volatilities driven by fractional Brownian motion. Price paths and their endpoints are used to obtain a Monte Carlo value estimate of vanilla european options, lookback options as well as variance swaps. Underlying models for price movements are driven by …
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A Dynamic Correlation Model for Pricing Credit Derivatives in A Lattice Framework
… for the hazard rates during the portfolio credit derivative pricing. Particularly, a specific bi-variate process has been handled by the operator method to tackle the challenge of calculating joint transition probabilities for the bi-variate process. The joint generator is constructed on a …
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Lévy processes in credit risk and market models
… of interest rates, thus allowing more accurate derivative pricing and risk management. <br>This study shows how Lévy processes can be applied to credit risk and market models. <br> <br>Chapter 1 is a brief survey of some aspects of credit risk, generalized hyperbolic distributions and Lévy …
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Gaussian Process Regression for Option Pricing and Hedging
… up typical numerical calculations including derivative pricing, fitting Greek profiles, constructing volatility surfaces and modelling counterparty credit risk, to name a few. This dissertation aims to investigate the accuracy and efficiency of Gaussian process regression (GPR) compared to …
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Contributions to Semiparametric Inference to Biased-Sampled and Financial Data
… for modelling market behaviour for both derivative pricing and risk management purposes. Chan et al. (2009) introduced the use of empirical likelihood methods to estimate the parameters of various diffusion processes via their characteristic functions which are readily available in most …
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Multi-curve frameworks and information-based models
The distinction between bank funding cash and derivative markets were magnified in the aftermath of the 2008 global financial crisis, and further fortified by the need for reference rate reform post the Financial Stability Board's review of major interest benchmarks in 2014. The cognisance of …
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Credit risk modelling in Markovian HJM term structure class of models with stochastic volatility
… reveals the existence of a left tail. Credit Derivative Pricing under a Markovian HJM Term Structure Model with (Diffusion Driven) Humped Volatility - Chapter 3. We verify that under the assumption of a humped volatility specification, the defaultable forward rates admits finite dimensional …
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FRACTAL BASED FRAMEWORK FOR TIME SERIES VOLATILITY PREDICTION
… a novel mathematical framework is presented for pricing financial derivatives and modelling asset behaviour by bringing together fractional Brownian motion (fBm), fuzzy logic, and jump processes, all aligned with the no–arbitrage principle. In particular, our mathematical developments include fBm …