{"id":{"repo_id":"cape-town","oai_identifier":"oai:open.uct.ac.za:11427/31273"},"canonical_url":"https://search.dev.ndltd.org/etd/cape-town/oai:open.uct.ac.za:11427/31273","repository":{"repo_id":"cape-town","name":"University of Cape Town","base_url":"https://open.uct.ac.za/oai/request"},"display":{"title":"Characteristic function pricing with the Heston-LIBOR hybrid model","abstract":"We derive an approximate characteristic function for a simplified version of the Heston-LIBOR model, which assumes a constant instantaneous volatility structure in the underlying LIBOR market model. We also implement measures to improve the numerical stability of the characteristic function derived in this dissertation as well as the one derived by Grzelak and Oosterlee. The ultimate aim of the dissertation is to prevent these characteristic functions from exploding for given parameter values.","abstract_html":"We derive an approximate characteristic function for a simplified version of the Heston-LIBOR model, which assumes a constant instantaneous volatility structure in the underlying LIBOR market model. We also implement measures to improve the numerical stability of the characteristic function derived in this dissertation as well as the one derived by Grzelak and Oosterlee. The ultimate aim of the dissertation is to prevent these characteristic functions from exploding for given parameter values.","abstract_has_math":false,"creators":["Sterley, Christopher"],"institution":"African Institute of Financial Markets and Risk Management","degree_name":null,"degree_level":null,"degree_discipline":null,"degree_department":null,"school":null,"contributors":[],"advisors":["Ouwehand, Peter","McWalter, Thomas"],"committee_chairs":[],"committee_members":[],"year":2019,"date_issued":"2019","date_published":"2019","updated_at":"2026-07-22T22:23:29Z","subjects":["Mathematical Finance"],"languages":[],"rights":[],"rights_urls":[],"identifier_entries":[]},"links":{"outbound_url":"http://hdl.handle.net/11427/31273","outbound_label":"Handle","outbound_source":"dc:identifier.uri"},"metadata_groups":[{"id":"people","label":"People","entries":[{"key":"dc:contributor.advisor","label":"Advisor","values":["Ouwehand, Peter","McWalter, Thomas"]},{"key":"dc:creator","label":"Author","values":["Sterley, Christopher"]}]},{"id":"academic_context","label":"Academic Context","entries":[{"key":"dc:date.accessioned","label":"Dc Date Accessioned","values":["2020-02-24T12:40:52Z"]},{"key":"dc:date.available","label":"Dc Date Available","values":["2020-02-24T12:40:52Z"]},{"key":"dc:date.issued","label":"Date","values":["2019"]},{"key":"dc:publisher.department","label":"Dc Publisher Department","values":["African Institute of Financial Markets and Risk Management"]},{"key":"dc:type","label":"Dc Type","values":["Master Thesis"]},{"key":"dc:type.qualificationlevel","label":"Dc Type Qualificationlevel","values":["Masters"]},{"key":"dc:type.qualificationname","label":"Dc Type Qualificationname","values":["MPhil"]}]},{"id":"subjects_keywords","label":"Subjects and Keywords","entries":[{"key":"dc:subject","label":"Dc Subject","values":["Mathematical Finance"]}]},{"id":"identifiers","label":"Identifiers","entries":[{"key":"dc:identifier.uri","label":"Identifier URI","values":["http://hdl.handle.net/11427/31273"]}]},{"id":"additional","label":"Additional Metadata","entries":[{"key":"dc:description.abstract","label":"Abstract","values":["We derive an approximate characteristic function for a simplified version of the Heston-LIBOR model, which assumes a constant instantaneous volatility structure in the underlying LIBOR market model. We also implement measures to improve the numerical stability of the characteristic function derived in this dissertation as well as the one derived by Grzelak and Oosterlee. The ultimate aim of the dissertation is to prevent these characteristic functions from exploding for given parameter values."]},{"key":"dc:title","label":"Title","values":["Characteristic function pricing with the Heston-LIBOR hybrid model"]}]}],"canonical_facts":{"dc:contributor.advisor":["Ouwehand, Peter","McWalter, Thomas"],"dc:creator":["Sterley, Christopher"],"dc:date.accessioned":["2020-02-24T12:40:52Z"],"dc:date.available":["2020-02-24T12:40:52Z"],"dc:date.issued":["2019"],"dc:description.abstract":["We derive an approximate characteristic function for a simplified version of the Heston-LIBOR model, which assumes a constant instantaneous volatility structure in the underlying LIBOR market model. We also implement measures to improve the numerical stability of the characteristic function derived in this dissertation as well as the one derived by Grzelak and Oosterlee. The ultimate aim of the dissertation is to prevent these characteristic functions from exploding for given parameter values."],"dc:identifier.uri":["http://hdl.handle.net/11427/31273"],"dc:publisher.department":["African Institute of Financial Markets and Risk Management"],"dc:subject":["Mathematical Finance"],"dc:title":["Characteristic function pricing with the Heston-LIBOR hybrid model"],"dc:type":["Master Thesis"],"dc:type.qualificationlevel":["Masters"],"dc:type.qualificationname":["MPhil"]},"updated_at":"2026-07-22T22:23:29Z"}