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African Institute of Financial Markets and Risk Management
Characteristic function pricing with the Heston-LIBOR hybrid model
Abstract
dc:description.abstractWe 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.
Degree
thesis:*- Grantor
- African Institute of Financial Markets and Risk Management
- Year dc:date.issued
- 2019
Author and committee
dc:creator, dc:contributor.*- Author dc:creator
-
- Sterley, Christopher
- Advisors dc:contributor.advisor
-
- Ouwehand, Peter
- McWalter, Thomas
Subjects
dc:subject × 1Identifiers
dc:identifier.*- Handle dc:identifier.uri
- http://hdl.handle.net/11427/31273
- OAI identifier oai:identifier
- oai:open.uct.ac.za:11427/31273