Markov-functional and stochastic volatility modelling
In this thesis, we study two practical problems in applied mathematical fi nance. The first topic discusses the issue of pricing and hedging Bermudan swaptions within a one factor Markov-functional model. We focus on the implications for hedging of the choice of instantaneous volatility for the one-...
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University of Warwick
2012
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| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.575009 |