The stochastic volatility Markov-functional model
In this thesis we study low-dimensional stochastic volatility interest rate models for pricing and hedging exotic derivatives. In particular we develop a stochastic volatility Markov-functional model. In order to implement the model numerically, we further propose a general algorithm by working with...
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University of Warwick
2016
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| Online Access: | https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.723106 |