A comprehensive view of Markov-Functional models and their application
Includes bibliographical references. === Markov-Functional models are a very powerful class of market models which calibrate and compute prices and Greeks quickly. This dissertation explains, in detail, how Markov-Functional models work as well as discussing all of the specific models developed in t...
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| Format: | Dissertation |
| Language: | English |
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University of Cape Town
2016
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| Online Access: | http://hdl.handle.net/11427/19132 |