Global ETD Search

1	Modely chování úrokových sazeb / Interest Rate Models Nikolaev, Alexander January 2013 (has links) This diploma thesis deals with short-term interest rate models. Many interest models have been developed in the last decades. They focus on accuracy of prediction. The pioneering one was developed by Vasicek in 1977 followed by the work of others. Nowadays these vary in their level of comprehensiveness and technical difficulty. The main aim of the thesis is to introduce not only a basic Vasicek's work but also more sophisticated models such as Brennan-Schwartz or Longstaff-Schwartz.
2	Stochastic Volatility Models for Contingent Claim Pricing and Hedging. Manzini, Muzi Charles. January 2008 (has links) <p>The present mini-thesis seeks to explore and investigate the mathematical theory and concepts that underpins the valuation of derivative securities, particularly European plainvanilla options. The main argument that we emphasise is that novel models of option pricing, as is suggested by Hull and White (1987) [1] and others, must account for the discrepancy observed on the implied volatility &ldquo / smile&rdquo / curve. To achieve this we also propose that market volatility be modeled as random or stochastic as opposed to certain standard option pricing models such as Black-Scholes, in which volatility is assumed to be constant.</p> Contingent Claim Hedging Brownian Motion Black-Scholes Implied Volatility Stochastic Volatility Call Option Mixture Risk-Neutral Pricing Equity-linked Pension Brennan-Schwartz.
3	Stochastic Volatility Models for Contingent Claim Pricing and Hedging. Manzini, Muzi Charles. January 2008 (has links) <p>The present mini-thesis seeks to explore and investigate the mathematical theory and concepts that underpins the valuation of derivative securities, particularly European plainvanilla options. The main argument that we emphasise is that novel models of option pricing, as is suggested by Hull and White (1987) [1] and others, must account for the discrepancy observed on the implied volatility &ldquo / smile&rdquo / curve. To achieve this we also propose that market volatility be modeled as random or stochastic as opposed to certain standard option pricing models such as Black-Scholes, in which volatility is assumed to be constant.</p> Contingent Claim Hedging Brownian Motion Black-Scholes Implied Volatility Stochastic Volatility Call Option Mixture Risk-Neutral Pricing Equity-linked Pension Brennan-Schwartz.
4	Stochastic Volatility Models for Contingent Claim Pricing and Hedging Manzini, Muzi Charles January 2008 (has links) Magister Scientiae - MSc / The present mini-thesis seeks to explore and investigate the mathematical theory and concepts that underpins the valuation of derivative securities, particularly European plainvanilla options. The main argument that we emphasise is that novel models of option pricing, as is suggested by Hull and White (1987) [1] and others, must account for the discrepancy observed on the implied volatility curve. To achieve this we also propose that market volatility be modeled as random or stochastic as opposed to certain standard option pricing models such as Black-Scholes, in which volatility is assumed to be constant. / South Africa Contingent Claim Hedging Brownian Motion Black-Scholes Implied Volatility Stochastic Volatility Call Option Mixture Risk-Neutral Pricing Equity-linked Pension Brennan-Schwartz

1

Page generated in 0.0577 seconds