Print Email Facebook Twitter Equity and Foreign Exchange Hybrid Models for Pricing Long-Maturity Financial Derivatives Title Equity and Foreign Exchange Hybrid Models for Pricing Long-Maturity Financial Derivatives Author Grzelak, L.A. Contributor Oosterlee, C.W. (promotor) Faculty Electrical Engineering, Mathematics and Computer Science Department Numerical Analysis Date 2011-05-24 Abstract Modelling derivative products in Finance usually starts with the specification of a system of Stochastic Differential Equations (SDEs), that corresponds to state variables like stock, interest rate, Foreign Exchange (FX) rate and volatility. By correlating the SDEs for the different asset classes one can define the hybrid models, and use them for pricing multi-asset derivatives. Even if each of the individual SDEs yields a closed-form solution, a non-zero correlation structure between the processes may cause difficulties for efficient product pricing. Typically, a closed-form solution of hybrid models is not known, and numerical approximation by means of Monte Carlo (MC) simulation or discretization of the corresponding Partial Differential Equations (PDEs) has to be employed for pricing. The speed of pricing European derivative products is crucial, especially for the calibration of the SDEs. Several theoretically attractive SDE models, that cannot fulfil the speed requirements, are not used in practice. Subject hybridstochastic volatilitypricing derivativespricing exoticsHeston To reference this document use: http://resolver.tudelft.nl/uuid:a8e1a007-bd89-481a-aee3-0e22f15ade6b ISBN 9789085707493 Part of collection Institutional Repository Document type doctoral thesis Rights (c) 2011 Grzelak, L.A. Files PDF PhDThesis_main.pdf 1.63 MB Close viewer /islandora/object/uuid:a8e1a007-bd89-481a-aee3-0e22f15ade6b/datastream/OBJ/view