Multidimensional Markov-Functional and Stochastic Volatiliy Interest Rate Modelling

Multidimensional Markov-Functional and Stochastic Volatiliy Interest Rate Modelling

This thesis consists of three papers in the area of interest rate derivatives modelling. The pricing and hedging of (exotic) interest rate derivatives is one of the most demanding and complex problems in option pricing theory and is of great practical importance in the market. Models used in product...

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Bibliographic Details
Main Author: Kaisajuntti, Linus
Format: Doctoral Thesis
Language:English
Published: Handelshögskolan i Stockholm, Institutionen för Finansiell ekonomi 2011
Subjects:
Interest rate derivatives
Markov-functional model
LIBOR market model
Multidimensional
Stochastic volatiliy
Economics
Nationalekonomi
Online Access:http://urn.kb.se/resolve?urn=urn:nbn:se:hhs:diva-2226
http://nbn-resolving.de/urn:isbn:978-91-7258-859-2

Internet

http://urn.kb.se/resolve?urn=urn:nbn:se:hhs:diva-2226
http://nbn-resolving.de/urn:isbn:978-91-7258-859-2

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