Coherent chaos interest rate models and the Wick calculus in finance
This thesis develops new tools in stochastic analysis with applications to finance. The first part presents novel developments in the Wiener chaos approach to the modelling, calibration, and pricing of interest rate derivatives. To price financial instruments it suffices to specify the pricing kerne...
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Imperial College London
2014
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| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.656695 |