Mixed Monte Carlo in the foreign exchange market
dc.contributor.advisor | McWalter, Thomas | en_ZA |
dc.contributor.advisor | Searle Silverman, Searle | en_ZA |
dc.contributor.advisor | Maze, Sheldon | en_ZA |
dc.contributor.author | Baker, Christopher | en_ZA |
dc.date.accessioned | 2017-09-14T12:22:30Z | |
dc.date.available | 2017-09-14T12:22:30Z | |
dc.date.issued | 2017 | en_ZA |
dc.description.abstract | The stochastic differential equation (SDE) describing the spot FX rate is of central importance to modelling FX derivatives. A Monte Carlo estimate of the discounted individual payoffs of FX derivatives is taken to arrive at the price, provided there does not exist a closed form solution for the price. One propagates the FX spot rate through time under risk-neutral dynamics to realise the before-mentioned payoffs. A drawback to Monte Carlo becomes evident when the model dynamics become more complicated, such as when more dimensions are added to the dynamics of the model. These additional dimensions can be stochastic volatility and/or stochastic domestic and foreign short rates. This dissertation describes the calibration of such a model using mixed Monte Carlo, as described in Cozma and Reisinger (2015), to both model-generated and market data. Profit and loss analysis of hedging FX derivatives using the mixed Monte Carlo method is conducted when hedging against both model-generated and market data . | en_ZA |
dc.identifier.apacitation | Baker, C. (2017). <i>Mixed Monte Carlo in the foreign exchange market</i>. (Thesis). University of Cape Town ,Faculty of Commerce ,Division of Actuarial Science. Retrieved from http://hdl.handle.net/11427/25193 | en_ZA |
dc.identifier.chicagocitation | Baker, Christopher. <i>"Mixed Monte Carlo in the foreign exchange market."</i> Thesis., University of Cape Town ,Faculty of Commerce ,Division of Actuarial Science, 2017. http://hdl.handle.net/11427/25193 | en_ZA |
dc.identifier.citation | Baker, C. 2017. Mixed Monte Carlo in the foreign exchange market. University of Cape Town. | en_ZA |
dc.identifier.ris | TY - Thesis / Dissertation AU - Baker, Christopher AB - The stochastic differential equation (SDE) describing the spot FX rate is of central importance to modelling FX derivatives. A Monte Carlo estimate of the discounted individual payoffs of FX derivatives is taken to arrive at the price, provided there does not exist a closed form solution for the price. One propagates the FX spot rate through time under risk-neutral dynamics to realise the before-mentioned payoffs. A drawback to Monte Carlo becomes evident when the model dynamics become more complicated, such as when more dimensions are added to the dynamics of the model. These additional dimensions can be stochastic volatility and/or stochastic domestic and foreign short rates. This dissertation describes the calibration of such a model using mixed Monte Carlo, as described in Cozma and Reisinger (2015), to both model-generated and market data. Profit and loss analysis of hedging FX derivatives using the mixed Monte Carlo method is conducted when hedging against both model-generated and market data . DA - 2017 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2017 T1 - Mixed Monte Carlo in the foreign exchange market TI - Mixed Monte Carlo in the foreign exchange market UR - http://hdl.handle.net/11427/25193 ER - | en_ZA |
dc.identifier.uri | http://hdl.handle.net/11427/25193 | |
dc.identifier.vancouvercitation | Baker C. Mixed Monte Carlo in the foreign exchange market. [Thesis]. University of Cape Town ,Faculty of Commerce ,Division of Actuarial Science, 2017 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/25193 | en_ZA |
dc.language.iso | eng | en_ZA |
dc.publisher.department | Division of Actuarial Science | en_ZA |
dc.publisher.faculty | Faculty of Commerce | en_ZA |
dc.publisher.institution | University of Cape Town | |
dc.subject.other | Mathematical Finance | en_ZA |
dc.title | Mixed Monte Carlo in the foreign exchange market | en_ZA |
dc.type | Master Thesis | |
dc.type.qualificationlevel | Masters | |
dc.type.qualificationname | MPhil | en_ZA |
uct.type.filetype | Text | |
uct.type.filetype | Image | |
uct.type.publication | Research | en_ZA |
uct.type.resource | Thesis | en_ZA |
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